Archive for the ‘Eurodollar Options’ Category
Real yields deeply negative
July 15, 2021 –Powell remains all-in to bring employment level to “full”. He noted in testimony that official data underestimate unemployment. The dual mandate of low inflation and full employment with a backdrop of financial stability has been replaced by one goal, based on data that the Fed Chairman calls faulty. PPI yoy of 7.3% […]
In: Eurodollar Options
Tis but a scratch
July 14, 2021 –CPI yesterday was 5.4% with Core 4.5%, both much higher than expected, but an initial sell-off in rate futures was met with buyers, with US and WN almost immediately trading positive on the day. The weakest contract on the board was EDZ’23, which settled -8 at a price of 9891 or 1.09% […]
In: Eurodollar Options
Paper claims
July 13, 2021 –New high SPX and Nasdaq on a light volume day. Yields edged slightly higher with tens ending at 1.363%. CPI today expected +0.5 month/month and 4.9% year over year. Core expected 4.0% from 3.8 last. Yesterday the NY Fed released consumer expectations of inflation at 4.8%, up from 4.0% at the last […]
In: Eurodollar Options
Bond yield rebounding slightly this a.m.
July 9, 2021 –Yields continued to fall yesterday with tens down 3.2 bps at futures settlement to 1.289%. Fives were the leader, falling 4.5 to a yield of just 73.7 bps. On the euro$ curve greens (3rd year) were the strongest, closing +8.0. However, the curve steepened quite a bit from there, with golds (5th […]
In: Eurodollar Options
Stocks reversing
July 8, 2021 –Stocks in a sharp reversal this morning with ES -56, Nasdaq -190 and RTY -38. Interest rate futures continue to rally after yesterday’s 4.7 bp drop in tens to 1.32%. New low once again in 2/10 which fell just over 4 bps to 110.7. Whether sparked by China’s continued clampdown on big […]
In: Eurodollar Options
FOMC minutes today
July 7, 2021 –FOMC minutes today will perhaps give a better sense of taper timing as yields continued to fall yesterday. Tens down over 6 bps to just 1.368%. 2/10 treasury spread made a new low of 115, down 4.6 on the day. Red/gold (2nd to 5th year euro$ spread) now equals 2/10, settling at […]
In: Eurodollar Options
Big Oil
July 6, 2021 –It’s all about oil this morning as the OPEC meeting disintegrated. CLQ1 currently 76.50, up 1.34. I’ve attached a chart which shows that a long term trendline off the 2008 high has been violated, though technical details probably aren’t all that important in the current environment. A BBG article this morning notes […]
In: Eurodollar Options
Stop Making Sense
July 2, 2021 –NFP expected 716k with yoy Avg Hourly Wage +3.6% from +2.0 last. It doesn’t seem to matter to fixed income, as stocks power to new highs and oil trades above $75/bbl, the high since 2018. This period (mid 2018) was when data was strong following Trump’s tax cut package, and the Fed […]
In: Eurodollar Options
Sanctimonious preaching
July 1, 2021 –Markit Mfg PMI for the euro zone hit a record 63.4. Today in the US, ISM Mfg is expected 61.0 from 61.2 last. Jobless Claims are expected 388k. The attached chart shows ISM Mfg Prices pinned towards historic highs at 88. Going into tomorrow’s payroll report, ADP was released yesterday at 692k, […]
In: Eurodollar Options
Russian hacks spark reflation!
June 30, 2021 Little change in yields Tuesday, with tens unch’d at 1.478% as we head into payrolls on Friday. We get a hint with ADP this morning, expected at 600k. There is also a grain report, with futures trading slightly soft currently (Where in the hell is Beeks?). One trade of note was a […]
In: Eurodollar Options
