Archive for the ‘Eurodollar Options’ Category
Oct 24. Nothing is over until we decide it is
–A spirited rally off yesterday’s lows in stocks had some feeling as if the danger had passed, but this morning ESZ is again lower, and large earnings reports are yet to be released (MSFT and AMD after the bell today, AMZN and GOOGL tomorrow). Rate futures well supported by yesterday’s weakness in stocks, though final […]
Asset managers under pressure
Asset managers under pressure BLK Blackrock -30% from June high, LVS Las Vegas Sands -34% from June high, and WYNN cut in half.
Oct 23. Sometimes the wall of worry collapses
–This morning it’s about stocks as US equity futures test lows from two weeks ago. Russell is already well through those lows. In Asia, even after China’s vow of support to start the week SHCOMP has reversed and is down 2.25%, Heng Sang is near a new low -3% and Kospi is -2.6% a new […]
Oct 22. Risk on?
–China steps in to support stocks and Italy vows to stay in the euro….so ‘risk-on’? A late downgrade on Friday of Italy’s sovereign debt to a notch above junk was taken in stride. Friday featured continued weakness in the front end of the curve with EDZ8 settling -1.0 at 9723.0. Late in the session Fed […]
Oct 21. Indigestion
The September 2018 eurodollar contract settled at 97.6612 going into the expected tightening at the FOMC meeting on September 26. This week, the December 2018 contract settled at a new low of 97.230, down 9.5 bps from the previous Friday, while January 2019 Fed Funds settled 97.60, down just 2 bps on the week. So […]
Oct 19. Up in smoke
–Action in front end of the eurodollar curve as EDZ8 traded over a million contracts, more than twice as much as the next heaviest, as libor/ois spread surged. EDZ8 closed -5.5 at 9724 while Janunary’19 FF contract was unchanged at 9761.5 (spread of 37.5). Near calendar spreads made new lows, with EDZ8/EDH9 settled 16.5. Also […]
Oct 18. Lower: bonds, stocks, oil, vol
–There appears to be increasing dislocations across markets. After avoiding US Treasury designation as a currency manipulator, the yuan is at a new recent low 6.9375. ShComp is down nearly 3% to a 4 year low. US equities are edging lower as well as of this writing; crude oil continues yesterday’s plunge, down $3/bbl from […]
Oct 17. FOMC minutes today
-US rate futures are grudgingly giving away gains inspired by last week’s stock market sell off, and implied vol is being crushed. On last week’s market turmoil the blue midcurve atm 9675^ traded 24 (3EZ1). Yesterday it settled 19.5 and the one-month forward January 9675^ was sold at 24.5. Last week TYZ 118 straddle was […]
3-Month Libor Assumptions – up 25 per hike?
Oct 16. Front end weakness
–Yields rose across the board yesterday with tens up 2.2 bps to 316.1. Front end contracts under pressure, a combination of an increase in the turn and libor/ois widening. Early new selling in EDX8 contract at 9742.5-42, contract settled 97.4125. Jan Fed funds were unchanged at 9762.0, while EDZ8 fell 2.0 to 9730.5, which caused […]
