Archive for the ‘Eurodollar Options’ Category
New curve highs at quarter end
April 1, 2021 –The quarter ended with new highs in the curve. 2/10 up 0.8 to 158.3. Red/gold euro$ pack spread (2nd to 5th year) just over 182 bps. New high for peak one-yr euro$ calendar: EDH23/H24 and EDM23/M24 tied at 77.5 bps. This, as Biden announced his massive tax and spend plan for infrastructure […]
In: Eurodollar Options
Pinning the 5y yield
March 31, 2021 –One large trade to high-light yesterday, a buy of 25k FVM 123/122/121 p fly 9 to 9.5. Settled 8.5 vs 123-18. Max value at expiry is of course at center strike of 122, around 1.20% vs current 5y at 91 bps. Seems far away until one considers the initial taper tantrum high […]
In: Eurodollar Options
Market focuses two years forward for Fed changes
March 30, 2021 –Rumors of NFP even greater than the expected +650k and Wednesday’s expected $3 trillion infrastructure plan conspired against fixed income on Monday (with follow-on new lows this morning). New Fed Governor Waller categorically denied that the Fed will keep rates low to help fund the deficit. I’ve included a couple of speech […]
In: Eurodollar Options
Price Discovery
March 28, 2021 -weekly comment Someone “discovered” stocks don’t always go up. Above is a chart of Discovery Inc, one of the names in Friday’s block trade purge. There’s a lot of talk about the $10 billion-plus block sales on Friday, and the fund that was liquidated. It’s worth noting just a couple of the […]
In: Eurodollar Options
Margin call
March 29, 2021 –Now it’s fallout from Archegos as Credit Suisse and Nomura warn of losses related to Friday’s fire sale position liquidation. As Kevin Spacey playing Sam said in the flick Margin Call, “Forty percent done by ten fifteen, by eleven o’clock all your trades have to be gone, because by lunchtime, word’s going […]
In: Eurodollar Options
Mark Twain market
March 26, 2021 –Tens ended unch’d yesterday, though the curve steepened as a couple of late +TY vs -WN blocks went through (details below). 10/30 rose 2 bps to 72.1. Steepening also apparent in the back end of the dollar curve with the blue back +0.625 and gold pack -1.625 (blue/gold pack spread is directionally […]
In: Eurodollar Options
Whip Inflation Now
March 22, 2021 –Turkey’s Erdogan sacked the head of the Central Bank Naci Agbal, because rates were too high. Here come capital controls. –Interesting video from 1978 featuring Jimmy Carter’s plan to stop inflation (I believe it was posted by Eric Peters of One River Asset Mgmt). It’s all about gov’t austerity: “The gov’t has been […]
In: Eurodollar Options
Stubborn Authority
And though authority be a stubborn bear,yet he is oft led by the nose with gold[s] Comment – March 21, 2021 ************************************************ Now is the winter of our discontent made glorious summer by this sun of York. And so, it’ll turn out to be a one-time sort of bulge in prices. But it won’t change […]
In: Eurodollar Options
Countertrend?
March 19, 2021 –Yields jumped yesterday with tens up 9.6 bps to 1.728% at futures settle. Curve made new highs with 2/10 up 6.6 to 157. Red to gold euro$ pack spread (2nd to 5th year) also rose just over 6 bps to a new high of 172 bps. It has been a dramatic yield […]
In: Eurodollar Options
Trying to square inconsistencies
March 18, 2021 *POWELL: RATES WERE AT ZERO FOR 7 YRS WITHOUT FINANCIAL EXCESSES….not with wartime gov’t spending!!! –Powell will be gone in February. I didn’t watch the press conference, so I am just relying on projection materials and dots, and it seems as if squaring the actual projections with the idea of keeping funding […]
In: Eurodollar Options
