Archive for the ‘Eurodollar Options’ Category
Tighter tech belt
Oct 23, 2019 –Ten year futures have spent the last seven sessions between 129-16 and 130-16 and are in the middle this morning, just above 130. Nov options expire Friday with atm 129.75 straddle having settled 34/64’s yesterday vs 129-26. Cash tens ended 1.768%, down 2.4 bps. Solid 2-year auction, with 5’s on tap today. […]
Dance Through It
Oct 22, 2019 –Once again near euro$ calendar spreads ticked to new highs as yields rose. EDZ9/EDZ0, the most negative one-yr calendar, settled -34.5, right at the recent high, while EDH0/EDH1 made a new high at -18.5 and EDM0/M1 made a new high at -10.5. The red/green (2nd to 3rd year) pack spread rose over […]
Don’t Worry About It. It’s technical.
Oct 21, 2019 –Curve steepened Friday with a solid bid in near contracts. EDH0/EDH1 settled at a new recent high of -19, up 1.5 on the day. The red pack closed +2.125 while golds were unch’d. In treasuries, 2/10 closed 17.3, up 1.7 bps. Some of this bid undoubtedly related to Brexit issues which are […]
‘Triggered’ by eurodollar calendar spreads
Oct 20. 2019 – Weekly Comment EDH20/EDH21 settled at a new recent high on Friday of -19.0 bps. March 2020 ED contract settled 9836.0 and March 2021 settled 9855.0. As the chart below shows, this spread reached a low of -40 in the beginning of September and has now exceeded its previous high made in […]
Euro$ calendars portend a larger rate shift
Oct 18, 2019 –Rates edged slightly higher yesterday in spite of weaker than expected data with Housing Starts -9.4%, Ind Prod -0.1 and Philly Fed just 5.6. There was notable put buying in treasuries prior to the day session, with a new purchase of 55k TYZ 128p for 12. (settled 13 ref 129-29). During the […]
Sharknado
Oct 17, 2019 –This morning EDZ9 is the weakest contract on the board, trading -3 at 9808.5 (red pack -1.75 as of this writing). It appears as if tightness in funding markets is expected to persist thru year-end. Interestingly, yesterday’s settlements in near Fed Fund contracts show increasing certainty of an ease at the October […]
Growth questionable, but rate markets trade like a bear
Oct 16, 2019 –Rates pressed higher Tuesday and the curve steepened as stocks soared. A Brexit deal appears closer, supporting GBP and stocks, and of course, optimism surrounding a resolution to the US/China trade war is also a factor, though China is threatening to retaliate if the US passes a Hong Kong bill. The ten […]
Treasury jitters
Oct 13, 2019 – Weekly Comment Last Sunday, referring to the week ended 4-October, I wrote, “The two-year yield dropped over 23 bps… In my book, that’s an ease!” What a difference a week makes. Because this week, the market recaptured that ease, and then some. Usually in the table at bottom, I just note […]
Risk off in US bonds, but risk ON in mideast
Oct 11, 2019 –Yields continued to press higher, with tens up 7 bps to 1.656% as trade optimism leads to paring back of “risk-off” trades. Eurodollars from reds to golds were -8.5 to -7.0. Going into today’s October midcurve expiration, it’s worth noting that Green Dec (EDZ21) has dropped 17 bps in the week from […]
US yields edge up as Greece funds at negative rates
Oct 10, 2019 –Rates backed up a bit more on Wednesday, as stocks firmed on renewed hopes of progress in US/China trade talks. Tens rose nearly 5 bps to 1.585% and EDU0 and EDZ0, the weakest ED contracts on the board, settled -7.5. The curve was a bit flatter. On Monday, the ten-year inflation indexed […]
