Archive for the ‘Eurodollar Options’ Category
Failure of democracy
Sept 6, 2020- Weekly comment Paul McCulley is a legend in the financial industry. Incredibly thoughtful, with brilliant depth of knowledge of economics and history woven into a grand worldview. He was on an Odd Lots BBG interview with Joe Weisenthal and Tracy Alloway this week. I am highlighting this interview because I believe it […]
In: Eurodollar Options
Soft stocks flatten curve
Sept 4, 2020 –DJIA down 2.8%, SPX -3.5% and Nasdaq dumped 5.0%. So of course yields pressed somewhat lower, with tens ending down 2.7 to 62.2. Curve continued its retreat from last Friday’s highs, with 2/10 now just below 50, lower by 1.7 on the day. –Today brings the Employment report, with NFP expected 1.35 […]
A boring double butterfly story
September 3, 2020 –In spite of a 1.5% surge in SPX and 1% in Nasdaq to new highs, longer end yields fell with tens down 2 to 64.8 and 30s down 4.3 to 1.374%. Curve flattened. After Powell’s Fed framework speech last Thursday, 5/30 had posted a new high for the year, ending at 123.4 […]
Fated
September 2, 2020 –Stock futures are at new highs this morning, causing modest pressure on fixed income. Yesterday tens ended at 67 bps, down 2.3. Curve edged flatter, implied vol fell. Brainard gave a boilerplate speech outlining the new Fed framework…basically that the Fed fell short previously and will be flexible going forward, in the […]
Expected vs Actual Inflation in the time of mostly peaceful protests
September 1, 2020 –Yields fell yesterday with tens down 3.3 bps to 69.3, but the largest move was in the ten year inflation-indexed note, which dropped 6.3 bps to a new low of NEGATIVE 1.112%. The dollar index fell and hit a new low this morning at 91.75. The breakeven tip/treasury spread reached a new […]
Atonal Music
August 30, 2020 – Weekly Comment There’s a comedy from 1979 called The In-Laws. Peter Falk plays rogue CIA agent Vince Ricardo, who is trying to thwart a Central American dictator’s plans to set off a panic in the western world by printing off trillions of dollars of major currencies (having stolen the necessary engravings), […]
As subtle as a sledgehammer
August 28, 2020 –Yields jumped on Thursday with tens up 5.7 bps to 74.2 and 30s up 9.7 to 1.497%. The curve steepened with 2/10 up 5.3 to a new recent high of 58.6 and 5/30 nearing the high of this calendar year at 119 bps (hit 122 this morning). There’s a double top in […]
Powell today
August 27. 2020 –Powell today at 9:10 EST with new and improved Fed Framework. He’s expected to move towards inflation averaging,and emphasize forward guidance. A BBG headline notes ‘Fed seen holding rates at zero for five years’. The market already seems convinced of that as evidenced by yesterday’s stellar 5-yr auction at 29.8 bps. Positive […]
Foie Gras
August 26, 2020 –There seems to be a bearish sentiment shift occurring in bonds as Powell looms on Thursday. Yesterday tens rose 3.5 bps to 68 and 30s up 3.8 to 1.386%. New Home sales and Richmond Fed were strong while Consumer Confidence plunged to 84.8, the lowest since 2014. Ten year inflation-indexed breakeven edged […]
Borrowing from the Fed to repair broken windows
August 25, 2020 –Rates were little changed Monday in front of today’s 2y auction, with yields unch’d to +1 across the curve. In eurodollars, the two largest volume contracts, each at 112k, were EDZ1 and EDZ2. There was a buyer of approx 35k EDZ1/EDZ2 spread for 3.5, which traded up to 5 and settled 4.5. […]
