Archive for the ‘Eurodollar Options’ Category
China stocks
July 7, 2020 –Another new low in the US 10y inflation-indexed note yield at -79.6. I have seen several articles recently comparing the rate of change on the tip yield with the price of gold. From early June until now the tip yield has gone from -40 to nearly -80 while GCQ rallied from 1690 […]
M2 and CPI
July 5, 2020 – Weekly comment Friday’s payroll report was pretty much of a dud. NFP +4.767 million and the ten year yield barely budged, ending at 67 bps, 13 bps below the recent high yield of 90 bps set on the previous NFP released on June 5. In the week just ended, the US […]
Huge NFP met with a yawn by FI
July 3, 2020 –The ten year yield declined on an increase in payrolls of 4.767 million! Midday at futures settle tens were 67 bps, down 1.3 on the day. A couple of the euro$ one-year calendar spreads notched new lows with EDZ0/EDZ1 now the lowest one-year on the board at -10, down 1 on the day. Of […]
NFP – Happy 4th!
July 2, 2020 –Employment report today with NFP expected 3.058m. Currently stocks are positive and yields have edged slightly lower from yesterday’s settle, the dollar is lower. Mfg ISM released Wednesday showed a move back into expansion at 52.6, while Prices paid was also stronger at 51.3 vs 44.6 expected. –Fed minutes had little effect […]
Equity?
June 30, 2020 –In the beginning of June, EDM1/EDM2 spread surged, moving from 5.5 to a high settle of 12.0 on June 4. There had been a large buyer of 100k from 5 to 6, and the employment report last month made these buys appear quite prescient. On Feb 24, just after stocks had peaked, […]
Forcing negative rates
June 29, 2020 –The highest print for a FF contract has been 100.07 on 8-May, FFF’22. It settled that day at 100.005. The highest settle in that contract was 100.03 on 14-May. Current market is 100.01/02. The high trade in EDU0 was 9981.5 on 16-March. On 8-May it traded 9977.5 and is currently 9972.5/73 with […]
pop
June 28, 2020 – Weekly comment Sometimes it’s sort of funny when things go ‘POP’. But sometimes people get mad in what has become a humorless society. Which often makes it funnier. (FROM GARY LARSON/ THE FAR SIDE) I am just going to post a few charts, and yes, I am plagarizing these ideas in […]
TIPS
June 26, 2020 –Not much to say about rate futures. Ten year yield locked just under 70 bps. TYU trading 138-29 this morning and July 139 calls expiring today trade 3, probably not even worth a look. Late yesterday the Fed limited banks’ dividends and banned stock buybacks as a result of stress tests. Given […]
zombie
June 25, 2020 –Yields eased a bit as stocks and crude oil tumbled. The ten year fell 2.5 bps to 68.2. SPX down 2.6% and CLQ0 settled -2.36 at 38.01. Option activity was light. July treasury options expire Friday. Increased virus fears appear to be the driving factor. News today includes Durables, expected +10.5% and […]
Nasdaq or gold
June 24, 2020 –Once again muted price action in fixed income with implied vol slipping. Curve had a slightly steeper bias. Tens rose 0.5 bp to 70.7, while the thirty yr rose 2.7 to 1.486%. July treasury options expire Friday with TYN 138.75 straddle currently 22/24 vs 138-23. Five year auction today. –Yesterday the Nasdaq […]
