Archive for the ‘Eurodollar Options’ Category
Long end moving to center stage
July 12, 2019 –Yields rose Thursday as inflation data were slightly more firm than expected with Core CPI mom 0.3 and yoy 2.1%. However, the curve continued to steepen with 2/10 up 3.5 bps to 27.1. The flattening move related to the strong payroll report last week has been completely reversed. The market is accepting […]
Heading to lower libra rates. It means ‘free’
July 11, 2019 –Explosive steepener yesterday as Powell highlighted uncertainties and risks to future growth and inflation. The two year note plunged 8 bps to 1.824% while tens were unchanged at 2.06% and bonds actually rose 3.2 bps to 2.57%. On the euro$ strip, whites rose 7.375, reds +4.625, greens +1.5 blues -0.375 and golds […]
Crazy aunt comes out
July 10, 2019 “Debt is like a crazy aunt we keep down in the basement. All the neighbors know she’s there, but nobody wants to talk about her.” The above quote from former presidential candidate Ross Perot (who walked on yesterday) doesn’t really have the same punch in the written word that it does in […]
Pre-Powell adjustments
July 9, 2019 –Overall, rates were little changed yesterday with tens slipping 1 bp to 2.032%. However, the curve flattened to new lows, with 2/10 down 1.7 bps to 15.4 and 5/30 down 3.3 bps to 67.8 (having been just below 80 on June 24). Red/gold ED pack spread also notched a new low, falling […]
Market fissures?
July 8, 2019 –Small bounce in fixed income this morning, and a more solid rally in gold, after the NFP inspired sell off on Friday. Payrolls increased 224k, sending the ten year yield hurtling 9 bps to 2.042%, and the red euro$ pack down 12.75 bps. The curve flattened with 2/10 spread down 1.8 bps […]
Job Insurance
July 7, 2019 – Weekly Comment “President Trump was unhappy about the interest rate and he expressed his discontent at every chance. The bank’s decision to keep rates constant added to the problem with Powell,” a senior gov’t official told Reuters. That’s a direct quote from a Reuters piece on July 5. Except for the […]
Pence called back to help Trump choose more dovish Fed nominees than Lagarde
July 3, 2019 –Yields continue to drop with tens down 5.7 bps to 1.976 Tuesday, and lower yet this morning. Gold has soared by another $20 this morning to 1427. Stocks are salivating at the prospect of lower global rates, with Lagarde tapped to head the ECB and Trump nominating doves to join the Fed […]
Back to 2016
July 2 2019 –Curve flattened slightly as the stock rally to new highs marginally tempered enthusiasm for aggressive rate cuts. Implied vol in dollars smoked. with most straddles down 2-3 bps. As an example, there was a new 10k block sale of 0EH atm 9837.5 straddle at 50.0 (down 3 on the day; settled 50.5). […]
Back on (the same) track
July 1, 2019 –This weekend CNBC cited a report from JP Morgan saying that 80% of the stock market is on autopilot, as 60% is controlled by passive investing and 20% by quantitative strategies. Perhaps, but today’s surge to new highs on the US/China ‘trade truce’ is anything but passive. Safe havens are being swept […]
Expedient Exaggeration
June 30, 2019 – Weekly comment ‘Ah, Maggie, in the world of advertising, there’s no such thing as a lie, there’s only the expedient exaggeration. You ought to know that!” — Cary Grant as Roger Thornhill, protagonist in Alfred Hitchcock’s North by Northwest (1959). There was an article on ZeroHedge which featured all of the […]
