Archive for the ‘Eurodollar Options’ Category
Corn and gold
December 15, 2020 –Quiet session Monday which featured an underlying bid for FI. Tens ended unch’d at 89.1. Vol edged lower. In eurodollars, EDM1 9975 puts were bought for 1 in size of 25k, settled there vs 9983.5. The new 9981.25 put settled 2.5, which is below breakeven given current libor settings around 22 bps. […]
Negative t-bill yields projected
December 14, 2020 –Friday’s session was dominated by front end buying as the FT highlighted a BAML report from Mark Cabana forecasting negative t-bill rates into Q1. The Treasury General Account balance is approx $1.5 trillion. According to the article, “…that leaves the treasury needing to allow somewhere between $500 and $900bn of T-bills to […]
Lift the curtain and act the play
December 13, 2020 – Weekly comment Lift the curtain and act the play Weekly Comment – December 13, 2020 Alex Manzara/ RJO-Interest Rate Strategy and Execution/ amanzara@rjobrien.com The final FOMC meeting of the year takes place this week. Does it make any difference? Oh there’s going to be some additional chart information immediately released with […]
In: Eurodollar Options
Central banks more of the same
Dec 11, 2020 –As we lead up to the last FOMC of the year next week, and the possibility of a tweak to Fed bond purchases, I’ve thought a bit more about the taper tantrum from 2013. To that end, I reviewed the April 30-May 1 2013 FOMC meeting transcript. I’ll likely write more about […]
A billion here, a billion there, it adds up
December 9, 2020 –Another stimulus proposal, another day of new highs for stocks. There was some pressure on the front end of the market as three years were auctioned yesterday. Also a buyer of EDH1 9975p for 1 with the contract at 9979.5. The two year yield edged up slightly, everything further back on the […]
Consumer warning
December 8, 2020 –Friday’s sell off in longer dated interest rate contracts was mostly erased yesterday. For example, TYH settled 137-21 on Thursday, 137-12 on Friday and back to 137-23 yesterday. EDZ3 went from 9947 Thursday to 42 on Friday and back to 46.5 yesterday. There was however, a new buyer of 30k 2EH 9950p […]
Uncapitalism
December 6, 2020 – Weekly comment “Corporate bonds now yield less than inflation expectations for the first time in history” -Dec 2 Tweet from Otavio Costa “You cannot have capitalism if you don’t have a hurdle rate for investment.” -Stanley Druckenmiller There were two big themes in US interest rate futures trading this week. On […]
NFP today but USD weakness dominates
December 4, 2020 –Employment report today with NFP expected 460 to 480k. Yields at the long end declined going into this data, with tens down 3 bps to 91.8. Stocks continue to respond to stimulus being “within reach”, while the dollar made fresh lows yesterday. CNY new high this morning vs USD at 6.53. This […]
Cheap Insurance
December 3, 2020 –Yields continue to press higher with tens up 1.7 bps yesterday to 94.8. Curve steepened with both 2/10, at 78.4, and 5/30, at 128, with a couple bps of the year’s high. Red/gold euro$ pack spread added another 1.625 to close 64.875. This spread has been boosted by the libor extension announcement, […]
Let’s give this libor can a kick
December 1, 2020 The Board of Governors of the Federal Reserve System, the Office of the Comptroller of the Currency, and the Federal Deposit Insurance Corporation (collectively, the agencies) are issuing this statement to encourage banks to transition away from U.S. dollar (USD) LIBOR as soon as practicable. 1 Background and Discussion The FFIEC’s “Joint […]
