Archive for the ‘Eurodollar Options’ Category
Steeper end to 2019. More to come?
January 2, 2020 –China cut reserve ratios for large banks by 50 bps to 12.5% yesterday, giving a jolt to equities to kick off the new year. Protesters have apparently pulled back from the US Embassy in Iraq, though that situation could easily flare up again. –Friday featured slightly higher yields in a session where […]
Libor setting likely to converge DOWN to future’s rate
December 31, 2019 –Happy New Year!!! –First a bit of local news. Illinois continues to lose population for the 6th year in a row, down 1.2% in the past decade, as new taxes and fees continue to be imposed in an attempt to stem the tsunami of upcoming public pension fund failures. On the other […]
Removal of liquidity insurance
December 29, 2019 The driving factor of Q4 appears to have been the extraordinary growth of the Fed’s balance sheet and tremendous liquidity injections provided by the Fed’s repo operations since the mid-September funding scare. In the last quarter SPX gained around 8%. I had seen a clip on twitter that said the increase in […]
Public places and mansions
December 25, 2019 Not my normal topic, but a New Yorker piece got me thinking…. The other day I was walking down Jackson Blvd to have coffee with a friend near the CBOT. Jackson borders Willis (formerly Sears) Tower on its south façade. They’re doing a massive renovation project on the building, complete with all […]
In: Eurodollar Options
COT and Euro$ open interest
December 24, 2019 –Yesterday I saw a couple of postings related to the large drop (700k) in spec longs in euro$’s from the last Commitment of Traders (COT) report. My suspicion is that these changes have to do with 1) the Dec FOMC which indicated that the Fed is on hold for the foreseeable future, […]
Market pricing supports further steepening
December 23, 2019 –From late Sept until Friday, the curve has steepened. German 2/10 bottomed at 14 bps in late Sept, and ended Friday at 38, a gain of 24 bps. In the US, 2/10 had bottomed in late August at -4, but from the time of the German low to now, US went from […]
TGIF
Dec 20, 2019 –At futures’ settlement, yields were marked slightly lower on the day, with tens down 1.2 bps at 3:00pm to 1.908% vs TYH 128-10. However, the last two hours of trade saw TYH fall to 128-05, and the current price is 128-00. Curve continues to grind to new highs, with 2/10 at 29, […]
No political agreement, but market signals agree: Curve is steepening
December 19, 2019 –With the impeachment vote, the House was able to send a really important message to Trump that they just don’t like him. Stocks remain near all-time-highs this morning, and bonds are lower; the market has concluded that more gov’t stimulus is likely to result. –Great interview yesterday with Stanley Druckenmiller and BBG’s […]
Markets ignore impeachment
December 18, 2019 –Stocks are hanging around all-time-highs in front of the impeachment vote. Interest rate futures are quiet, with little change in yesterday’s close. 2/10 squeaked to a new recent high of 25.6 with twos -1.2 bp and tens -0.2 to 1.887%. FedEx reported ‘horrendous’ results as a result of global trade issues and […]
Misfit toys
Dec 17, 2019 –The exuberant rally in GBP has reversed, appropriately leaving an island top on the futures contract, as a hard stance on Brexit negotiations looms. Any chance of an equally hard reversal in US stock index futures? Probably not… –Rate futures tumbled yesterday with the ten year note yield up 7 to 1.889%. […]
