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  The dual mandate of low inflation and full employment with a backdrop of financial stability has been replaced by one goal, based on data that the Fed Chairman calls faulty.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% […]

Posted on July 15, 2021 at 5:15 am by alexmanzara · Permalink · Leave a comment
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% […]

Posted on July 14, 2021 at 5:27 am by alexmanzara · Permalink · Leave a comment
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 […]

Posted on July 13, 2021 at 5:49 am by alexmanzara · Permalink · Leave a comment
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 […]

Posted on July 9, 2021 at 5:32 am by alexmanzara · Permalink · Leave a comment
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 […]

Posted on July 8, 2021 at 5:48 am by alexmanzara · Permalink · Leave a comment
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 […]

Posted on July 7, 2021 at 5:34 am by alexmanzara · Permalink · Leave a comment
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 […]

Posted on July 6, 2021 at 5:27 am by alexmanzara · Permalink · Leave a comment
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 […]

Posted on July 2, 2021 at 5:47 am by alexmanzara · Permalink · Leave a comment
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, […]

Posted on July 1, 2021 at 5:34 am by alexmanzara · Permalink · Leave a comment
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 […]

Posted on June 30, 2021 at 5:18 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options