Archive for the ‘Eurodollar Options’ Category

Amateurs

May 11, 2022 –CPI today expected 8.1% yoy from 8.5 last.  Core expected 6.0 from 6.5.  Curve bull flattened yesterday in front of today’s 10y auction with the 10y yield down 9 bps to 2.989% and 2s up 1 bp to 2.625%, as various Fed comments indicate comfort with the idea of at least two […]

Posted on May 11, 2022 at 5:29 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

NFIB and Russel

May 10, 2022 –Curve steepened as stocks fell to new lows on the year with SPX down 3.2% and Nasdaq Comp -4.3%.  The two year note plunged 10 bps to 2.616%.EDM3 is up 40 bps from the pre-FOMC low of 9619, currently printing 9661 (still the lowest contract on the strip).  2/10 and 5/30 both […]

Posted on May 10, 2022 at 5:06 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Soft landing for asset prices?

May 9, 2022 –ESM at ytd low 4053.75 this morning, down 65.75 as of this writing, with TYM also at a new low -15.5 at 117-10.  The front end of the dollar curve is unchanged to a bit higher as flatteners continue to be exited after Powell’s dismissal of a 75 bp move.  On Friday, […]

Posted on May 9, 2022 at 5:47 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Long Shots

May 8, 2022 – Weekly Comment__________________________________ You got no time for the messenger Got no regard for the thing that you don’t understand You got no fear of the underdog That’s why you will not survive –Spoon – The Underdog Coming into the stretch, Rich Strike was in twelfth place.  He was at least five […]

Posted on May 8, 2022 at 1:59 pm by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Pay now or pay later

May 6, 2022 –Tweet by @jasongoepfert that was going around late yesterday:“There have been 2 days in the past 25 years when S&P futures were down 3% and 10-yr treasury futures down 1%: October 9, 2008 and March 18, 2020.Someone is blowing up, and this is forced liquidation.”–I don’t know if the ‘blow-up’ rumor is […]

Posted on May 6, 2022 at 5:08 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Bullard now irrelevant

May 5, 2022 –“…a 75 bp increase is not something the committee is actively considering.” With that rebuke, Powell effectively sidelined Bullard, who had been the primary advocate of aggressive hiking.  We can now disregard Bullard’s speeches as interesting, but on the hawkish fringe, irrelevant for policy, just as Kocherlakota occupied the dovish fringe in […]

Posted on May 5, 2022 at 5:02 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Interest rate anguish (with tens at 3%)

May 4, 2022 –New low settles in EDU2, Z2, H3, M3 (9720, 9671, 9646 and 9631.5) in front of the FOMC and futures are a couple lower this morning.  Relentless.  At the futures settle, 2s were at a new high yield of 2.768, up 3.5), 5s at 3.003 and tens at 2.956%.  As a friend […]

Posted on May 4, 2022 at 5:46 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Watch TIPS

May 3, 2022 –Fives, tens and bonds all ended above 3% on Monday, with 10s up 12 bps to 3.006%.  The curve steepened with the 2y note up only 3.7 to 2.733%.  On the eurodollar strip reds were down 7.125, greens -11, blues -12.375 and golds -14.875 (new lows for the move in the back […]

Posted on May 3, 2022 at 4:48 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Powell on Wednesday

May 2, 2022 –Friday featured a decline in equities, with SPX -3.6% and Nasdaq Comp -4.2%.  Interest rate futures remained under pressure led by weakness in front, as EDU2 and EDZ2 both made new lows for the move.  On Dec 31, EDZ2 settled 9895.5.  On Friday it settled 9677.0, 218.5 bps lower in four months!  […]

Posted on May 2, 2022 at 5:23 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Colder by the Lake

May 1, 2022 -Weekly Comment We’ve entered that phase of the year when every kid from the west suburbs of Chicago used to hear this from their moms if they were going downtown, “Take a coat.  It’s colder by the lake.”  It’s a bit of sage insurance advice.  Oak Park, where I grew up, is […]

Posted on May 1, 2022 at 1:42 pm by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options