Archive for the ‘Eurodollar Options’ Category
It’s a hi-tech world, but still all about oil
April 20, 2020 –The news today is about oil, where the expiring May WTI (CLK0) trades below $14/bbl, with June around 23 and July around 28. The implosion of demand has sated storage facilities, where inventories will eventually be worked off. It’s a stark reminder of lessened demand across industries, many of which will have […]
Back month dollars floating on air
April 19, 2020 – Weekly Comment The low in the US 2y yield was made in 2011 at 15.5 bps. This week it traded 19.9, essentially revisiting that low. At the time in 2011, the five year was around 77 (it made a new low of just over 50 bps in 2012; now 36.4) and […]
Snow in April in Chicago. Normal
April 17, 2020 –Stock futures jumped to new highs shortly after the close yesterday evening as Trump announced re-open plans and a drug from Gilead apparently showed promise of rapid virus relief. ESM made a high of 2885, up nearly 100 from settle. On the other hand, China released Q1 GDP down 6.8%. –Curve continued […]
What’s your dirt doin’ in Boss Kean’s ditch?
April 16, 2020 –Retail Sales yesterday were dismal at -8.7% with Empire St Mfg -78.2. Philly Fed today expected -30 to -40, but if it’s anything like Empire, which easily took out the GFC low, then Philly could be -60 or lower. Jobless Claims again expected in the millions. The main feature yesterday was a […]
A to Z
April 15, 2020 –AMZN new all-time high yesterday. So I guess everything’s fixed, from A to Z. Let’s just start with A: AA is Alcoa, and it’s down 64% from the high of this year. Close to Z is X, US Steel, which is down 41% from the start of year high. Z is Zillow…down […]
Wrench in the V-shape
April 14, 2020 –Tens (TYM0) have been in a relatively tight range for the past four sessions bouncing around 138-00 (yesterday settled 138-025) and today looks no different. Yield at futures close yesterday was 74.6 bps. Premium selling on the front end of the curve portends more normal conditions, with EDM0 9950 straddle settling 20.0 […]
The Unexpectable
April 12, 2020- Weekly Comment Early Thursday morning prior to expiration, April 3-month eurodollar, EDJ0, was trading 98.72 or 1.28%. Then, three-month Libor set at 1.21888%, down nine bps from the previous day’s setting, so the EDJ0 contract settled at 98.7811. There were 549,312 contracts open in EDJ0, so a 6 bp move equates to […]
Powell, Financing the World
April 9, 2020 –Powell speaks today at 10:00 EST. FT runs the headline: Bank of England to directly finance extra government spending. (Might as well just overtly announce it, since it’s happening the world over). The US treasury has been busy auctioning t-bills at an average over $100 billion per day (according to a ZH […]
No evidence of systemic crisis?
April 8, 2020 –The initial move yesterday in stocks evaporated at the end of the day, and bonds retraced some of their losses. At the 3:00pm futures close I marked tens at 73.3 bps, up 5.8 on the day. Curve was slightly steeper with 2/10 up 4 bps to 37.5. Gold traded above the important […]
Signs of improvement
April 6, 2020 –Stocks starting off the week with ESM up nearly 100 currently 2578. Big level above is 2635. While WTI is currently down 78 cents at 27.56, for the most part it seems to be absorbing the delay in the OPEC+ meeting due to renewed fissures between Russia and the Saudis. Rate futures […]
