Archive for the ‘Eurodollar Options’ Category
New high stocks
August 24, 2020 –New highs in stocks this morning as Covid relief appears to be right around the corner. Fixed income edging to marginally higher yields for the time being. –Treasury option expiration on Friday pegged the 139.5 strike. October 139.5 straddle settled 1-06 with a month to go. This week Powell speaks on Thursday […]
No Hazards, Moral or Otherwise
August 23, 2020 – Weekly comment Prior to the housing crisis, Freddie Mac securitized mortgages as participation certificates (PCs) and sold the interest rate risk to investors. Under this business model, Freddie Mac retained 100% of the associated mortgage credit risk. In 2013, Freddie Mac engineered the STACR program, making them the first GSE to develop […]
Hic sunt dracones
August 21, 2020 — Sept Treasury option expiration today. Ten year yield declined 3.1 bps to 64.3 and 2/10 also fell 3 as twos were unch’d, to 50.4. –Today’s news includes Markit Mfg PMI expected 52.0 and Services 51.0, which would both be slight improvements over last month’s data, but Europe PMIs came out on […]
Fed (and other) uncertainties
August 20, 2020 –Fed minutes from the July meeting caused some late pressure as yield curve control measures were dismissed. “Many of these participants also pointed to potential costs associated with yield caps and targets.” [The biggest concern is How do we get out once we’re in?] “In light of these concerns, many participants judged […]
Treasury sells 20s today, Fed buys them tomorrow
August 19, 2020 –Quiet session in rates yesterday; tens eased 1.5 bps to 66.7 and the curve edged flatter with 2/10 at 52.4. While volumes across the board were light, there were a couple of large lifts on the dollar curve with associated jumps in open interest. EDZ0 added 35k in open interest with new […]
Dollar down, mortgage delinquencies up
August 18, 2020 –Despite a record high in Nasdaq, yields eased and the curve flattened. Tens fell 2.6 to 68.2 and 2/10 to 53.3, down 2.8. The dollar index is making a new low this morning, currently at 92.54 with EUR printing 119. Gold and silver continue to recapture the ground lost last week, but […]
August Monday
August 17, 2020 –Stock futures pressing higher this morning as the dollar eases, while fixed income is unch’d to small bid. Friday featured new highs in several curve measures, partially spurred by long maturity treasury auctions last week. 2/10 ended at 56.1, up 1 on the day, and 5/30 at 114.4, up 3.6, while the […]
Golden age of Macro
August 16, 2020 – Weekly comment Great interview of Ben Melkman, founder of Light Sky Macro by Erik Schatzker of Bloomberg last week. (All links at bottom). Quick summary of ideas: Covid has been a catalyst and has “upended big truths”. One core theme is that previously, exchange rates were more or less fixed and […]
Got wood?
August 14, 2020 –Yields continued to rise Thursday as the 30 year bond auction tailed a couple of bps at 1.406. Bid to cover was 2.14, the lowest since July 2019, though that auction was much smaller, at $16 billion vs $26 billion yesterday. The ten year yield climbed 3.2 bps to 71.4 while bonds […]
Shakin’
August 13, 2020 –Solid ten year auction saw implied vol ease a bit, even as Core yoy CPI was higher than expected at 1.6. TY closed down a couple of 32’s while ED curve was 0.0 to +1.0 out to five years. I marked the just auctioned 10’s up 1.2 bp. 30 year bond auction […]
