Archive for the ‘Eurodollar Options’ Category
Signs of recession lurk in forward euro$ curve
Feb 27, 2019 Yields fell yesterday with end-of-month buying and the conclusion of a slug of treasury issuance with the the seven-year auction. Tens fell 3.5 bps to 2.637%. Interestingly, the lowest one-year eurodollar calendar spread on the strip notched a new low as Dec’19/Dec’20 settled -20.0. While stocks have roared back from the turmoil […]
Rates stuck as Powell visits the Senate
–Yields had a slight tilt higher yesterday as the treasury auctioned 2’s and 5’s, with 7’s today. The ten year rose 1.8 bps to 2.672. Today Powell is in front of the Senate Committee on Banking, Housing and Urban Affairs for semiannual testimony. –In rates, a couple of highlight trades: buying of EDM9 9737/9750 c […]
Feb 25. The bull equity case continues
–Yields fell Friday with tens down 3.2 bps to 2.654%. The bond fell 2.4 bps, remaining above 3% at 3.021. Reds through blues were up 4 to 5 bps.–This morning stocks are pressing new highs as Trump delayed implementation of tariffs on China. Shanghai and Shenzhen Comps both surged over 5%. So we’ve had an […]
Dear Mr Fantasy
Feb 24, 2019 Dear Mr. Fantasy play us a tune Something to make us all happy Do anything, take us out of this gloom Sing a song, play guitar, make it snappy You are the one who can make us all laugh But doing that you break out in tears Please don’t be sad if […]
Can stocks and bonds go down together? Inconceivable!
–Yields moved higher yesterday in spite of weak economic data and equity prices. The ten year rose 3.6 bps to 2.686% and the 30y bond closed decisively above 3% at 3.045%, up 4.7 bps. Curve slightly steeper; 2/30 rose 2 bps to 51.8. Atlanta Fed’s GDP Now was revised down another tenth to just 1.4% […]
Feb 20. Fed Minutes Today
–Yields eased Tuesday with tens -2.1 bps (from Friday) to 2.643. In euro$’s, EDU9 through the golds settled +3.0 to +4.0 with a modest bias toward flattening; red/gold pack spread edged to a new recent low of 9.25 bps. –Option activity favored upside. For example, EDU9 9725/9712 put spreads were sold on exit at 2.5 […]
Atomic number 46
–It would be wise to be long palladium, number 46 on the Periodic Table. See what I did there? Palladium is named after the Greek goddess of wisdom, Pallas. And it’s up over $50 this morning to new high of 1458! In early November, gold (GCJ) was about 1215/oz. PAH (March Palladium) was 1075. Now […]
Feb 17. Heisenberg Uncertainty
The Heisenberg Uncertainty says that the position and velocity of an object cannot both be measured exactly, at the same time, even in theory. (Werner Heisenberg). The very concepts of exact position and exact velocity together, in fact, have no meaning in nature.(1) “Any attempt to measure precisely the velocity of a subatomic particle, such […]
Feb 15. Taking downside risks ‘on board’
–Treasury yields fell Thursday, initially spurred by weak retail sales, which fell 1.2% on headline (broad-based weakness and worst since 2009). Fed Governor Lael Brainard mentioned the miss in retail in the context of increased downside risks, and noted weaker foreign growth and political uncertainty as well. She further said that she favored ending balance […]
Feb 14. Baltic Freight and Bond Vol….crushed
–Trade activity remains rather quiet. Yields pushed higher and the curve flattened yesterday. The ten year was up 2.4 bps to 2.706% while the 30-yr bond only rose 1.1 to 3.033. Not much change in one year spreads, though in the very front end of the curve, both June/Sept and Sept/Dec ED spreads notched new […]
