Archive for the ‘Eurodollar Options’ Category
Dec 16. Banks and Central Banks
On Dec 10, Urjit Patel abruptly resigned as the head of the RBI (India’s Central Bank). From the Economist, “Mr Patel’s resignation,and what it says about the government’s attitude towards institutions, is something ‘all Indians should be concerned about’ said [Raghuram] Rajan.” Rajan was Patel’s highly respected predecessor. It’s not something that just India should […]
Dec 14. Financials weak globally.
–US stock indexes are weaker overnight, with most of the blame attributed to weak data out of China and Europe. With the ECB halting bond purchases, one commentator said ‘Draghi is tightening policy into a downturn’. Even before this morning’s sell off, financial shares traded weak yesterday, with several large names making new lows: Wells […]
Dec 13. Quick note
–Yields pushed a bit higher yesterday with a slightly steeper curve; tens +2.2 bps to 290.4. Volume was fairly light, though there was a seller of 50k TYF 120 calls on exit, as open interest fell 30k. TYF 120c settled 28 vs 120-075. 30 year bond auction today. –December euro$ midcurve options expire Friday with […]
Dec 12. If only there were some clues
–Highlighting a few disaster trades from yesterday: EDZ19 9850/9900cs 0.5 paid for 11k and EDZ20 9850/9900cs 4.0 paid for 30k, both new positions. Continued buying of 3EU 9800c, yesterday at a price of 6, but only 1500 trade (now near 240k open). These appear to be disaster trades, anticipating economic malaise or worse, with an […]
Dec 11, 2018. Confidence crumble
–Ten year yield rose by just 1 bp yesterday to 2.854%. The eurodollar strip was up 2-2.5 out to the first three years. However, the red/green pack spread notched a new low, closing down 0.25 bp to just under MINUS 8. Weakness in EDZ9 continues, with that contract being the cheapest on the strip in […]
Dec 10, 2018. Broken Windows
–Goldman rescinded its forecast for a March hike. A cursory glance at the Fed Funds futures curve tells you the same thing, as Feb/April FF spread which had been trading above 12.5 a couple of weeks ago, settled at just 6 on Friday. The Bank of France cut economic growth forecasts for the 4th […]
Dec 9, 2018. Overkill
I watched a fascinating documentary last week on bodies that had been excavated from peat bogs in Ireland and Denmark from the Iron Age (2000 BC). These bogs preserve the tissue and it remains pliable thousands of years later. This show specifically dealt with Cashel Man, found in a bog near Cashel in County Laois, […]
Dec 5. You’re drunk camel. Go home.
–Monday I noted a disconnect between the flattening curve and stock rally, saying that declining yields in the back end of the curve signified an economic deep freeze. Overstated perhaps, but yesterday the exuberance following the US/China confab evaporated and SPX fell 3.2%. Russell and DJ Transports were down 4.4%. FedEx fell 6.3%. Goldman and […]
DEC 4. EDZ9 starts and ends the year with action
–Interesting price action. Stocks rallied as if the economic malaise associated with a trade war had lifted, while the back end of the eurodollar curve flattened to new lows as if an economic deep freeze is right around the corner. Two charts below: the top is 2/10 which cratered by 5 bps yesterday (as of […]
Dec 3. Party on Garth
–Markets have embraced detente between US and China, with rallies in stocks, oil, gold. Both sides can claim progress as a ‘growth win’. USD slightly weaker but a move to higher rates underpins the greenback. –Brainard speaks today on Treasury Market Structure at 10:30. Possible clues about ongoing QT. –New lows in all near ED […]
