Archive for the ‘Eurodollar Options’ Category
Base effects
April 9, 2021 –Yields ground to slightly lower levels yesterday with tens down 2.3 bps to 163 and TYM settling exactly at 132-00. Comments by the NY Fed’s Lori Logan about aligning the Fed’s purchases with outstanding issues caused a late bid in 20’s, as it’s now expected the Fed will announce an increase in […]
Resistance FOMC high, support NFP low
April 7, 2021 -Yields fell yesterday in a continuing rejection of Friday’s employment data. Tens fell over 6 bps to 1.654%. Friday’s top tick in TYM was 131-20, now trading 131-25. Red/gold euro$ pack spread closed at a high of 182 last week, yesterday it fell over 8 bps to just under 171. Bearish news, […]
Service ISM at new high
April 6, 2021 –SPX and DJIA at new record highs yesterday, not Nasdaq or R2K. Yields eased from Friday, though Service ISM at 63.7 made a new high, at least since 1998 which is as far as BBG data went back. Ten year yield was down around 0.5 bp to 1.716%. Volume in rate futures […]
Can’t depend on YCC
April 4, 2021 -Weekly Comment Net changes on the week in eurodollars: Whites -2.125, Reds -10.625, Greens -19.375, Blues -20.75 and Golds -15.75. The five year was the leader on the treasury curve, up 12 bps to 97.4 (a new high), with tens up 6.2 and thirties essentially unchanged. 5/30 treasury spread is 139, the […]
1983
April 2, 2021 –NFP today expected 660k with yoy earnings +4.5% –ISM Mfg released yesterday with a print of 64.7. Oh sure. It’s been higher than that. In 1983. Dude: 1983. I don’t think they even said “dude” back then. Have to wait until 1987 for Aerosmith’s Dude looks like a lady. Anyway, was 1983 anything […]
New curve highs at quarter end
April 1, 2021 –The quarter ended with new highs in the curve. 2/10 up 0.8 to 158.3. Red/gold euro$ pack spread (2nd to 5th year) just over 182 bps. New high for peak one-yr euro$ calendar: EDH23/H24 and EDM23/M24 tied at 77.5 bps. This, as Biden announced his massive tax and spend plan for infrastructure […]
Pinning the 5y yield
March 31, 2021 –One large trade to high-light yesterday, a buy of 25k FVM 123/122/121 p fly 9 to 9.5. Settled 8.5 vs 123-18. Max value at expiry is of course at center strike of 122, around 1.20% vs current 5y at 91 bps. Seems far away until one considers the initial taper tantrum high […]
Market focuses two years forward for Fed changes
March 30, 2021 –Rumors of NFP even greater than the expected +650k and Wednesday’s expected $3 trillion infrastructure plan conspired against fixed income on Monday (with follow-on new lows this morning). New Fed Governor Waller categorically denied that the Fed will keep rates low to help fund the deficit. I’ve included a couple of speech […]
Price Discovery
March 28, 2021 -weekly comment Someone “discovered” stocks don’t always go up. Above is a chart of Discovery Inc, one of the names in Friday’s block trade purge. There’s a lot of talk about the $10 billion-plus block sales on Friday, and the fund that was liquidated. It’s worth noting just a couple of the […]
Margin call
March 29, 2021 –Now it’s fallout from Archegos as Credit Suisse and Nomura warn of losses related to Friday’s fire sale position liquidation. As Kevin Spacey playing Sam said in the flick Margin Call, “Forty percent done by ten fifteen, by eleven o’clock all your trades have to be gone, because by lunchtime, word’s going […]
