Archive for the ‘Eurodollar Options’ Category

Stocks resist economic signal from oil

Feb 10, 2020 –Crude oil (CLH0) is sub-50 this morning, having started this calendar year in the lower 60’s, yet stocks aren’t inclined to follow the economic signals of decreased demand and instead seem focused on central bank liquidity measures.  Copper (HGH0) has settled in at lower levels above 2.50, currently near 2.56 vs 2.85 […]

Posted on February 10, 2020 at 5:16 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Open the Discount Window

Weekly Comment – February 9, 2020 Summer has come and passedThe innocent can never lastWake me up when September ends –Green Day, from the album American Idiot The Fed is obsessed with September, specifically of course, the mid-Sept 2019 repo surge.  For example, in the Fed’s addendum ‘Monetary Policy Implementation’ which is attached to post-FOMC […]

Posted on February 9, 2020 at 10:50 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

NFP and the Fed. So what?

Feb 7, 2020 –Payrolls today, followed by the Fed’s semi-annual report to Congress.  NFP expected 160k though benchmark revisions will take previous numbers lower.  Quarles speech last night was mostly boilerplate, judging the economy to be in a good place with notable risks going forward.  Labor markets are strong but still have some slack; capex […]

Posted on February 7, 2020 at 5:12 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Vol smothered as rates rebound

February 6, 2020 –Once again yields moved higher as stocks continued their ascent.  Tens added 4.4 bps to 1.647%.  The curve steepened with twos up only 2.4 bps; 2/10 is back above 20 at 20.8 and 5/30 ended 67.7, also up 2 bps.  China cut tariffs and Trump was acquitted on impeachment charges.  It’s been […]

Posted on February 6, 2020 at 5:13 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Stocks ripped higher

February 5, 2020  –Stocks soared and yields rose yesterday, but implied vol in rates was hammered.  Ten year yield was up 8.4 bps to 1.603%.  On the euro$ strip reds through golds down 8 to 9 bps.  The curve steepened slightly as twos only fell 6.4 bps; 2/10 spread up 2 bps to just under […]

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

Optimism

February 4, 2020 –“Markets rally on virus optimism as the infection spreads.” (from Sven Henrich on twitter).  As good an explanation as any I suppose.  Despite an immediate $70 drop in Alphabet yesterday post-results, stocks are higher this morning.  Bloomberg (the winner of the Iowa caucuses) reports this morning that Kuroda says the BoJ “…won’t […]

Posted on February 4, 2020 at 5:12 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

China re-opens; markets muted

February 3, 2020 –China re-opened financial markets and announced significant financial support, but major averages were down 7.7 to 7.9%.  Reaction across US markets has been muted, with stock futures up a bit, treasuries flat to slightly lower, gold down a few dollars.  Hong Kong has closed all land border crossings to the mainland.  On […]

Posted on February 3, 2020 at 5:24 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

A few notes on levels

February 2, 2020 – Weekly comment The five year yield fell 18 bps this week, while tens fell 16. On the euro$ curve, the biggest week-to-week changes were in EDU21 through EDM22, all up 19.5 bps (last two reds, first two greens).  On a two week change, from Friday, January 17, the 2-yr fell 24 […]

Posted on February 2, 2020 at 12:58 pm by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Markets at work

January 31, 2020 –This is how markets work.  High prices bring out ingenuity and supply.  The cure for high prices is high prices.  Andy Totman shared this story with me yesterday about his son, who lives near Wicker park in Chicago.  The lad went out to start his car and it sounded like a tank, […]

Posted on January 31, 2020 at 5:03 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

The Fed can’t cure the virus

January 30, 2020 –Yields continued to fall yesterday right through Powell’s press conference, with tens shaving 5 bps to 1.592% (at futures settlement).  The Fed raised IOER 5 bps to 1.60% (so it now just eclipses the 10y yield), and directed the desk to continue buying bills at least into Q2.  The Fed’s implementation statement […]

Posted on January 30, 2020 at 5:18 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options