Archive for the ‘Eurodollar Options’ Category
Speculative Punts Attract Capital. SPACs
October 11, 2020 – Weekly comment My note last week was titled “Singing the Blues” and I added a great Albert King youtube, Born Under a Bad Sign. (“If it wasn’t for bad luck, I wouldn’t have no luck at all” ). For those that missed it, here’s the link. That one reminds me of […]
In: Eurodollar Options
More blue puts
October 9, 2020 –Yields eased yesterday with tens down 1.9 bps to 76.4 as the treasury wrapped up the 30y auction. New recent high in ten year note to tip breakeven spread at 172 bps (long term inflation expectation). The high mark of the spread according to my data was on Jan 2 at 180.5, […]
In: Eurodollar Options
The year of Unintended Consequences
October 8. 2020 –Bear steepener yesterday. All curve measures made new highs, 2/10 at 62.8, up 3.5 on the day (double top this year 69/70). 5/30 at 124.8, up 2.2. Red/gold pack spread 51.75, up 3.875. The ten year yield rose 4.6 yesterday’s auction and continued strength of stocks. –On the euro$ curve, EDZ0/EDZ1 settled […]
In: Eurodollar Options
Bad news keeps coming. Ruby Tuesday files for bankruptcy
October 7, 2020 –Powell continues to make the case for more stimulus to support the economy. Pelosi and Mnuchin are in endless talks to bridge the gap. Trump finally tweets that talks will be halted until after the election. I don’t know what the exact sticking points are, but federal aid to states for pension […]
In: Eurodollar Options
Curve getting ahead of Fed
October 6, 2020 –Yields surged yesterday, led by the long end. Thirty year bond up 8.4 bps to 1.564% in front of Thursday’s auction (3s and 10s today and tomorrow). The ten year note rose 6.6 to 76 bps. SPX rose 1.8% as Trump strolled out of the hospital. Polls show Biden well ahead in […]
In: Eurodollar Options
Strange days and trades
October 5, 2020 –Nothing particularly exciting about the payroll report; Trump’s covid ordeal is the dominant news story. On Friday the ten year yield rose 1.5 to 69.4 and thirties rose 2.3 to 1.48%. Both are being auctioned this week, with the three year note kicking off tomorrow. The curve steepened, with 5/30 ending at […]
In: Eurodollar Options
Singing the blues
Weekly Comment – October 4, 2020 It starts as a little hum and then transforms into a full blown song. Short note this week, focused mainly on flows into deferred (blue and gold) midcurve puts. On the euro$ curve, blues are the fourth year forward and golds are the fifth year. In early 2019, the […]
In: Eurodollar Options
Payroll Friday
October 2, 2020 –Headlines this morning say the market has been “rattled” by the President and First Lady testing positive for covid, but so far, ESZ and NQZ haven’t even approached Wednesday’s lows. Not much of a rattle. As of this writing treasuries have barely moved with TYZ 139-20 vs a settle of 139-175. What […]
In: Eurodollar Options
Hints of a steeper curve
October 1, 2020 –Yields firmed and the curve steepened as stocks continued their ascent after a post-debate hiccup. Ten year yield up 3.1 bps to 67.7. Thirties up 4.4 to 145.4. 5/30 spread notched a new recent high at 118.4 bps (as the 2y was unch’d at 12.3 bps). Red/gold euro$ pack spread (2nd to […]
In: Eurodollar Options
Vote Udgodskava
Sept 30, 2020 “When no one in the village signed up to challenge Nikolai Loktev, who’s from the pro-Kremlin United Russia party, he persuaded Ms Udgodskava [the cleaning woman of the local administration building] to register as his ‘rival’ to ensure the minimum requirement of two candidates. That plan backfired when the cleaner beat him […]
In: Eurodollar Options
