Archive for the ‘Eurodollar Options’ Category
Powell vows to do what he can as GDP expected -35%
July 30, 2020 –Powell vowed continued support for the economy at yesterday’s FOMC. Yields at the front end pressed lower with twos down to 12.3 bps, a decline of 1.2. Tens were unch’d at 57.7 and thirties rose 2.3 to 1.244%, providing a small bounce in the curve. Notable buying in EDZ0 as swap lines […]
FOMC day
July 29, 2020 –In front of today’s FOMC meeting the curve flattened with many spreads making new recent lows. Ten year yield fell 2.5 bps to 58 bps, within a few bps of all time lows. 2/10 is at its recent low of 43.8, while the red/gold euro$ pack spread fell 2.125 to a new […]
Fed and Treasury. Buying and Selling
July 29, 2020 –Yields edged slightly higher yesterday with tens squeezing just above 60, up 1.8 to 60.5. Implied vol remains blanketed, with TYU 139.5^ settling 56 or 3% vol. Gold soared to a new high but silver outperformed. Gold/silver ratio now 81.5, below the triple top of 82 in 2003, 84.5 in 2008 and […]
NOTE ON GOLD AND OPEN INTEREST
July 27, 2020 On June 29, I put out a tweet with a chart of the front Gold (GC) contract and aggregate open interest, suggesting that longs were blown out of the market in the global COVID-inspired margin call in March, and might have to chase the GC contract up to re-establish longs. A friend […]
Precious metals jump as USD dives
July 27.2020 –Gold and silver are exploding with the former at an all-time high $1940. Silver is above $24/oz; it’s all-time high was near $50 in April 2011. Bitcoin has vaulted above 10,000. The dollar index (DXY) is at a new low for the year sub-94; hasn’t seen this level since 2018. Stocks also staging […]
Party like it’s 1999
July 26, 2020 – Weekly comment “All generalizations are dangerous, even this one.” – Alexandre Dumas (b.24 July 1802) On Monday, I saw a tweet by Ed Bradford, @Fullcarry “Starting to feel a bit 1999 ish.”And I responded, “a bit”? Gundlach has also referred to 1999. Maybe he heard it from Bradford first. So I […]
Holding back liquidity
July 24, 2020 –Stocks retreated yesterday and are poised to start the US trading day lower, with deterioration in US/China relations said to be the main catalyst. A flattening bias has pushed 2/10 to a new recent low of 43.7 bps and 5/30 sub-100 at 98.3. Red/gold pack spread is 37.5, -1.375 on the day. […]
Minutia
July 23, 2020 –Once again, a light volume trade in rates with a bias flatter. Tens fell 1.1 to 59.4 while 30s fell 2.2 to 1.29%. On the euro$ curve, marginal new lows were posted in spreads from reds to deferred, with the red/gold pack spread just under 39 bps. 2/10 notched a new low […]
10y tip says silver has room to run
July 22, 2020 –Stocks opened stronger yesterday on the back of an EU Recovery stimulus agreement, but sold off late in the day as McConnell said he doesn’t expect Congress to pass a relief extension bill by next week. Kicking the can with last minute deals. Business as usual, at least in governmental affairs. Fed […]
More
July 21, 2020 –EU deal for more stimulus was agreed upon today, sending stocks and precious metals to new highs for the move (or very close to new highs). However, rate trading is increasingly lethargic. To get a sense, look at the one month ranges in ED one-year calendar spreads: from Sept’21/Sept’22 at a current […]
