Archive for the ‘Eurodollar Options’ Category
The Fed can’t cure the virus
January 30, 2020 –Yields continued to fall yesterday right through Powell’s press conference, with tens shaving 5 bps to 1.592% (at futures settlement). The Fed raised IOER 5 bps to 1.60% (so it now just eclipses the 10y yield), and directed the desk to continue buying bills at least into Q2. The Fed’s implementation statement […]
Wuhan virus acceleration starting to look like palladium chart
Jan 25, 2020 –All eurodollar calendars making new lows as back contracts outperform front end. The Wuhan virus spread is not likely to respond to monetary policy, though some firms are probably going to encounter cash flow problems from reduced activity. –EDH0/EDH1 is lowest one-year calendar spread and settled -31.0, down 4 on the day. […]
Lockdown
January 24, 2020 –40 million people on lockdown in China due to Wuhan virus according to BBG. Stocks yesterday reversed early losses and closed higher; this morning ESH is at 3333 like a magnet. Yields eased yesterday with tens down 2.8 bps to 1.738%. As the chart below shows, Leading Indicators were -0.3, the weakest […]
Risks spreading
January 23, 2020 –The Wuhan virus has caused the Chinese gov’t to quarantine the city (with more likely to follow). While there are various reports with exact numbers of infected and dead, other sources suggest a far broader risk; hospitals swamped, the virus has spread to every province, “the severity of the outbreak has alarmed […]
A bid for long dated USD assets
January 22, 2020 –Stocks are at new highs this morning, shrugging off concerns about the Wuhan flu. Negotiators say there are o immediate plans for US/China Phase 2 talks (probably until this whole pandemic thing blows over). Treasuries have barely given back any of yesterday’s gains. Tesla has exceeded $100 billion in market cap. –Tens […]
Human Contact
January 21, 2020 –Now it’s all about the Wuhan coronavirus that is spread by human contact, potentially made worse by travel plans during the lunar new year. US stock futures down just 40 to 50 bps from record highs last week. Hang Seng down 2.8%, Nikkei down 90 bps. TYH traded a high of 129-155, […]
No Free Lunch
January 19, 2020 – Weekly Comment On Wednesday, Dallas Fed President and 2020 FOMC voting member Robert Kaplan said this in an interview: “It’s a derivative of QE when we buy bills and we inject more liquidity, it affects risk assets. This is why I say growth in the balance sheet is not free. There’s […]
More bonds
January 17. 2020 –Stealing Bernie’s thunder: We’ll issue more bonds to pay for a middle class tax cut… –Tens are unchanged this morning while USH contract is down 20/32 as the US says it will begin to auction 20-yr bonds to help fund the deficit. Yesterday tens rose 1.4 bps to 1.802% on solid retail […]
Making up excuses to buy palladium
Jan 16, 2020 –Not a lot to talk about in rate markets. Ten year yield fell another 2.8 bps to 1.788%. The curve eased to new lows for this new year, with 2/10 down just over 1 bp to 22.8 and red/gold euro$ pack spread at essentially the same level, 22.625, also a new recent […]
Gingerly withdrawing liquidity
January 15, 2020 –Today is the US/China Phase 1 signing. It’s also settlement day for last week’s auctions and a tax date, but there appears to be plenty of liquidity. Yesterday afternoon the Fed released the Jan/Feb repo schedule, which shows a modest $5 billion decline in 2-week term repos starting in February (down to […]
