Archive for the ‘Eurodollar Options’ Category
Pricing a quiet 2020?
December 16 2019 –EDZ9 expires today and has been stable around 98.105, despite all of the repo angst. 1.5 million futures in open interest, with 11.4 million options on the contract. Dec midcurves expired Friday, eliminating 2.7 million calls and 3.07 million puts. –Friday featured a strong rebound in rate futures despite the Phase One […]
Crisis levels of stimulus
December 15, 2019 – Weekly Comment In Q2 2018 stocks and other assets levitated due to the tax package (Tax Cuts and Jobs Act). At the time, many analysts warned of a ‘sugar high’. In April ‘18 both Morgan Stanley and the IMF put out reports warning that growth was being pulled forward, and that […]
In: Eurodollar Options
Shifting sands
Dec 13, 2019 –There is a LOT going on that may portend trend shifts. First, a Phase I deal jolted stocks to new highs. Yields jumped, with the curve steepening. As of the futures settlement, tens had surged 12 bps to 1.904% while twos were up 6 to 1.672%. On the euro$ curve, reds to […]
Steady as she goes
Dec 12, 2019 –As expected the Fed left rates unchanged. The dot plot indicates gently rising FF over the next few years; not a single dot is lower than the current 1.50-1.75% target over the next three years. In Q4 of last year, the Fed also perceived policy to be on auto-pilot, with balance sheet […]
FOMC. Policy in good place. Primary risk is trade policy.
Dec 11, 2019 –FOMC today. No change in stance expected barring an exogenous shock; policy is in a good place. CPI is released this morning, expected +0.2 with yoy Core 2.3% from 2.3 last. The average of the last twelve Core CPI readings is 2.18%. It hasn’t been below 2.0% since February of 2018. Why […]
Interest rate anguish
December 10, 2019 –Yields steady to slightly lower yesterday with tens ending 1.829% in front of today’s auction. There continues to be buying in TY calls: TYF 131 call 4 paid for 45k, settled 4 vs 128-31 with open interest up 36k, expire 2 weeks from Friday, approx 24 bps away. TYF/TYG 130 call calendar […]
Trade agreement with pencil and paper.
December 9, 2019 –Headline on FT: Beijing orders removal of foreign computers and software. Doesn’t sound like progress on the trade war, though there’s another news blurb on Reuters that says “China says hopes it can reach trade agreement with US as soon as possible.” I wanted to check how long it has been since […]
Stockholm Syndrome
December 8, 2019 – Weekly Comment “That was totally worth it,” she says one morning, eyes pleading through the camera for relief from her torment. The final moments show her sitting on the couch with her partner—the man who gave her this albatross in the first place—to review her video diaries from the past year. […]
Beyond Payrolls
Dec 6, 2019 –While yields pushed a bit higher on Thursday, several large trades favored a move toward lower rates. For example, early in the day there was a buyer of 40k EDG0 9850/9862/9875 call tree for 0.25 (settled flat; 2.0, 1.25 and 0.75 vs EDH0 9831.5), and late in the day on a negative […]
Finding neutral ground
Dec 5, 2019 –Both bonds and SP500 gave back about half of the large moves seen Monday and Tuesday to leave markets in a more neutral stance going into the employment data. On Nov 21, TYH0 topped at 130-04 and on Tuesday at 130-045, and is now 129-135, leaving a double top. As seen on […]
