Archive for the ‘Eurodollar Options’ Category
Reverse manipulation
January 14, 2020 –(AP) The US budget deficit thru the first three months of this budget year is up 11.8% from the same period a year ago, putting the country on track to record its first $1 trillion deficit in eight years. Both spending and revenues set records but spending rose at a faster clip. […]
Msft, Aapl, Googl, Amzn
January 13, 2020 –Yields fell and implied vol was hammered Friday in the wake of Friday’s payroll data which was slightly weaker than expected with NFP 145k and yoy earnings at 2.9% vs 3.1% expected. The ten year yield dropped to 1.821%, down 3.4 bps. The curve flattened with twos down only 0.6 bp to […]
Fed pumps, vol dumps
January 12, 2020 – Weekly comment Starting this week with a chart on volatility. The white line (right hand scale) is TY vol and the green line (left hand scale) is VIX. The high in VIX (>35) occurred at the end of 2018, as stocks were crumbling after the Fed’s final December 2018 hike. The […]
Payroll Friday
January 10, 2020 –Stock futures at new highs this morning. Treasuries mixed with the curve slightly flatter. Yields fell yesterday despite the 30 year auction; the ten year fell 1.7 bps to 1.855%. –Today brings the Employment report with NFP expected 160k from 266 last. YOY earnings expected +3.1%, same as last. Atlanta Fed’s median […]
All Clear
January 9, 2020 –Markets had violent reversals from Monday evening’s panic related to Iran’s impotent missile response. Stocks ended at all time highs. WTI crude posted a huge range and closed below 60, nearly 10% off the high print. Yields finished higher on the day with tens +4.7 bps at 1.872%. On the euro$ strip […]
Got your six
Jan 8, 2019 –Iran lobbed missiles at US forces in Iraq, seriously escalating tensions. Equity futures plunged to new lows but came nearly all the way back, tens and bonds exploded higher but have also given back much of their early gains. ESH now 46 points off the low of 3181.00. Gold (GCG0) surged to […]
call the repo man
January 7, 2020 –Once again, overnight moves on Monday morning were faded with stocks grinding back to end positive on the day (and higher yet this morning). Gold was able to hang on to gains, with GCG0 closing +16.4 at 1568.80. The Suleimani situation is ‘contained’. Rate futures were quiet. Ten year yield rose 2.3 […]
Saftey bid, but near term easing not likely
January 6, 2020 –Well at least the China deal is progressing along smoothly, right? This morning Feb Gold traded 1580, up $100/oz from mid-December. WTI crude (CLG0) is 63.80 with a high of 64.72, having started December around 56. Rate futures are only slightly bid, facing auctions of 3s, 10s and 30’s this week. On […]
Optical Accuracy
January 5, 2020 – Weekly Comment I read a paper this week: ‘On the Optical Accuracy of the Salvator Mundi’. The paper is by a few computer scientists and concerns whether Leonardo accurately depicted the properties of the translucent orb in the painting in “an optically faithful manner”. The scientists ran a series of computer […]
Rapid Response
January 3, 2020 –That escalated quickly. After assaults on the US Embassy in Iraq, on Wednesday “Iran’s Supreme Leader Ayatollah Ali Khamenei….said Washington ‘can’t do anything’”. Yesterday a US strike killed top Iranian General Qassem Soleimani at the Baghdad airport, along with an Iraqi military leader whose group is supported by Iran. Flows into safe […]
