Archive for the ‘Eurodollar Options’ Category
Fed has ONE mandate: Keep funding costs low
Oct 9, 2019 –Yields fell with tens down 1.4 bps to 1.537%. Curve slightly steeper as Powell said the Fed would once again expand the balance sheet by buying bills to create a reserve buffer. He said the Fed prefers to administer rates through reserves rather than continuous market operations. The very fact that the […]
Fraying at the corners
Oct 8, 2019 –Yields rose and the curve flattened Monday on light trade, with upcoming inflation figures and supply weighing. Tens up 4.4 bps to 1.551%. Reds, weakest on the dollar curve, closing -6.375, greens -5.75, blues -5.125 and golds -4.125. Implied vol declined. For example, last Tuesday, ED prices were within a couple of […]
To start the week…
Oct 7, 2019 –In spite of a spirited 40 point rally in ES on Friday, (Nasdaq and SPX both up 1.4%), yields remain close to recent all time lows. Tens fell 2.2 bps to 1.507%, and that’s in the face of this week’s supply of 3, 10 and 30 year paper. In response to new […]
Send Lawyers Guns and Money
Oct 6, 2019 Weekly Comment How was I to know, she was with the Russians too. –Warren Zevon The first comments on the thread of this youtube video are “I’m playing this loud, to annoy the neighbours, as revenge for waking me up with the hedge trimmer.” In response, “I don’t always listen to Zevon, […]
The market is demanding an ease NOW.
Oct 4, 2019 –Service ISM came out at 52.5, the weakest since Q3 2016, confirming the Mfg ISM flop. Recall that July 2016 was the all-time low 10y yield at 1.365. Yesterday’s close was 17 bps away at 1.529% (-6.3 on the day). The curve steepened, but interestingly, implied vol eased, perhaps partially in sympathy […]
Tin Men
Oct 3, 2019 One of my all-time favorite movies is Tin Men, with Danny Devito and Richard Drefuss, which details the exploits of aluminum siding salesmen in the 1960’s. You know it’s the 60’s because of the tailfins on the Cadillacs! Anyway, I was reminded of the clip below as Schwab and others cut commissions […]
Service ISM to Confirm Mfg Weakness?
Oct 3, 2019 –Yields fell and the curve steepened at SPX fell 1.8% yesterday. Besides the technical and seasonal aspect to the decline in equity markets, I would attribute the fall to several reasons 1) Mfg ISM underscored global mfg weakness 2) Political impeachment drama and a shift left 3) WeWork implosion caused renewed uncertainty […]
WeSell
October 2, 2019 –Interest rate futures opened lower across the board yesterday, but the weakest Mfg ISM number since 2009 (47.8) sparked whiplash, with tens ultimately falling 3.5 bps to 1.64%. Employment sub-index fell to 46.3. The curve steepened as odds for near term easing jumped. Oct/Nov FF spread was -9.25 before the data but […]
When CBs CUT bond purchases
Oct 1, 2019 –Fixed income under pressure this morning as a Japanese gov’t 10 year bond sale went poorly due to BOJ indicating plans to slash bond purchases. According to BBG, 10y JGB yield jumped 5.5 bps to -16. https://www.bloomberg.com/news/articles/2019-10-01/bond-traders-sound-alarm-in-japan-with-weakest-auction-in-years?srnd=premiumThis, just as the Fed is about to increase its bond portfolio. As we’ve seen, moves […]
The Fourth Quarter
Sept 30, 2019 –Stock futures have rebounded (ESZ currently +10.25 at 2974.00) and fixed income is under modest profit taking pressure as the US administration walked back the idea of delisting China shares. The prospect of the trade war moving into capital flows would be a large escalation, but appears to be sidelined for now. […]
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