Archive for the ‘Eurodollar Options’ Category
At least the ads are over
November 4, 2020 “The Associated Press will not predict a winner of the presidential election. It will not even name an apparent or likely winner. The A.P. will make the call only when it is certain — just as it has in every U.S. election since 1848, when Zachary Taylor won the White House.” “Over? […]
60/40
November 1, 2020 – Weekly comment There has been a lot of talk recently about the future of the 60/40 portfolio mix. The breakdown of that particular strategy was on vivid display on Friday, the last trading day in October. On the month, SPX fell from 3363.00 at the end of September to 3269.96, a […]
When bullish news failed
October 30, 2020 –I’m not exactly sure where I heard this trading rule, I think it’s from Richard Dennis, but I have never forgotten it: “When bullish news comes out and the market doesn’t go up, it’s bearish.” Yesterday’s tech earnings all looked pretty good. Large revenue increases, earnings beats. But Nasdaq futures almost immediately […]
Tech giants report today
Oct 29, 2020 –Yesterday the market got a taste of what might happen without a significant new stimulus package to counteract covid lockdowns. DJIA was -3.4%, SPX -3.5% and Naz -3.7%. Fixed income initially rallied as stocks fell, but the move fizzled with yields ending unch’d to a shade higher. Tens ended +0.3bp to 78.1 at […]
Orange whip?
October 28, 2020 –Stocks lower again this morning, with analysts blaming the surge in covid cases. As Dr Ngozi Ezike, Director of Illinois Health, explained in April, “If you were in hospice and had already been given a few weeks to live, and then you also were found to have COVID, that would be counted as […]
Modest FI unwind
October 27, 2020 –A pullback in stocks proved enough to spark short covering in fixed income, along with exits of long curve trades. Open interest declined in FV, TY and US. DJIA -2.3%, SPX -1.9% and Nasdaq -1.6%. Tens fell 3.9 bps to 80.1. 2/10 eased 3.3 to 65.4. Trading in rate futures/options was light. […]
Eurodollars project a hike…at the NEXT election
October 26, 2020 –Yields fell slightly Friday with tens ending down half a bp to 84. The eurodollar curve in the first five years was -0.5 to +1.0. Trade was light. –EDZ0/EDZ1 settled down 1 at -1.5, and is the lowest one-yr calendar on the curve. Spreads steepen from there until the peak, where EDU’24/EDU’25 […]
Removing Preemptive Accommodation
October 25, 2020 – Weekly Lael Brainard gave another speech on Wednesday, outlining the macro situation since the onset of COVID. She said housing and autos rebounded strongly, “a welcome reminder of the power of monetary accommodation” but that many service sectors have come back only about 60% from the March/April plunge. She therefore calls […]
Breakout?
October 23. 2020 –This comment written pre-presidential debate. –At futures settle I marked ten year yield at 84.4, up 4.7 on the day. Half hour before cash close it had pressed higher, to 86.5. On June 5, the high yield was 89.6. The curve steepened across every measure. 2/10 up to a new high on […]
Brainard looks past next year’s inflation rise
October 22, 2020 –For a while, market zigzags were all about the imposition or removal of China trade sanctions. Now it’s all about stimulus, and Trump’s comment late yesterday that he didn’t think an agreement was going to happen caused selling pressure in stocks (which has somewhat abated as of this writing). –Yesterday, the curve […]
