Archive for the ‘Eurodollar Options’ Category

Curve springs to life as stocks surge

May 19, 2020 –The very front end of the market appears to be more stable after the stunning drop in libor over the past month or so.  Three month libor was 0.3766 yesterday, comfortably settling in around 3/8%.  EDM0 closed at 99.67, and the 9962.5 straddle has been consistently sold from 10 a few days […]

Posted on May 19, 2020 at 5:22 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Gold and U of M inflation expectations

May 18, 2020 Two and five year treasury yields ended the week near historic lows at 14.7 bps and 30.7 bps respectively.  The ten year ended at 64 bps, just 10 higher than the all-time low of 54 set March 9, and the 30-yr at 133, having gotten just a shade below 1% in early […]

Posted on May 18, 2020 at 4:57 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Is silver telling us something about future inflation?

May 15, 2020 –July Silver is up another 45 cents this morning to 16.05, having been 14.94 two Fridays ago.  Precious metals and bitcoin appear to be responding to unprecedented stimulus, and stocks also perked up yesterday with bank shares having potentially formed bottoms.  Yields again fell yesterday, in light trade.  Tens dropped 2.8 bps […]

Posted on May 15, 2020 at 5:55 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

When logic and proportion have fallen sloppy dead

May 14, 2020 –Powell dismissed the possibility of going down the rabbit hole of negative rates saying the Fed’s “…view on negative rates has not changed.”  However, the market’s view on rates still allows for the possibility of that outcome with FFH1 settling at exactly 100 and a few of the following contracts a couple […]

Posted on May 14, 2020 at 5:47 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Negative rate insurance

May 13, 2020 –Stocks slid yesterday afternoon as LA county said the lockdown could be extended for three more months, and Druckenmiller said risk-reward for stocks is as bad as he’s ever seen.  ESM fell more than 70 points to a low of 2838, extending in today’s session to 2825, but has now rebounded above […]

Posted on May 13, 2020 at 5:42 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Notes

May 12, 2020 –Yields ended higher yesterday and curve posted new recent highs.  Ten year up 4.5 bps to 72.5.  Thirty-year at 1.44 surpassed April’s high (chart below).  2/10 ended at 54.4, +1.5 and 5/30 at 108.4, +2.5.  Red/gold pack spread ended at 45.125, +1.5 but still 10 bps off the high from mid-April. –CPI […]

Posted on May 12, 2020 at 5:23 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Double Vision

May 11, 2020 –January 2021 FF contract trades 99.985 this morning, having notched a high of 100.04 on Friday.  Peak contracts June and July ’21 still trade above 100, with yields of -1 bp.  The Fed announced that Powell will address the economic situation on Wednesday, which caused afternoon profit-taking in short-rate futures.  Peak euro$ […]

Posted on May 11, 2020 at 5:50 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Reflation

May 10, 2020- Weekly Comment This week I am starting with a link to the macro letter by Paul Tudor Jones and Lorenzo Giorgianni, ‘The Great Monetary Inflation’ I skim a lot of financial news sites and what seems to have been distilled by the press from this paper is that PTJ now favors bitcoin […]

Posted on May 10, 2020 at 10:40 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Warped signals

May 8, 2020 –The eye-opening news from yesterday was that FF futures traded above 100, that is, negative rates.  FFZ0 settled 100.01 and the peak contract was FFM1 at 100.03.  Contracts are higher this morning with the peak June’21 contract at 100.06 or minus 6 bps.  Eurodollars of course, also saw a rally to new […]

Posted on May 8, 2020 at 5:39 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Industrial smoothing

May 7, 2020 –An apparent catalyst for this morning’s stock strength is China’s reported increase in April exports of +3.5% vs an expected fall of 15%.  Or, maybe it was Peloton’s earnings report.  Or something else.  I am not given to calling everything ‘fake news’, but this morning it seems to fit.  ESM +44 at […]

Posted on May 7, 2020 at 5:52 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options