Archive for the ‘Eurodollar Options’ Category
Yields higher, but not TOO high
October 21, 2020 –Themes on the day were somewhat at odds with each other, vol selling in TY and curve steepening. Early yesterday morning there was an exit seller of 10k TYZ 140c at 15, settled 13 vs 138-225. Then a huge TYZ0 put tree was bought, >50k 139/138/137.5 put tree (+1/-1/-1) for 3/64 vs […]
DJT (transports)
October 20, 2020 –This time DJT has nothing to do with Donald J Trump, or maybe it does. On Monday the Dow Jones Transports made a new all-time record high of 12000.19, but things went pear-shaped from there. Though volume wasn’t stellar, DJT range was larger than all of last week’s and it closed on […]
Fixed income pressing lower
October 19, 2020 –Yields little changed on Friday with tens up 0.8 bp to 74.2. However, with stocks powering higher this morning due to (choose your reason) vaccine hopes, stimulus hopes, China’s rebound, fixed income is lower. The low so far in EDH’24, blue March, which has seen exploding midcurve put activity, is 9945.5 on […]
Macroprudential
October 19, 2020 – Weekly comment The Fed’s Vice Chair for Supervision Randal Quarles, gave remarks last week about the financial system’s response to the “COVID event”. The main purpose of the speech was, I think, to explain the decision to extend the share buyback suspension and continued limitation of dividends for banks in order […]
Throwing money
October 16, 2020 –Yields rose slightly as stocks fought back from initial weakness. ESZ put in a low of 3431.50 before rallying back 44 to 3475.50, down only 5.50. Yields edged slightly higher with tens +0.8 to 73.4. Philly Fed surged to 32.3 vs an expected 14.8. This is above all 2019 levels and all […]
Trivia
October 14, 2020 –Yields dropped and the curve flattened as stocks saw minor profit taking from near all-time highs. Earnings today include Alcoa (AA), along with banks, BAC, GS, PNC, USB, WFC. 2/10 down to 58.7 and 5/30 to 121.2 from last week’s new yearly high of 124.6. The ten-yr ended at 72.6, down 3.8 […]
Fed turns Lacy Hunt cautious on bonds
October 13, 2020 –Quiet yesterday in rates as Nasdaq soared 2.6% in thin holiday trade. I had no idea indigenous peoples were so enthusiastic about high tech. Curve had a slightly flatter bias as the red pack was unch’d and golds were +1.125. There was almost no option trading in rates, although there was a […]
Speculative Punts Attract Capital. SPACs
October 11, 2020 – Weekly comment My note last week was titled “Singing the Blues” and I added a great Albert King youtube, Born Under a Bad Sign. (“If it wasn’t for bad luck, I wouldn’t have no luck at all” ). For those that missed it, here’s the link. That one reminds me of […]
More blue puts
October 9, 2020 –Yields eased yesterday with tens down 1.9 bps to 76.4 as the treasury wrapped up the 30y auction. New recent high in ten year note to tip breakeven spread at 172 bps (long term inflation expectation). The high mark of the spread according to my data was on Jan 2 at 180.5, […]
The year of Unintended Consequences
October 8. 2020 –Bear steepener yesterday. All curve measures made new highs, 2/10 at 62.8, up 3.5 on the day (double top this year 69/70). 5/30 at 124.8, up 2.2. Red/gold pack spread 51.75, up 3.875. The ten year yield rose 4.6 yesterday’s auction and continued strength of stocks. –On the euro$ curve, EDZ0/EDZ1 settled […]
