Archive for the ‘Eurodollar Options’ Category
What is two plus two?
Sept 1, 2019 – Weekly Comment Greenspan told this joke. ‘Three patients at a mental institution wanted to be released. The head psychiatrist gave them a simple test. What is two plus two? The first patient said, Five. The second, Wednesday. The third got it right. FOUR, he said. The first two patients were returned […]
Short summary
August 29, 2019 –Once again new lows in all near euro$ calendars at Wednesday’s settle. EDU9/U0 fell 2 to -77.25 and EDZ9/Z0 fell 3.5 to -59.5. Long treasury yields made new lows early with tens closing down 2.4 bps to 1.466% and 30’s down 3.5 to 1.937%. Late in the day Mnuchin said treasury was […]
The Fed as Political Football
August 28, 2019 –The epic bond rally continues with new highs this morning and new lows in most curve measures. Reuters reports the 30 yr hit 1.906% overnight vs 1.972% at the futures settlement yesterday. Bonds and ultra-bonds exceeded Sunday night highs, shorter maturities didn’t. The bombshell William Dudley op-ed on Bloomberg yesterday is a […]
Friday’s tweets shaken off
August 27, 2019 –The plunge on Sunday night in stocks completely reversed as the day progressed with ESU closing in the green by 27 points, having been down 45 near Sunday’s open. Then ten year yield overnight fell to 1.44%, just 8 bps above the all time low from July 2016; at futures settle it […]
Rollercoaster
August 26, 2019 –Friday’s session saw yields plunge as tensions and tariffs ratcheted higher. Ten year yield fell 8.5 bps to 1.523%. Red euro$ pack was the star performer on the curve, closing +10 on the day. New lows in near ED one-year calendars: EDU9/U0 fell 5.5 to -72.5. EDZ9/Z0 fell 1.5 to -30.5. At […]
Enemy of the State
August 25, 2019 – Weekly Comment Enemy of the State is an action thriller from 20 years ago (1998) starring Will Smith and Gene Hackman. Highly entertaining though somewhat formulaic, Robert Clayton Dean (Smith) is a labor attorney who unwittingly receives a disc with evidence that could rock, of course, the highest echelons of power. […]
When you’re in a (Jackson) hole, stop digging
August 23, 2019 –Dallas Fed’s Kaplan, in an interview with Steve Liesman yesterday from Jackson Hole, summed up the situation, saying that the FF target (2.0/2.25%) is above every other rate on the curve. Therefore, the Fed is perceived at tighter than we thought. This observation by Kaplan argues for continued easing, though other Fed […]
Jackson Hole starts; Powell tomorrow
August 22, 2019 –Yields rose, the curve flattened, implied vol continued to compress. Tens rose 2.2 bps to 1.577%, but 2’s were up 5.7 bps to 1.567%. I marked 2/10 at +1, but the spread inverted again briefly during the day. New lows once again in some of the near one-year euro$ calendars. EDU9/U0 settled […]
A series of 25 bp cuts, or a 50 shocker?
August 21, 2019 –Yields declined as stocks pulled back yesterday, with tens falling 4.5 bps to 1.555%. Euro$ strip from reds through blues were +3.5. New lows posted in the near one-year calendars: EDU9/U0 fell 3.25 to -71.75, EDZ9/Z0 fell 1 bp to -49 and EDH0/H1 eased 0.5 to -28.5. Today, minutes from the last […]
Anything to stop a slowdown
August 20, 2019 –So let me get this right, Gomer. The US economy is doing great, the envy of the world. But Trump tweets yesterday that the Fed should cut by 100 bps and restart QE. Trump holds phone calls with the heads of major financial companies to discuss what to do. And the administration […]
