Archive for the ‘Eurodollar Options’ Category
Notes
May 12, 2020 –Yields ended higher yesterday and curve posted new recent highs. Ten year up 4.5 bps to 72.5. Thirty-year at 1.44 surpassed April’s high (chart below). 2/10 ended at 54.4, +1.5 and 5/30 at 108.4, +2.5. Red/gold pack spread ended at 45.125, +1.5 but still 10 bps off the high from mid-April. –CPI […]
Double Vision
May 11, 2020 –January 2021 FF contract trades 99.985 this morning, having notched a high of 100.04 on Friday. Peak contracts June and July ’21 still trade above 100, with yields of -1 bp. The Fed announced that Powell will address the economic situation on Wednesday, which caused afternoon profit-taking in short-rate futures. Peak euro$ […]
Reflation
May 10, 2020- Weekly Comment This week I am starting with a link to the macro letter by Paul Tudor Jones and Lorenzo Giorgianni, ‘The Great Monetary Inflation’ I skim a lot of financial news sites and what seems to have been distilled by the press from this paper is that PTJ now favors bitcoin […]
Warped signals
May 8, 2020 –The eye-opening news from yesterday was that FF futures traded above 100, that is, negative rates. FFZ0 settled 100.01 and the peak contract was FFM1 at 100.03. Contracts are higher this morning with the peak June’21 contract at 100.06 or minus 6 bps. Eurodollars of course, also saw a rally to new […]
Industrial smoothing
May 7, 2020 –An apparent catalyst for this morning’s stock strength is China’s reported increase in April exports of +3.5% vs an expected fall of 15%. Or, maybe it was Peloton’s earnings report. Or something else. I am not given to calling everything ‘fake news’, but this morning it seems to fit. ESM +44 at […]
Hint from oil and curve
May 6, 2020 –Notable feature yesterday was a steeper curve, with 10/30 treasury spread at 67, its highest level since mid-2017. The ten year yield on its own was +1.6 at 65.4 and thirties rose 3 bps to 132.5. 5/30 gained 2.5 bps to close at 96.2, not quite at a new high. Three month […]
5/30
May 5, 2020 –Quick note this morning concerns long end of the market. The 30 yr yield is 1.33% this morning, up from 1.295 yesterday. Since late March USM has traded a relatively tight range between 177 and 183 and is now almost in the middle at 179-25 but appears to be weakening. Above is […]
Frogs
May 4, 2020 –Well, stocks are lower as is oil, with ESM below 2800 (-28) and CLM0 -1.35 at 18.43. Still a long way from zero though. Interest rate futures pushing a bit higher with a flattening bias. On Friday the ten year yield was 63.9 and it’s now back to 60.5 with TYM0 again […]
The Irish Lumper
May 3, 2020 – Weekly comment Exactly a year ago I was in NYC for a grand benefit staged by a friend as part of County Mayo Days. I was also invited on Saturday May 4 to an event at the Irish Hunger Memorial by new friends Corina and Siobhan. The Hunger Memorial is at […]
May Day
May 1, 2020 –May Day, a sign of spring but also a commemoration of workers initially relating to the Haymarket Square affair in Chicago in 1886 where a rally of peacefully striking workers turned into a riot as a bomb was thrown. I didn’t realize the location was Randolph and Desplaines, just a few blocks […]
