Archive for the ‘Eurodollar Options’ Category
Oil and repo
Sept 17, 2019 –Two surges yesterday: WTI crude up 15% in the aftermath of drone attacks on Saudi oil infrastructure, and the overnight repo rate soared to 3.68%, a jump of 140 bps. The latter was reportedly due to a corporate tax date, as companies withdraw funds from the banking system to make payments, and […]
In: Eurodollar Options
All Prices Will Be Met
Sept 15, 2019 Weekly Comment The reach for yield in August was astounding, culminating in the Sept 1 tariff implementation, followed on September 4, by the sub-50 print in Manufacturing ISM of 49.1. Yields hit their lows in the beginning of September, with 5’s down to 1.32%, 10’s to 1.46% and 30’s to 1.95%. The […]
In: Eurodollar Options
August up, September down
Sept 13, 2019 –Yields marched higher yesterday with tens +5.7 bps to 1.789%. Reds were weakest on the euro$ strip, closing -7.75. Core yoy CPI was stronger than expected +2.4% coming on the heels of yesterday’s +2.3 Core PPI. The ECB announced a 10 bp cut and €20B month QE. US stocks rallied and are […]
In: Eurodollar Options
Uncertainty
Sept 11, 2019 –What a difference a week makes. Last Wednesday, Sept 4, EDU20 settled 9881.0, a new high. Yesterday it settled 9853 and traded 9850 this morning, a drop of over 30 bps. The red pack led weakness yesterday, falling 10.375 bps with greens -8.75, blues -7.5 and golds -6.625. Red/gold pack spread posted […]
In: Eurodollar Options
Borrow while you can
Sept 10, 2019 –Rates rose yesterday with the euro$ strip from reds through golds -7 to 7.5 bps. Implieds a bit softer on the pullback. Sept midcurves expires Friday with atm Short Sept and Green Sept 9862.5 and 9875 straddles settling 9.5 and 9.0 respectively. Inflation data Wed and Thursday, with Retail Sales Friday; ECB […]
In: Eurodollar Options
Year end butterflies
Sept 7, 2019 – Weekly Short note this weekend as I am out of town. Commentary below isn’t really macro, but rather concerns some specifics on the Euro$ curve, notably weakness in all December contracts. Below, I have simply taken last prices from Bloomberg during the day Friday and created 3-month butterfly prices. i.e. +1 […]
Real value
Sept 6, 2019 Thursday –After Wednesday’s settles at new highs in many euro$ contracts, fixed income took a tumble yesterday with the ten year jumping 11 bps to 1.565%. In euro$’s, reds led the move falling 12.5, greens -12.375, blues -11.75 and golds -11.25. Long liquidation was sparked by renewed enthusiasm for US/China talks scheduled […]
Sharks with laser beams attached to their heads
Sept 5, 2019 –Stocks continue to run as the saga of US/China talks are now scheduled to add a new chapter in October. Rate futures have pulled back, but it’s worth noting that every contract from EDH20 through EDU23 settled at a new high yesterday. Tens fell nearly 1 bp to 1.456%, while fives edged […]
Manufacturing slide
September 4, 2019 –Mfg ISM came in sub-50 at 49.1 for the first time since 2016 (the low in 2016 was 48.0). Additionally, some of the components suggested even weaker growth ahead. New Orders were 47.2 vs expected 50.5. Since the 2008/09 crisis there has been only one other reading that low, which occurred in […]
Risk-off tilt
Sept 3, 2019 –Imposition of Sept 1 tariffs by the US, immediately followed by China, put stocks under alert over the weekend, with continued Brexit and global trade concerns contributing to risk off tone. TYZ9 flirting with the 132 strike this morning as safe havens draw bids. New lows GBP and EUR, with broad dollar […]
