Archive for the ‘Eurodollar Options’ Category
Quick notes
November 18, 2019 –China trimmed its key 7-day repo from 2.55% to 2.50%, a small sign of easing. Today the Chicago Fed national Activity Index released, expected -0.50 from -0.45 last. The low was in April at -0.84, but weakness has persisted through the year. While stocks look to start the day higher, gold is […]
Deer (in the headlights) season
November 17, 2019 – Weekly comment In the beginning of November, the Atlanta Fed’s GDPNow Q4 estimate was 1.5%. On Friday, with the release of Retail Sales and Industrial Production, that estimate was downgraded to 0.3%. Real personal consumption expenditures and gross private domestic investment decreased from 2.1 and -2.3 to 1.7 and -4.4%. The […]
In: Eurodollar Options
FED IMPLEMENTS POLICIES TO HELP TRUMP’S CAMPAIGN!
November 15. 2019 –This morning it’s all about US/China Phase I, with Kudlow setting the table tor a deal. Stocks have surged to new highs. Timing’s right for a December signing and the tease of further progress. Bonds also surged yesterday, with tens -6.1 bps to 1.813%. Euro$ contracts from EDH21 through the golds were […]
There’s a bias toward ease; are option markets overpricing?
Nov 14, 2019 –On a day filled with events and news, trading was subdued. Yields fell with tens -3.6 bps to 1.874%. The curve edged slightly flatter. Red euro$ pack (2nd year) settled +4.75 while greens through golds were +5.0 to +6.0. Stocks started the day lower but were able to close positive, as Powell […]
Risks building for stocks and bonds
November 11, 2019 –Hang Seng down 2.6% as violence in Hong Kong escalates and Shanghai Comp -1.8%. US stock futures also point to a lower open on this holiday session and bonds are seeing a very modest bounce. –Curve continued to steepen Friday with 2/10 posting a new high at 26.6. Twos fell 1.1 […]
Another case of repo indigestion coming?
November 10. 2019 https://www.bloomberg.com/news/audio/2019-11-08/why-the-repo-markets-went-crazy-podcast I am starting with a link from Bloomberg which is a podcast with Zoltan Poszar about repo and liquidity issues. It’s about 50 minutes long, but well worth the listen. On Friday, I saw this trade, EDZ9 9800/9812 strangle sold at 3.25. The 98.125c settled 2.5 and the 98.00p settled 1.0. […]
Big yield jump; limited from here?
Nov 8, 2019 –Big day Thursday. Yields jumped with tens up 10.5 bps to 1.917%. New high in 2/10 at 24.4, up 3.7 on the day. All near euro$ calendar spreads made new highs. EDH20/EDH21 rose 6 bps to -11.5. EDU20/EDU21 settled POSITIVE 0.5 bp, with all spreads following also positive. Reds/greens up nearly 3 […]
It’s like some sort of water torture
Nov 7, 2019 –Yields fell yesterday with tens -5.3 bps to 1.812%, buttressed by a solid auction. Early in the session there was a buyer of 100k TYZ 131c for 3 (settled 4 vs 129-105, OI +40k). Prior to the auction, news of a delay in the US/China agreement sparked short cover buying; open interest […]
Supply inspired steepening
Nov 6, 2019 –Bear steepener Tuesday with 2’s up 4.3 bps to 1.633% and 10s up 8.1 bps to 1.865%. While 2/5 treasury spread made a new high yesterday (chart) at 3.6 bps, 2/10 and 5/30 remain below previous highs. 2/10 closed at 23.2 vs a high of 28.2 in mid-Sept and 5/30 at 67.6 […]
Beyond reds
November 5, 2019 –Does supply matter? We’re about to find out this week as treasuries look to re-test the lows made just prior to the FOMC meeting last week, as auctions kick off with today’s $38 billion 3-yr (followed by 10’s and 30’s Wed and Thursday). Aside from supply, US/China talks appear to be progressing. […]
