Archive for the ‘Eurodollar Options’ Category
Short rates tied to zero as critical input prices surge
May 5, 2021 –Crude oil is near new highs this morning at 66.35 (June WTI contract) as API data showed a large draw. Yellen yesterday said rate increases might be needed to prevent overheating, but was forced to walk back those comments later in the day by saying she’s not expecting inflation or rate hikes. […]
No inflation…if you pay in etherium
May 4, 2021 –Yields eased Monday with tens down 2.2 bps to 1.606%. Mfg ISM was lower than expected at 60.7 vs 65, but Prices Paid at 89.6 was near an all-time high. A headline from WSJ proclaims ‘Auto Makers Retreat from Just-In-Time Manufacturing’. I don’t know the details of the story, but I do […]
The power to create is the power to destroy
May 2, 2021 – Weekly comment Several analysts have mentioned the Kansas City Fed’s Jackson Hole Symposium as a likely venue for an announcement that the Fed can begin tapering. The exact date hasn’t been announced, but typically it occurs in late August. By that time we will have had two more FOMC meetings, in […]
Temporary bottlenecks are everywhere
April 30, 2021 –After early morning weakness on Thursday, rate futures ended little changed going into month end. Ten year yield up slightly at 1.638%. Implied vol was offered throughout the day, without any noticeable reach for puts, even as futures made new lows early. Today Personal Income and Spending are released, with the Fed’s […]
Greenspan on asset prices, 1999
April 29, 2021 –In spite of strong and accelerating economic activity and increasing price pressures, the Fed is maintaining full accommodation with short rates pegged to zero and QE of $120 billion per month. Might as well nickname it the 4×4 plan, looking for 4% unemployment and 4% inflation. The curve was mildly steeper at […]
FOMC and Biden Address
April 28, 2021 –Rate futures slipped lower on Tuesday coming out of the seven year auction, with the FOMC today and Biden’s Congressional appearance this evening. Tens rose nearly 5 bps to 1.616%. The curve steepened with the red pack down 0.625 while golds dropped 6.75. Large seller in EDU1 at 9980 appears to have […]
Quiet start to Fed week
April 27, 2021 –Quiet Monday with the ten year yield unchanged at 1.567%. Implied vol continues to ease with TYM 4.5%. Corn, beans and copper all at new highs this morning with July Corn over 670 and beans over 1550, as the Fed prepares to fine-tune its message that inflation pressures are transitory. FOMC announcement […]
Steady Fed this week, but taper looms
April 26, 2021 –May treasury option expiration was uneventful on Friday with TYM settling 132-14, cash yield 1.565%, up 1 bp on the day. This week brings auctions of 2, 5 and 7 year notes. FOMC announcement is Wednesday. The Fed’s preferred measure of inflation, Core PCE prices, is released Friday, expected at 1.8%. An […]
The risk of delay
April 25, 2021 -Weekly comment “We do see risks of delaying a return to neutral monetary policy. These risks can lead to the need for a more significant rate hike in the future, and I think we all want to avoid that.” Russian Central Bank Governor Elvira Nabiullina, after the CB raised its key rate […]
Taxing bitcoin like labor
April 23, 2021 –New highs in grains yesterday, for example July Corn soared 25 cents to 631 1/2. In December, the July contract was around 425. April bitcoin was trading 52000 late, down over 3500 on the day and around 20% from the high made mid-month. It is currently just above 48000. I used turbotax […]
