Archive for the ‘Eurodollar Options’ Category
Feb 12. Something about Q3
–Friday’s lower yields disappeared on Monday, with tens backing up 2.9 bps to 2.659%. However, out-of-the-money eurodollar call spreads continued to be accumulated. Another 30k EDN 9762/9787 call spread bought for 1.75 (settled 1.5 vs EDU9 9736.5) and EDU9 9775/9787cs bought for 1 in size of 46k. There was also a roll out of long […]
Feb 10, 2019. Interest rate lethargy
What is the market telling us? First I would point to the short term interest rate calendar spreads. On the Eurodollar curve, the lowest one-year calendar is Sept’19/Sept’20 which closed at a new monthly low of -20. In the beginning of January, just prior to Powell’s dovish shift on Jan 4, the lowest one-year spread […]
Feb 8. Libor Un-rigged
–The big feature Thursday was a whopping 4 bp drop in the 3-mo libor setting to 2.6970. Trade activity was fairly light, although there was good buying in EDM9 9737/9750 call 1×2 for 0.75. The declining libor rate along with an idle Fed is putting the 9737 strike in play. Tens fell 4.8 bps to […]
Feb 7. Neutral CBs stifle markets
–Once again it was a light volume day with little change in rates. Tens fell less than 1 bp to 2.700%; thirty year auction today. Near eurodollar contracts were modestly lower with EDM9 and EDU9 down 1 on the day, while EDM0 back rose 1 to 1.5. Net result was weaker one-yr calendars, with EDZ9/EDZ0 […]
Code Name: Jägermeister
The Russian Navy developed a “new” weapon that makes people vomit and hallucinate. https://thehill.com/policy/defense/428346-russian-navy-has-new-weapon-that-makes-target-hallucinate-and-vomit-report
Feb 5. Sr Loan Officers reflect tighter conditions
–Quiet session on Monday. Yields pressed higher, with tens up 3.6 bps to 2.722%. EDZ9/EDZ0 is again the lowest one-year calendar on the eurodollar strip, settling at -15.0. Jan 2020 FF settled -2.0 at 9761.0; every contract in this calendar year of 2019 is within one basis point of the current 2.40% Fed Effective. -Treasuries […]
Feb 3. BLUE SKY
It was a heck of a January, punctuated by the FOMC meeting of January 30, where the Fed confirmed that hikes in the FF target are over for now. Not, as I pointed out last week, that there weren’t plenty of hints from Fed officials beforehand. The guy who got it EXACTLY right, though often […]
Short end might be frozen…but maybe NOT the long end
–A WSJ headline analyzes: ‘The Fed’s Mysterious Pause’. There’s nothing particularly surprising about it. Housing is weak, europe has softened, and yes, the US stocks market took a dive in December. The Fed doesn’t WANT equity values to have an out-sized influence on spending and investing, but that’s how it has been working. Yields dropped […]
Jan 30. Lack of FOMC urgency
–FOMC announcement today. Since the time Powell indicated patience and flexibility, the dollar index is about unchanged. Oil and broader commodity indices have rallied this month but remain below levels from early December. The ten year note to inflation indexed tip is around 177 bps now, vs close to 200 bps at the beginning of […]
Interest rate markets are frozen
–Yields were unchanged to slightly lower after 2 and 5 year auctions yesterday. The largest trade of the day was a sale of 100k 3EU 9800c at 5.5 to 5.0 vs EDU2 9736-38. The CME’s open interest sheets indicate that OI was UP 4k contracts which is quite odd since there had clearly been a […]
