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 […]

Posted on April 1, 2021 at 5:01 am by alexmanzara · Permalink · Leave a comment
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 […]

Posted on March 31, 2021 at 5:46 am by alexmanzara · Permalink · Leave a comment
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 […]

Posted on March 30, 2021 at 5:28 am by alexmanzara · Permalink · Leave a comment
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 […]

Posted on March 29, 2021 at 5:29 am by alexmanzara · Permalink · Leave a comment
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 […]

Posted on March 29, 2021 at 5:21 am by alexmanzara · Permalink · Leave a comment
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 […]

Posted on March 26, 2021 at 5:46 am by alexmanzara · Permalink · Leave a comment
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 […]

Posted on March 22, 2021 at 5:26 am by alexmanzara · Permalink · Leave a comment
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 […]

Posted on March 21, 2021 at 8:21 am by alexmanzara · Permalink · Leave a comment
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 […]

Posted on March 19, 2021 at 5:23 am by alexmanzara · Permalink · Leave a comment
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 […]

Posted on March 18, 2021 at 5:14 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options