Archive for the ‘Eurodollar Options’ Category
Financial Conditions vs Financial Stability
November 29, 2020- Weekly Comment The Fed minutes were released on Wednesday from the November FOMC. A few sentences summarized the underlying tension between financial conditions and financial stability: A few participants indicated that asset purchases could also help guard against undesirable upward pressure on longer-term rates that could arise, for example, from higher-than-expected Treasury […]
Selling bitcoin, buying copper
November 27, 2020 –This morning copper is making a significant new high, with HGH1 over 3.40. Yen denominated Nikkei futures also at a new high for the move. The dollar index is just under 92, sitting around the year’s lows. Bitcoin has seen a big drop, down 2000 this morning with the December future just […]
No need to hedge
November 25, 2020 –The dollar index is probing the year’s low. The Dow hit 30k and Russell closed at a new record high. Copper made a new high for the year, grains are strong, crude has recovered levels last seen in March when covid fears were storming and the Saudis threatened to flood the market […]
Credit concerns
November 24, 2020 –Stocks responded positively to the news of Yellen’s selection as Treasury Sec’y and are higher this morning though not at new highs. Copper however, is at a new high for the move with HGZ0 over 3.30. In April HGZ was as low as 2.18. Action was muted in treasuries yesterday, though the […]
Copper/gold ratio and heavy treasury supply point to higher yields
November 23, 2020 –Friday featured a late sell off in stocks which has reversed this morning, and a bid to fixed income in the context of a flattening curve, both of which have also partially reversed. Tens ended down 2.4 bps to 82.8. 5/30 treasury spread notched a new recent low of 115.7, down 3.6 […]
Charade
November 22, 2020 -Weekly Comment ****************************************** “Oh no. For a few minutes they were mine. That is enough.” Monsieur Felix, the stamp dealer in the film ‘Charade’ This bit of dialogue is from a fabulous 1963 film called Charade. It is, of course, a period piece, starring Cary Grant and Audrey Hepburn. The basic plot […]
In: Eurodollar Options
Emergency backstops in question?
November 20, 2020 –Tens fell 2.8 bps yesterday to 85.2 and yields are a shade lower this morning going into Dec treasury option expiration. 5/30 notched a new recent low at 119.3, also down 2.8 on the day. As of this writing, expiring TYZ 138.5^ is 11/12 ref 138-135/14. –Some parts of the economy are showing […]
Loquacious Libor
November 19, 2020 –As I’ve gotten older, I’ve learned a couple of things. One, if legging a trade, leg into the illiquid side FIRST. Second, (speaking of liquidity) don’t try to tackle plumbing problems. About the only plumbing job I will handle on my own is changing out a washer on the outdoor hose. When […]
Amid liquidity promises, worries persist
November 18, 2020 –November bitcoin comfortably above 18k this morning at 18185, having been around 11k in October. Soybeans at new highs this morning with Jan 1174/bushel vs 880 as recently as August. Dec copper is 3.23, having been in a continuous rally since May when it was 2.33. While bitcoin has had a stunning […]
Powell digs into the toolbox
Nov 17, 2020 –Relatively quiet session in rates even as Moderna released positive vaccine news which sent DJIA and SPX to new record high closes. Tens rose 1.3 bps to 90.4 with TYZ0 settling 138-01. December treasury options expire Friday, and it’s worth recalling the 50k TYZ 139/138/137.5 put tree that was bought for 3 […]
