Archive for the ‘Eurodollar Options’ Category
Nov 18. ‘Exactly’
You choose your battles. Whenever someone in our office asks what’s driving this market or that, one of my colleagues is fond of launching into his explanation, which invariably starts with this line: “I think the easiest way to think of it is to imagine two armies. There is the bull army and bear army. […]
Nov 16. England center stage, but a rate cut by China could provide a shake-up
–Little net change in US rates yesterday despite some fairly large flows. Tens fell less than half a bp to 311.6. Eurodollar strip was weak in front but held gains in back, with the blue pack (4th year) closing +1.625, strongest part of the curve. Going into November euro$ (and midcurve option) settlement, EDZ8 came […]
Nov 15. Powell and the Pound
–Treasuries are higher and stocks marginally better in the wake of Powell’s comments. The drop in GBP on the resignation of cabinet member and Brexit negotiator Raab is likely also a contributor to the UST bid. (GBP testing the year’s low, now 1.2778 vs ytd low 1.2665). No drama in Powell comments. No indication of […]
Nov 14. We’ve got (global) issues
The plunge in oil is the big story, with CLZ8 settling 5569 down 424 on the day. From the high in October it’s down 28%. In 2015 the Fed stalled its first interest rate hike as energy and emerging markets were stressed, but this time around a Fed hike is considered certain in December with […]
Nov 13. GS technicals
Note: this is not a recommendation. Just a test of technical analysis for pleasure. Goldman has broken through a neckline on a head and shoulder formation on the heaviest volume of the year. Technically should target 175 to 180 at minimum. The 50% retracement from the low of 2016 to the high of 2018 is […]
In: Eurodollar Options
Nov 13. Further signs of slowdown
–Stocks were smoked on Monday with the Dow down 600 points, SPX and XLF (Financial ETF) were both down 2%. AAPL plunged 5% and GS nosedived 7.5%. Yields pushed lower. Though it was a bank holiday, according to futures prices at settlement, the ten year yield was down around 3.6 bps to 315.3. The eurodollar […]
How do we do it? VOLUME
An abbreviated comment this week… On the trading floor there were all sorts of nicknames and comments for people, some of which (ok maybe most) were derisive. One referred to a guy who was running a large floor brokerage operation, and someone said, “He woke up on third base and thought he hit a triple.” […]
Nov 9. It might not be perfect, but a storm of some sort is brewing
–As treasuries flirt with new high yields, the price of oil is going in the opposite direction, having completely erased the year’s rally. On Dec 29,2017 the front contract closed at 60.42. Late yesterday CLZ8 was 60.57, having plunged from a high of over $76 in early October, and as of this writing it’s below […]
Nov 8. The Shakeout begins
Goodbye Mr Magoo –Implied vol in treasuries evaporated as fast as Jim Acosta’s press pass. Unceremoniously dumped like A.G Sessions. As an example. USZ 137.5^ went from 2’00 at Tuesday’s close to 1’34 yesterday, a loss of 23% (Only 2 1/2 weeks til expiry, but still!). Dec green and blue midcurve 9675 straddles from 18.5 […]
Bulls and Bears
–Bullish. The markets like political gridlock. According to one article, there are likely to be subpoenas and investigations. That is, nothing will get done in Congress (example, Mueller investigation). Trump will continue to use executive power to pare back regulations. The Fed will be more cautious in raising rates as fiscal stimulus stops. US dollar […]
