Archive for the ‘Eurodollar Options’ Category
Under the Counter
March 11, 2020 –There’s an old Bud Light commercial that’s pretty funny. Guy goes into the convenience store and grabs a six-pack of Bud Light but also quietly asks the Asian woman at the counter for a copy of Tongue and Cheeks. She can’t find it on the rack and yells out to another co-worker, […]
Historic day
March 10, 2020 –SPX fell 7.8% yesterday with Nasdaq -7.3%. SPX hit the 61.8% retrace from the 2018 low to this year’s high. Nasdaq did not quite touch the 50% retrace. At the low SPX was close to a 20% pullback from the high of the year. Everything, including crude oil, has had a nice […]
ZIRP
March 9, 2020 –Starting this morning with a link to CME price limits in S&P’s.https://www.cmegroup.com/trading/equity-index/faq-sp-500-price-limits.html FAQ: S&P 500 Price Limits – CME Group7% decline. A 7% decline (Level 1 circuit breaker) in the S&P 500 Index before 2:25 p.m. CT will trigger a NYSE Rule 80B trading halt for both the cash equity market AND […]
Wrath of the Market Gods
March 8, 2020 – Weekly comment This past week was the stuff of Greek mythology. Everything is going along fine, and the next thing you know you’re chained to a boulder on a mountain and an eagle swoops down to eat your liver every morning (it grows back overnight). This of course, is the story […]
I suggest you panic
March 6, 2020 –Prior to this week, the Fed was engaged in soul-searching related to the mid-September repo surge. The current episode will probably make that one look like a walk in the park. Consider these settlements and current prices: On Tuesday, post-ease, FFJ0 settled 9921, FFN0 9940.5 and FFF0 9954.0. This morning, with net […]
Front-loaded ease
March 5, 2020 –The market dialed down risk yesterday, with ESH0 soaring 117.75 to close at 3114.75. The Feb 20 high of 3397.50 to the subsequent low of 2853.25 has a 50% retrace at 3125. This level was tested yesterday, but appears to have failed as ESH currently is -59. Other examples of receding risk […]
Rapid and forceful ease. Is it enough?
March 4, 2020 –Fed cut 50 bps just two weeks before the regularly scheduled FOMC to 1-1.25%. This morning EDH0 is sub-1%, at 9901.25, along with the rest of the euro$ curve out through the golds. Ten year yield hit 89 bps yesterday and is just below 1% this morning. Many businesses are likely to […]
Long end suspect
February 28, 2020 –Extraordinary session yesterday with yields continuing to fall and stocks plunging from an early gain. SPX was down 4.4% and Nasdaq down 4.6%. Tens at the 3:00 pm futures settle were -1.5 to 1.299 but are lower by another 10 bps this morning. The reds have sliced through the 9900 strike like […]
Nearing an emergency ease?
February 27, 2020 –Once again, yields made new lows with tens -1.6 bps to 1.314%… though once again, at the end of the day, there was heavy selling of fixed income. Stocks rallied early but faded and have made new lows overnight. Industrial commodities are showing very little sign of a bounce. CLJ0 is down […]
And…. it’s gone
February 26, 2020 –Stocks continued to drop yesterday with SPX down another 3% and now lower on the year. Nasdaq is around flat on the year. Bonds on the other hand have made significantly lower yields. Tens fell another 4.2 bps to 1.33%, while 30’s fell 3 to 1.802. Ten year treasury to inflation-indexed spread […]
