Archive for the ‘Eurodollar Options’ Category
The Fed defers
January 28, 2021 –SPX and Nasdaq fell 2.6% yesterday. The ten year yield fell 2.7 bps to 1.011%. GME surged 134% with a market cap of around $10 billion. BedBath and Beyond BBBY was up 43% with a market cap of $4.5b, Target TGT fell 5% with a cap of $94b. –In 2000 Nasdaq was […]
Not my circus, not my monkeys
January 27, 2021 –FOMC today. Questions relating to a “financial stability” mandate and macro-prudential tools are likely to pepper the press conference given GME and other stock market acrobatics. Until now, the Fed has gone with the ‘Not my circus…’ line of defense. I sort of doubt that IOER will be tweaked, but the Fed […]
Gamers
Jan 26, 2021 –Somehow seems appropriate that the stock garnering all the attention is called Gamestop. The capital infusion by Citadel and Point72 of $2.75 billion into Melvin Capital (who apparently suffered large losses from GME shorts) is a signal that this game might just about be over. There is likely intense lobbying of the […]
Big earnings week
January 25, 2021 –Ten year futures pinned the 137 strike on Friday’s Feb option expiration as TYH settled 137-01, with a corresponding cash yield of 1.087% down 2 bps on the day. Although this week features the FOMC on Wednesday, and treasury auctions of 2, 5 and 7 year notes beginning today, earnings reports from […]
I’ll get you on the back end
January 24, 2021 -Weekly comment This note is Eurodollar specific (which ought to whittle down the audience). I was having a conversation with former pit trader/spreader, who is shorting a red/green/blue one-year butterfly, reasoning that the nearer one-year spread is constrained by the Fed holding rates near zero for some time, while the back spread […]
Kinky Curve
January 22, 2021 –A few new highs yesterday: Ten year treasury to inflation-indexed note breakeven to 218.5. There are a lot of data points that can’t quite seem to surpass highs from the middle of 2018, but this spread has equaled the highs of that year (10 yr inflation proxy). 5/30 treasury sprd new high […]
Playing the lottery
January 21, 2021 –Equities surged to new highs on Biden’s inauguration, but fixed income maintains an underlying bid. Tens essentially unchanged at 1.09%. Eurodollar curve out to five years unch’d to -1. However, even though overall action was muted, EDH1/EDH2 one-year eurodollar calendar settled at a new recent low of -0.5 due to a seller […]
Hump day
January 20, 2021 –Inauguration day. Treasury auctions 20y bonds. Fed’s purchases tomorrow consist of $3.625 billion in 7 to 20 yrs. –Although Mnuchin, with input from TBAC, ultimately dismissed the idea of issuing long dated bonds, former Treasury Sec’y Robert Rubin last week suggested locking in long-term borrowing costs with long dated issuance, and Yellen […]
Yellen sellin’
January 19, 2021 –Once again worth noting the large seller of EDU’23 9950 calls which has smothered back month eurodollar vol and spilled slightly over into treasuries. On Friday another 40k were sold at 17.5, bringing the total to ~115k. Settled 18.0 vs 9947.5. Yesterday’s holiday activity appeared muted. Tens ended Friday at 1.095% ref […]
Russell vs SPX
January 18, 2021 –As noted previously, NFIB small business optimism seems to be correlated with Russell 2000 small cap index. When Trump was elected, the combination of less regulation and lower taxes sparked a surge in NFIB, and Russell soon followed. The two are diverging currently, with small business optimism plunging in the last report to […]
