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 […]

Posted on October 11, 2020 at 1:09 pm by alexmanzara · Permalink · Leave a comment
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, […]

Posted on October 9, 2020 at 5:26 am by alexmanzara · Permalink · Leave a comment
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 […]

Posted on October 8, 2020 at 5:38 am by alexmanzara · Permalink · Leave a comment
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 […]

Posted on October 7, 2020 at 5:26 am by alexmanzara · Permalink · Leave a comment
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 […]

Posted on October 6, 2020 at 5:23 am by alexmanzara · Permalink · Leave a comment
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 […]

Posted on October 5, 2020 at 5:25 am by alexmanzara · Permalink · Leave a comment
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 […]

Posted on October 4, 2020 at 10:12 am by alexmanzara · Permalink · Leave a comment
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 […]

Posted on October 2, 2020 at 5:01 am by alexmanzara · Permalink · Leave a comment
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 […]

Posted on October 1, 2020 at 5:10 am by alexmanzara · Permalink · Leave a comment
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 […]

Posted on September 30, 2020 at 5:12 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options