Archive for the ‘Eurodollar Options’ Category
Asia in focus
November 16, 2020 –Yields edged slightly higher Friday and vols firmed a touch from depressed levels. Tens ended at 89.1 bps –Cues for US markets may now be more dependent on Asia. The PBOC injected 800 billion yuan into its one-year Medium-term Lending facility today as 600 billion becomes due this month. According to BBG, […]
Hit it
November 15, 2020 -Weekly comment This week I was honored to be on the Market Huddle podcast with Kevin Muir and Patrick Ceresna. https://www.youtube.com/watch?v=UbiiDoYcAWw&feature=youtu.be My basic premise is this: the Fed has told us the funding rate is locked near zero for the next couple of years. The first eight quarters of the Eurodollar strip have […]
Euro$ premium squeezed
November 13, 2020 –Yields declined and the curve retreated yesterday. Tens lost 9 bps to end at 88.5. 2/10 finished at 71 bps, down 8 on the day. Stocks took a sharp dip but bounced into the end of the session and are higher this morning.–Trade of the day was a sale of about 70k […]
Vols lower, curve pulls back
November 12, 2020 –Once again, year end funding became a topic as JPM released a report that rising bank stock prices could lead to higher GSIB scores and thus a pullback from intensive balance sheet activity. EDZ0 settled -2 at 9974. This was after Tuesday’s heavy sales of EDH1 at 9978.5 to 78. With the […]
It’s all stable until it isn’t
November 11, 2020 –Ten year rose another 1.2 bps as dealers apparently got caught with more of the auction than expected, somewhat surprising given the yield back-up close to 1%. The ten year went off at 96 bps, and was 99.0/98.5 at the futures settle. –All euro$ one-year calendars eked out new highs. For example, […]
Wild Monday. Pandemic Plays Pared.
November 10, 2020 A covid ‘breakthrough’ vaccine announced by Pfizer sent stocks on a giddy morning run to new highs and caused bond yields to surge. However, mammoth rotation ensued across markets, as covid plays were pared back in favor of more normal conditions. The most dramatic move was the surge and then plunge of […]
Stocks near new highs
November 9, 2020 –With Biden declared the victor, stock index futures are near all-time highs this morning, with ESZ 3550 vs high around 3576 in September and NQZ 12283 vs 12444. While WTI crude and gold are both up as well, they have lagged; at the end of August CLZ was 44 vs 38 now, […]
Death of reflation is greatly exaggerated
November 8, 2020 – weekly comment______________________________________ Chart of yoy M2 percentage growth: This week has had commentators opining about the demise of the “reflation” trade. Bonds rallied as the probability for large stimulus lessened with the prospect of a Biden presidency and Republican Senate. To delve a bit deeper into the demise of reflation, I […]
Gold reflates. Interest rate vol, not so much
Nov 6, 2020 –Short end yields edged slightly higher and longer maturities were unch’d to a shade lower on Friday, as SPX (+1.95%) and Nasdaq (+2.6%) surged within shouting distance of new all-time highs. Gold GCZ0 jumped by $50/oz to 1947. Nov bitcoin exploded 1060 (about half an ounce of gold) to end at 15260; […]
TINA and GRIDLOCK
November 5, 2020 –The new post-election narrative is that stocks LOVE gridlock. Nasdaq futures continue to soar, up over 300 as of this writing. From Oct 13 high over 12200 in NQZ to the Nov 2 low below 11000… that 10% decline has nearly been erased in a couple of days with NQZ now 12070. […]
