Archive for the ‘Eurodollar Options’ Category
The big data’s out, let’s sell some bonds
Nov 4, 2019 –New highs in stocks this Monday morning due to (I guess I’ll just chant this with everyone else) optimism on a China/US trade deal. Of course, central bank support continues to play a role, but that’s less apparent in the bond market with auctions of 3, 10 and 30 year treasuries this […]
It’s a mad world
November 3, 2019 – Weekly In 2018, the dollar growth of nominal GDP was less than the dollar growth of the national debt. That means that there is no growth. We’re having an illusion of growth. It means that we’re issuing IOUs and spending it, and it shows up in the calculations as growth. But […]
In a good place
Nov 1, 2019 –The treasury curve shifted lower by 10 bps or more. Tens fell 10.7 to 1.687%. Greens were the star performers on the euro$ curve, closing +13.625. It’s almost as if the Fed (unexpectedly) eased! The high contracts on the ED curve are June and Sept’21 at 98.625 or just 1.375%. Coincidentally, April […]
That’s all folks!
Oct 31, 2019 –As of the 3:00pm settle, tens were down 3.9 bps to 1.794% and bonds down 5.6 bps to 2.272%. However, the rally continued after Powell’s press conference. The Fed cut another 25 bps and signaled a pause, pretty much in line with what eurodollar calendar spreads had been signaling. Nov FF settled […]
Fed day
Oct 30, 2019 –Slight decline in yields yesterday amidst light volume, tens fell 1.8 bps to 1.833%. There were a couple of notable upside trades in eurodollars, a buyer of 40k EDM0 9912/9925 call spread for 1.0, which would pretty much require cuts at every one of the next four FOMC meetings (after today’s) to […]
Break on through…
Oct 29, 2019 –In spite of continued signs of a weakening economy, yields rose with tens up 5 bps to 1.851%. Chgo Fed National Activity Index was -0.45, near the lower end of the past year’s range, and Dallas Fed Mfg was -5.1 vs expected +1.0. Stocks broke through to new highs. (We chased our […]
More debt, higher yields, slower growth (and robots)
Oct 28, 2019 –Yields rose Friday on light volume with steady to falling implieds. Tens ended +3.7 bps at 1.801% and are up another 3 this morning as TYZ trades 129-09, approaching the low from mid-September. Worth a note as well, China’s ten year sovereign prints 3.30% this morning, the highest yield since June and […]
OXI
Oct 27, 2019 — Weekly Comment Tomorrow, October 28th, is NO day, the Greek holiday commemorating prime minister Metaxas’ refusal to let the Axis occupy strategic locations in Greece. From Wikipedia: This ultimatum, which was presented to Metaxas by the Italian ambassador to Greece, Emanuele Grazzi, shortly after 03:00 am on 28 October 1940, who […]
Bonds have already priced Core Capex decline and are looking forward
Oct 25, 2019 –Quiet day Thursday with barely any change in fixed income. November treasury options expire today with TYZ comfortably sitting between 129.75 and 130. I would note that on the eurodollar curve, the peak contract is now the 2nd red, namely EDH21 at 9855.0. The peak had been the 8th contract recently; the […]
Auto Draft
Oct 24, 2019 –Little change in interest rate futures yesterday. In euro$’s reds thru golds +1 to +1.5. Ten year yield fell 1.1 to 1.757%. However, there is still turmoil below the surface, as the Fed increased o/n repos to $120 billion from $75b and term to $45b from $35b. While the signal of increased […]
