Archive for the ‘Eurodollar Options’ Category
Not over yet
June 23, 2020 –Nasdaq closed at a new high and is building on those gains this morning, despite a brief hiccup associated with Peter Navarro saying “it’s over” about the China trade deal. A quick plunge in stocks, as ESU fell 50 points, was quickly regained as Navarro and Kudlow rushed to cancel the comments. […]
A long weekend
June 22, 2020 –Little change in rates on Friday and on the week as a whole. Ten year ended at 69.7 bps from 69.9 the previous Friday. Stocks took a late tumble but are back up this morning. –A Reuters article notes a decline in the Fed’s balance sheet as swap lines to foreign central […]
Barking dogs
June 21, 2020 – Weekly comment In a daily piece last week I mentioned that bond (US) vol relative to five-year (FV) vol was as high as I have remembered seeing it. After that comment I received a call from a treasury market-maker friend who wanted to discuss this topic in more detail, so I […]
Ring of fire
June 19, 2020 –Yields declined and the curve flattened on light volume. Tens back under 70 bps at 69.2, down 4 on the day. Two year note essentially unch’d at 19.3 bps. First two years of euro$ contracts net change of 0 to +0.5. –Not too surprising that vol continues to slump. TYU atm straddle […]
Rise and Fall
June 18, 2020 But rather than finish his studies, XXXX became a gambling addict, lost all his tuition money, dropped out of school and suffered a nervous breakdown. It would not be his last. –It might be added, that since school was now online, he didn’t think it was worth the same tuition money anyway, […]
HTZ ended lower?!
June 16, 2020 –Powerful stock rally off yesterday morning’s open continues. Reuters headlines tell the story: Fed launching new Main Street lending program; Treasury eyes $1T infrastructure plan to spur recovery; Fed buying corporate bonds. There’s a swirling negative conversation about Robinhood traders being swept into the vortex of social media investing, but at the […]
Mere anarchy…
June 12, 2020 The best lack all conviction, while the worst / Are full of passionate intensity. –All about stocks yesterday as SPX fell 5.9%, almost perfectly retracing 50% of the recent leg up from 2751.50 (May 14) to the high of 3220.50 (June 8). I am using ESU contract. 50% is 2986.0 and yesterday’s […]
Beaten down
June 11, 2020 –Stocks are sliding with several news sites attributing the fall to a downbeat Fed while Bloomberg creatively points to fears of a second virus wave. Might as well add social unrest and bombs being launched at the US Embassy in Baghdad. ESU currently down 45 at 3130.50. –Yields fell yesterday with the […]
Inconceivable and Irrational
June 10, 2020 –Yields fell and the curve continued to pull back from Friday’s new highs. For example, 2/10 which ended Friday just above 69 bps was 62.5 at futures settlement. The one-year euro$ calendar EDM21/EDM22 settled back at 7.0, having been 12 on Friday (there is a large core long of >100k contracts in […]
They knew
June 9, 2020 –Many years ago I worked at Refco and covered a guy at a well-known hedge fund. I can’t recall the exact conversation, but we were talking about some type of legislation that could possibly have an impact on interest rate markets. What I do specifically remember is that he said this relating […]
