Archive for the ‘Eurodollar Options’ Category
Banquets
January 3, 2021 Sooner or later, we all sit down to a banquet of consequences. -Robert Lewis Stevenson A crust eaten in peace is better than a banquet partaken in anxiety. -Aesop I’ve posted a graph of M2 growth before, and anyone reading this is familiar with the extraordinary stimulus from both fiscal and monetary […]
they can’t revoke your soul for tryin’
Dec 31, 2020 What a long strange trip it’s been.-Grateful Dead lyric from Truckin’ –That’s the song spinning in my head this morning as we wrap up 2020. Strange year. Not much to comment on in the rate market; yields eased a shade yesterday with tens down less than 1 bp to 92.6. Only two […]
Bitcoinfinger
December 30, 2020 –GBP is around 1.3580 this morning, pressing for a close at the high of the year. It’s at the highest level since early 2018. Last night I watched a classic James Bond movie, Goldfinger. In the scene where Mr Goldfinger wants to extract an outrageous global ransom, the amount is given as […]
Curve 4th Turn
December 27. 2020 – Weekly note Above is a long-term chart of the 2/10 treasury spread. Easily identifiable thirty-plus year range with three distinct 300 bp surges. The first starts in 1989 and tops in 1992, associated with the Savings and Loan crisis and the Gulf War. Over this time frame the Fed cut the […]
Make money by standing still
December 23, 2020 –Relatively quiet day marked by a few large trades that benefit from rangebound price ranges with compressed vol to take advantage of time decay. For example, buyer of 20k FVH 125.75/126/126.25 c tree for 0.5 with the contract just at and slightly above the middle strike. Settled 0 vs 126-02. Fills out […]
Mutant virus worries fade
December 22, 2020 –Monday started with mutant virus fears, but concerns seem to have dissipated as the day progressed. –Buyer of 50k TYG1 138/137p 1×2 for 6 covered 137-25 with 5d, Settled 6 vs 137-245. This appears to be a roll-up of long 137 puts, which were crushed by this trade. To give an idea, […]
Zeus and Kronos
December 21, 2020 –Large reversals this morning across markets. Crude oil down nearly 6%, ESH down 1.75%, GBP down 2.25% as is copper. A series of factors could be catalysts, 1) “sell the fact” as the US finally passed a $900 billion stimulus package 2) a new more infectious strain of Covid in the UK […]
All the same trade
December 20, 2020 – Weekly Comment Above is a chart of the 2/10 treasury spread overlaid with Bloomberg Commodity Index. Like everything else, there appears to be a fairly high degree of correlation. In any case, 2/10 is at a new high for the year over 82 bps, a level not seen since late 2017. […]
Cyber security (and inflation)
December 18, 2020 –Once again, little net change in rate futures, however, bonds failed an early upside move and the thirty-yr ended up rising 1 bp to 1.675%. Most curve measures are within a bp of the year’s high, with 2/10 just over 80 bps and 5/30 just over 130. Red/gold euro$ pack spread is […]
Requires more study
December 16, 2020 –Yields pushed a bit higher as stocks soared. Tens +3 bps at 92. Front end was dominated by trades consisting of 1/16% wide put and call spreads. For example, buying of approx 10k EDM1 99.8125/99.75p spread for 1.5 ref EDM1 9982.5/83. When it’s all about pegging forward contracts to the tightest 1/16th, […]
