Archive for the ‘Eurodollar Options’ Category
China, Iran and US banks altering agreements
May 8, 2019 –Yields fell as stocks declined. Tens shaved 5 bps off to end at 2.446% in front of today’s 10y auction. The red eurodollar pack closed +5.125, with greens, blues and golds +5.5. SPX fell 1.65% with Nasdaq down 2% as the showdown on a US/China trade deal moved into a more precarious […]
Employment Day
May 3, 2019 –Yields continued to rise as a result of Powell’s more hawkish than expected press conference Wednesday, with red euro$’s down 6.75 bps. Tens were up 4.5 to 2.55%. EDU9, which had been solidly bid based on the possibility of a rate cut at the Sept FOMC, fell 3 bps to 9748.0 as […]
What in the Wide Wide World of Sports is going on here?
May 2, 2019 -Back in the 1970’s, a sports show aired on TV called The Wide World of Sports. It featured the memorable tagline voiced over grainy images:The thrill of victory. The agony of defeat.Here’s an intro clip. –Yesterday, for the bulls it was exactly that. A brief grasp of victory, followed by an agonizing […]
Mfg Prices Paid, EVERYBODY PANIC
EVERYONE SHOULD PANIC!!!! CUT RATES!!!! (of course the Fed’s FIRST rate hike was in Dec 2015, with Price Paid SUB-40)
The Merry Month of May
May 1, 2019 FOMC meeting today with the possibility of a cut in IOER. Rates eased yesterday in spite of a record high in SPX, further supported by AAPL’s earnings report. Tens fell 2.7 bps to 2.507%. Reds through golds were up 2.5 to 3 bps. New low posted in EDM9/EDM0 which has moved into […]
2-YR NOTE OPEN INTEREST
April 30, 2019 Chart below shows rolling TU contract (white bar) and aggregate open interest in green. OI has nearly doubled in past year from 2 to 4 million contracts. Nearly one million new positions since the last FOMC meeting!!
Steepening…can we call it a trend?
April 30, 2019 –Once again the curve steepened to new highs, with 2/10 up 2.2 bps to 23.8, a new ytd high and more convincingly through a two year downward sloping trendline (chart below). Red/gold euro$ pack spread rose a similar amount to a new high just above 26 bps. There was some notable new […]
GDP strong, prices weak
April 29, 2019 –Friday’s 3.2% Q1 GDP print sparked brief sales in rate contracts, followed by new highs, as some of the details in the report portend future weakness. An inventory build, soft prices, and a 5th quarterly decline in residential construction (-2.8%) put a cloud over the strong headline number. The ten year note […]
Short, and not so sweet, for the shorts
April 28. 2019 – Weekly comment Last week I cited a WSJ headline, ‘Fed Officials Contemplate Thresholds for Rate Cuts’ which had been planted posted on the WSJ site on Saturday 4/20. (Sure, I’ll have a hit of that). The Fed’s continued shift to dovishness, crystallized by the above article, sparked a flurry of buying […]
Risk control
April 26, 2019 –Yields edged a couple of bps higher yesterday with tens at 2.534%. May treasury options expire today with the TYM contract hugging the 123.5 strike. Crude oil lower this morning, having pulled back from new highs made earlier in the week. Shanghai Comp has likewise seen a pullback this week, off about […]
