Archive for the ‘Eurodollar Options’ Category
Wait and see
April 15, 2019 –Rate futures closed on the lows Friday and have seen no bounce this morning. Both red and green ED packs settled -7.625. Tens were up 5.6 bps to 2.558%. There was sizable buying of TYK 123/124 call spreads on legs for 20 to 21, settled 19 ref 123-03. Open interest in in […]
Misallocation
April 14, 2019 – Weekly Misallocation of credit is the topic of a short note of friend Keith Weiner, founder and CEO of Monetary Metals. A link to the note is at bottom, from which I have copied a graph, below. This chart shows that nearly 40% of Russell 2000 companies are not profitable even […]
Coherent Arguments (and credit acceleration)
April 12, 2019 –It’s off to the races this morning with a new high in ESM above 2900. WTI crude has likewise erased a large part of yesterday’s decline, now +87 at 64.45, but not quite at a new high. Apparently better than expected China export data and strong credit growth is contributing to the […]
VOL IMPLOSION
April 11, 2019 Below is chart of 30y vol… 5 year lows. 0EU 9775 straddle settled 32 yesterday and is 30/30.5 now. The central banks won. “War’s over man. Wormer dropped the big one.”
Joyride
April 11, 2019 –Trading in rate futures remains lackluster, despite several pieces of news yesterday. Draghi set the tone early, saying there will be no rate increases through the rest of 2019 (at least). Euribor futures responded with a solid rally, with the green pack settling +5.0. ERZ9/ERZ0 closed at 8 bps, just above the […]
Policy making for disaster
April 10, 2019 –Ten year yield slipped back under 2.5%, down 2 bps to 2.497 with an auction today, followed by 30’s tomorrow. Today’s news includes the ECB meeting, CPI and the Fed minutes. CPI expected +0.4 with Core +0.2 and yoy Core 2.1%. Stocks encountered profit taking yesterday. AAPL finally had a down day […]
Fed ease odds pared back
April 9, 2019 –Yields edged slightly higher on light volume Monday with tens +1.6 bps to 2.517%. Reds were weakest on the dollar curve, closing -2.0 on the day. Chances for a Fed cut this year have fallen, with FFF0 now 9775.5 (-1.5), indicating around 60% odds. Aug/Oct FF spread, which isolates the September FOMC, […]
You know how it is
April 7, 2019 – Weekly Comment Dan Milner: Well, you see how it is: fools get away with the impossible. Lenore Brent: That’s because they’re the only ones who try it. That’s a bit of dialogue from the 1951 film noir, His Kind of Woman starring Robert Mitchum and Jane Russell. The plot is summarized […]
About fair
April 5, 2019 –Employment day with payroll growth expected 180k, a bounce from last month’s paltry 20k gain. Little net change in prices yesterday, though Art Main summarizes option activity as follows: “We continue to see participants roll upside out in time and up in strike in front contracts.” For example, there was a buyer […]
Europe in reverse
April 4, 2019 –Yields rose yesterday with tens up 3.7 to 2.515% and 30-yr bonds marching back towards 3%, up 4.2 on the day to 2.927%. However, US data yesterday was on the weak side with ADP at just 129k and Service ISM 56.1 vs an expected 58. This morning German Factory orders for Feb […]
