Archive for the ‘Eurodollar Options’ Category
October 3. Low anxiety
–It was late 2015, early 2016 when the energy rout was causing high-anxiety in the high-yield market and in stocks in general. The Fed had passed on a hike in September 2015 because of emerging market volatility. At the time, the decline in energy prices and related suppression of inflation was considered a “one-off” event. […]
Commodities
This past weekend I highlighted the divergence between stocks and commodities. In the past couple of weeks, commodities are jumping with BCOM +6%. New high in crude oil is the main factor, however, today Gold is up $20, Silver +39 cents, copper appears to be bottoming. Even beans and corn are seeing a bounce […]
Oct 2. Powell, part deux
–The Nafta agreement with Canada got stocks off on the right foot yesterday, but gains faded late in the session with the Russell displaying particular weakness, closing down 1.4% (SPX was +0.36%). This morning attention has shifted away from N America, with comments out of Italy relating to its budget taking center stage. Bund/btp spread […]
Oct 1, 2018. Bond Bear
–Stocks are rallying and bonds are down as a new Nafta agreement was inked. Canada dollar is seeing a strong run higher while gold is below 1190 and appears vulnerable to new lows. –Rates eased on Friday though net changes were small. Curve steepened late. For example, 5/30 jumped 2.7 bps to 25.1, as the […]
Sept 30. Stocks and Commodities
The top chart is SPX divided by the Bloomberg Commodity Index; financial assets versus physical things. Clearly, as the service sector has expanded, commodities have become less important. The lower chart shows the two asset classes individually. When just considering BCOM, it almost seems that one could make a case […]
In: Eurodollar Options
Sept 28. Italy back on the front burner
–The curve pressed flatter as the last leg of the auctions wrapped up with the 7 year. Both 2/10 and 5/30 are just above 22 bps; the 2y rose almost 1 bp to 283.1 while tens fell 0.5 to 305.4. Option activity was dominated by premium sellers. Short (0EZ9) 9787 straddle settled 18.5 having been […]
In: Eurodollar Options
Sept 27. Party’s over; qtr end re-balancing
–Curve flattened and stocks reversed with a late sell off and lower close in the wake of the FOMC. The Fed as expected hiked 25 bps. No real change in December odds after the meeting; Nov/Jan Fed Fund spread was 19/19.5 all day but went 19 offer late. Russell was the weak link, down about […]
In: Eurodollar Options
Sept 26. Red/green euro$ steepeners in front of the Fed
–FOMC day. The market has been ratcheting up odds of forward hikes. The most striking adjustments have been further back on the curve. As mentioned previously, as recently as 1 1/2 weeks ago EDZ9/EDZ0 was trading -2.0; yesterday it traded as high as +5.0 on volume of 100k with a clip of 50k bought 4.5. […]
In: Eurodollar Options
Sept 25. Long dated treasuries edging to new high yields
–US yields ended modestly higher Monday with the ten year up 1 bp to 307.6. Green and blue euro$ packs also down 1 bp on the day. This morning WTI crude (CLX) is above 72.50. Ten year and 30-yr bond contracts at new lows. Treasury auctions 5 year notes today. –Draghi said that underlying inflation […]
In: Eurodollar Options
Sept 24. FOMC week
–This week brings the Sept FOMC on Wednesday. Treasury auctions 2, 5 and 7 year notes on Monday, Tuesday and Thursday. –WTI Crude at a new high this morning, +1.40 to 72.18. Looks like an upside breakout which should force short covers. Inflationary or headwind to growth? Both, but perhaps leans more heavily toward the […]
In: Eurodollar Options
