Archive for the ‘Eurodollar Options’ Category
It’s suddenly fashionable to hedge long-end rate risk
August 12, 2020 –Huge sell off in precious metals underscores market fragility. Spot gold fell over $200/oz in the last few days (including this morning) but that move was merely a 50% retracement of the rally since June. Spot gold currently 1930 vs high of 2075 on Friday. Yields are firming, with tens jumping 8 […]
Fed’s flows
August 11, 2020 –Stocks have recovered after yesterday morning’s sneeze with ESU at a new high, currently up 23 at 3375.75. Gold and silver are pulling back. Bonds are lower with TY edging closer to the 139.5 strike as three-year notes are auctioned in size of $48 billion today. A scan of news provides possible […]
Euro$ option pit re-opens today
August 10, 2020 –Friday featured a slight rebound in yields with tens up 2.4 bps to 55.9 as the employment report was somewhat better than expected. A couple of near one-year eurodollar calendars edged to new recent highs, for example EDU0/EDU1 rose 1.5 to -3.5 and EDZ0/Z1 rose 1 to -6.5. This latter one-year spread […]
Gauging Stimulus
August 9, 2020 – Weekly comment Three statisticians went duck hunting. A duck was approaching and the first statistician shot, missing the duck by shooting a foot too high. The second guy shot and was a foot too low. The third cried, “We hit it!” Nasdaq made a new all-time high this week at 11276, […]
NFP
August 7, 2020 –Unemployment Friday, expected to be an increase of 1.48 million vs the blockbuster 4.3 million in the last report. Rate expected to decline to 10.5 from 11.1%. –Not much to comment on in the rate world. Tens fell 0.5 bp to 53.5. Libor/OI proxy FFF1 vs EDZ0 settled 21 bps, lowest since […]
Interest doesn’t compound, problems do
August 6, 2020 –The Treasury refunding announcement caused a small pullback in bond prices along with modest curve steepening, but overall action was quiet. Ten year yield rose nearly 3 to 54.1. Once again, the ten year tip made a new ‘real’ low yield of negative 107.7 and is -109 this morning. Gold and silver […]
New high gold
August 5, 2020 –On a closing basis, Tuesday was lowest ever yield in tens which are hovering just above 50 bps even as Nasdaq holds near new highs. On June 30, the ten-year inflation index note was -70.5. Just over a month later 25 bps of ‘real yield’ has been shaved off, now at negative […]
Confidence
August 4, 2020 –Quiet Monday with yields edging slightly higher as Nasdaq made a new all-time high. Ten year up 2.6 bps to 56.1. The ten-year inflation indexed yield made a new low of negative 102.8 bps, bringing the ten-yr inflation breakeven to a new cycle high 159 bps. ISM Mfg came in at 54.2, […]
That’s what you’re good at Butch
August 2, 2020 – Weekly comment There’s a scene in Butch Cassidy and the Sundance Kid, where they’re cornered on a sheer cliff with lawmen closing in on all sides. Butch (Paul Newman) looks over the rocky edge down to a rushing river far below and says, “We’ll jump!” Sundance (Robert Redford) is tensely anticipating […]
Tech giants soar with Q2 GDP -32.9%
July 31, 2020 –On a day when Q2 GDP showed a historic plunge of 32.9%, and Trump suggested the election be postponed, tech giants FB, AMZN, AAPL released better than expected earnings and soared in after hours trading. At the same time, yields are making new lows with the two-yr just under 12 bps, and […]
