Archive for the ‘Eurodollar Options’ Category
Lane change
April 11, 2021 – Weekly Comment***** The snippet below is from Tyler Neville of Blockworks: Here are the speaking events for the Fed next week. This is an absolute CLOWN show. For 12 years, the Fed ignored any signs that QE was causing a gap in inequality between capital and labor. Now, all of a […]
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 […]
