Archive for the ‘Eurodollar Options’ Category
Sept 23, 2018. Fiscal Debt Helium
Probably the most important news regards US/China trade negotiations and the fact that China cancelled an official visit from Vice Premier Liu-He. “Everything the US does hasn’t given any impression of sincerity and goodwill. We hope that the US side will take measures to correct its mistakes.” https://www.scmp.com/news/china/diplomacy/article/2165331/us-china-trade-war-visit-washington-beijings-top-economic (Is this why someone bought >100k Dec […]
In: Eurodollar Options
Sept 21. Sentiment tweak
–Curve flattened Thursday as front end dollars reacted negatively to a higher 3m libor setting (+1.3 bps to 2.3664). EDZ8 fell 2.5 to 9732.5 on long liquidation, while FFF9 was unchanged at 9762.5, so this spread settled at 30.0. Equities floated to new highs in front of today’s quad witching. –The nadir of one-year eurodollar […]
In: Eurodollar Options
Sept 20. New high
–Interest rate futures continue to trade heavy. Two and five years posted new high yields at 280.3 and 295.5. The ten year tacked on 3.3 bps to close at 307.7. The 30yr bond rose 3.9 to 323.2, just under the high yield of the year which was 324.7. The MacroTourist cited a BBG article which […]
In: Eurodollar Options
Sept 19, 2018. Sometimes it just gets away from you
–There are a lot of things which should be supportive of US fixed income. EM currencies still appear vulnerable (new low India Rupee for example), some commodity prices are sliding (new low beans yesterday). However, yields are marching higher. Yesterday the 2y hit a new high 279.3. In the 5y, the high yield in mid-May […]
In: Eurodollar Options
Sept 18. Who cares about tariffs?
–Little net change in US rates yesterday with tens up 1 bp to 3.00% at the time of futures settlement. A couple of the near euro$ calendars closed at new highs, for example EDH9/EDH0 rose 1 to a new high 32.5. EDZ8/EDZ9 popped above 50 bps at the start of the day, but came back […]
In: Eurodollar Options
Sept 17, 2018. ‘Beautiful counter-attack’
–Last week David Tepper was on CNBC saying that equities were probably in the late innings. He specifically cited trade/tariff concerns with China and off-handedly said the stock market could see a decline of 10-20% if the situation isn’t resolved. Today Trump may announce $200 billion in additional tariffs and Reuters reports that China’s Global […]
In: Eurodollar Options
Sept 16. Brainard the Bear
The picture above was being circulated Friday afternoon, purportedly the last shot taken by wildlife photographer Michio Hoshino in eastern Russia in 1996, minutes before he met his untimely demise. The article that I saw said that the image was found […]
In: Eurodollar Options
Sept 14. Insurance
–Hurricane Florence is making landfall in the Carolinas. Time for insurance. Well, probably should have had insurance in place already. –The interest rate options market is the polar opposite. Not a ripple on the horizon. As the chart below shows, long maturity treasury implied vol is making all time lows (or close enough). The five […]
In: Eurodollar Options
Sept 13. Clubbing Red Dec
–Some large trades of note yesterday. First, rates eased slightly, with tens down 1.8 to 296.1. The only contract in the first 8 years on the eurodollar strip that was unchanged (all others were up 0.5 to 2.0 bps) was EDZ19, red dec, which was mercilessly sold on volume of about 140% of the next […]
In: Eurodollar Options
Sept 12. “I’m prayed up…”
Thank you to TheMacroTourist Kevin Muir for mention in his post yesterday https://www.themacrotourist.com/posts/2018/09/11/edoptions/ Also thanks to Patrick Rooney of Trading Technologies for mention on his twitter feed. My posts are generally a brief summary of the previous day’s action. I occasionally highlight an interesting trade, sometimes veer into off-market topics. The intent is to provide […]
In: Eurodollar Options
