Archive for the ‘Eurodollar Options’ Category
Food scarcity / security
February 9, 2021 –Profit taking in treasury curve. 2/10 at 105, down 1.3 on the day and 5/30 at 146.8, down 2.8. However, the euro$ curve steepened to new highs. Red/gold pack spread closed at 110 at a new high, up 1 on the day. EDM3/EDU3 which is the libor extension kink, settled at 18.5 […]
Bond yield warming up
February 8, 2021 It’s about 0 degrees Fahrenheit in Chicago. This is what happens when you live in a city neighborhood and the street plows bury you in after a snow. The picture below may seem a bit strange to the uninitiated, but that’s what people do when they go through the toil of shoveling […]
Cross of inflation
Weekly Comment – February 7, 2021 Two great interviews this week: 1) Goldman’s head of commodity research Jeff Currie on Bloomberg’s Odd Lots and 2) Stanley Druckenmiller, interviewed by Tony Pasquariello also of course, from Goldman. I’m summarizing a couple of main points from Druckenmiller, crystalized from his observations: 1) in three months the Federal […]
Payrolls
February 5, 2021 –Even the Financial Times noted today that the US curve is the steepest it has been since 2015. 2/10 closed +0.8 to new high 102.4. Ditto 5/30, up 2 to 147.4, with red/gold euro$ pack spread up 0.625 to 106.375. Tens ended at 113.7 and thirties at 193.1, up 0.6 and 2.0. Plans […]
Bottlenecks
February 4, 2021 –Several tweets on Wednesday, along with auto mfrs trimming production due to a shortage of computer chips gives rise to concerns of more [temporary] inflation pressures the Fed may have to “look past”. –There was a time not too long ago when just-in-time manufacturing processes were all the rage. Not so in […]
Long end weakness persists
February 3, 2021 –Nasdaq near ATH following AMZN and GOOGL results. Yellen stepping into the financial stability arena with investigative committees (uh-oh) as the spectacular short squeeze in GME et al abated. –Weakness in the long end persists with tens and bonds up about 3.6 bps yesterday to 1.103% and 1.876% respectively. 5/30 treasury spread […]
Imbalances
February 2, 2021 –Yesterday’s 3 month libor setting was a new record low 19.5 bps, underpinning strength in near ED futures. EDH1 settled 9984 with EDM1 as the peak point on the curve, settling 9984.5. Tens ended at 1.066, down 2.5 bps on the day. Although the headline ISM Mfg number was weaker than expected […]
Silver
February 1, 2021 –They’ve targeted silver now. sparking a rally above the August high, now 29.30, up 2.31 on the day. Three month vol at 62 is also at the spike high in August, but SIH1 vol is 93. The gold/silver ratio has plummeted to 63, the lowest since 2014. For context the spike high […]
There Oughta Be a Law
January 31, 2021 – Weekly Comment Finally, a tweet that had some real value in the context of the week’s action. Abishek Raju tweeted an excerpt of The Securities Exchange Act of 1934, Section 9. I searched for this section and the link is here (Abishek said he got it from the FT):http://www.columbia.edu/~hcs14/SX9.htmhttps://twitter.com/Abishekraju/status/1355361591680634888 “It shall […]
Fear? That’s the other guy’s problem
January 29, 2021 –On Tuesday I wrote this in my missive “There is likely intense lobbying of the Fed to institute some macroprudential tools in the quest to save markets, under the guise of saving Robinhood traders from themselves, when in reality it’s some of the professionals that are close to being carried out. But […]
