Archive for the ‘Eurodollar Options’ Category
Dec 28. A year-end for the books
–Massive late rally in stocks saw ESH surge from 2400 to 2475 just after the 7 year auction. Further gains this morning with a current print of 2510. Yields responded mildly to the monster rally, yet still finished much lower on the day with tens down 5.2 bps to 274.3. The Japanese ten-year has slipped […]
Dec 27. Staggering rallies!
–Just your run-of-the-mill 5% gain in SPX to end the year. All stock index futures made new lows in the morning, posted outside days and closed at the highs, normally a sign of a bottom. However, these key reversal days were notoriously fickle when they occurred at new highs. So take everything with a grain […]
Dec 25. Merry Christmas
–Mnuchin’s efforts to calm the markets early Monday morning failed. DJIA -2.9%. SPX -2.7, Nasdaq -2.2 and Russell -1.95. Now attention has shifted to a possible removal of Powell as Fed Chair. I am sure every fan of Central Bank independence is imploring Powell not to resign; I am not even sure it would be […]
The dealings of my trade…
Being that it’s Christmas week, I was going to run with a theme from ‘It’s a Wonderful Life’. Our hero George Bailey is pleading with the townsfolk not to force a run on the Building and Loan: Can’t you understand what’s happening here? Don’t you see what’s happening? Potter isn’t selling. Potter’s buying! And why? […]
Dec 21. Couldn’t sleep last night
–Early yesterday morning, David Tepper: “Powell basically told you the Fed put is dead.” Dudley in the afternoon: “The Fed’s not there to take away the market’s pain.” –Even more unsettling: General Mattis resigned yesterday. The two top generals, Kelly and Mattis, in August of 2017 vowed to coordinate travel plans so that one would […]
NEGATIVE EURO$ 1-YR SPREAD
The lowest one-year euro$ spread is Dec’19/Dec’20, which has made a new low of -19.5 today. The bid side, -19.5 is down 4 on the day. Attached chart shows constant 4th to 8th contract spread which is now Z9/Z0. In 2006, the lowest this one-year spread got was -26.5. A trade that went through today […]
Dec 20. A bad year for stocks gets worse- blame shifts from trade wars to Fed
–Curve flattened hard as the Fed hike wasn’t particularly dovish. In his press comments, Powell acknowledged signals of possible headwinds, but said that the committee hadn’t fundamentally altered its favorable view of the economy. In the Implementation Notehttps://www.federalreserve.gov/newsevents/pressreleases/monetary20181219a1.htm balance sheet reduction is slated to continue at $50 billion/month, and in the press conference Powell said […]
Dec 19. FOMC day
–FOMC decision with strong expectations of a dovish hike. Feb/April FF spread settled at a new low of just 4 bps, and May/July settled at the same level of 4, so March and June hikes have been shaved to odds of less than 20%. In euro$’s near spreads made new lows, with EDH9/EDH0 collapsing by […]
It’s beginning to feel like Sept 2015; a hike was priced, but didn’t happen
–Jerome Powell is getting a real-time test of whether the economy and the stock market are one and the same. Just prior to tomorrow’s FOMC, two- and five-year notes are making new highs, even though US stock futures are seeing a small bounce. There’s a bit more uncertainty as to a hike; January Fed funds […]
Dec 17. Stocks have a lot of bad news priced in
–Yields fell Friday as stocks closed near the lowest levels of the year. The Russell 2k did close at new lows at 1410, off 19% from the year’s high. The ten year yield fell 2.4 to 288.6. Greens were the strongest part of the eurodollar curve, closing +4.0. There was a decent amount of euro$ […]
