Archive for the ‘Eurodollar Options’ Category
Hey Jerome, look at my new dress. It was a steal!
June 16, 2019- Weekly Comment It’s pretty clear what is driving expectations for a Fed rate cut: Women’s apparel prices. On a year over year basis they fell 5.7% in May. The St Louis Fed chart below starts in 1992. The decline is greater than seen even in the depths of the Great Financial Crisis. […]
Rate vol surges
June 14, 2019 –Amazing bid to vol Thursday. The chart below shows how treasury vol has exploded as compared to VIX. While one can point to tanker attacks in the Gulf of Oman and Sec’y of State Pompeo naming Iran as the culprit later in the day, stocks took that information in stride. However, interest […]
They ALWAYS buy when the Blues win the Stanley Cup
June 13, 2019 –Crude oil bouncing this morning after plunging over $2/bbl yesterday to settle 5114 near a new low. I guess that’s good. Except that the catalyst was an alleged attack on tankers in the Gulf of Oman. In any case, stocks have also seen buying and rate futures are higher this morning. –CPI […]
Markets keep pushing the ease
June 12, 2019 –Markets are starting the day on their back foot with oil -160 at 51.67 (CLN9) and stocks lower. Rate futures are higher going into today’s CPI data and ten year auction. While the ten year yield was essentially unchanged yesterday at 2.138%, the eurodollar strip flattened, with EDU9 and EDZ9 the weakest […]
Bizarro Markets
June 9, 2019 – Weekly Comment Last week I started with this line, “This week, the markets eased.” In the week just ended, the trend continued, but the ease was pulled forward in time. The most glaring example can be seen in the July’19/August’19 Fed Fund spread which closed at -20 on Friday from -10 […]
Carnage in short rate options
June 6, 2019 –The extraordinary rally in euodollars continues. In a little over a month, since early May, many contracts have rallied 55 to 70 bps, without an overt ease from the Fed and without any substantial catalyst. ISM data remains above 50, with yesterday’s services posting a solid 61.2. There has been no banking […]
JAN 2020 Fed Funds
FFF0 now print new high 9836. It has rallied 50 bps just since May 21. It’s 74 bps lower in yield than current Fed Eff of 2.38. THREE EASES BY END OF YEAR PRICED.
Aggressive ease pricing sees a pause
June 5, 2019 –Having aggressively priced Fed easing over the past several sessions, interest rate futures pulled back yesterday. The ten year yield rose 4 bps to 2.12%. Green euro$ pack fell 5.5 bps (weakest on the strip). However, October Fed Funds closed +2 on the day at 9801.0 or 1.99%, around 40 bps below […]
US 10Y yield at lowest since Trump was elected
June 4, 2019 –Now THAT was a proper rally. The strongest eurodollar contracts moved forward on the curve with EDZ9 and EDH0 leading, up 13.5 on the day. Credit Suisse was out early with a note saying the first ease might be in July, and Bullard followed, saying a cut might be warranted due to […]
EASE. Or we’ll do it for you
June 2, 2019. – Weekly comment This week, the markets eased. The two year note fell just over 21 bps to yield 1.944. October Fed funds, which is the contract just after the September FOMC, settled 97.885 or 2.115% against the current Fed Effective rate of 2.38%, a spread of 26.5. The market has fully […]
