Archive for the ‘Eurodollar Options’ Category
Aug 5. Weekly rate comment – “Good luck bro!”
(Reuters, July 6). Tracking the journey of the vessel, Peak Pegasus, as it motored toward the northern Chinese port of Dalian was the 34th-highest trending topic on [China’s] Twitter-like Weibo on Friday, beating out the World Cup, showbiz gossip and Beijing’s escalating trade war with Washington. https://www.reuters.com/article/us-usa-trade-china-soybeans/go-ship-go-china-roots-for-last-u-s-soybean-cargo-to-land-before-tariffs-kick-in-idUSKBN1JW1IZ The snippet above was one of several stories […]
August 3. Fear of downside (in bonds) is limited in front of payrolls
–Despite the stock rally, rates eased a couple of bps with tens down 1.7 bps to 2.984. You MAY have heard that AAPL hit market cap of $1 trillion, which dominated the news all day long. An article on BBG this morning notes that Japan’s market cap just edged out China’s, with both at about […]
August 2. TTT trade fears spilling over
–Yields pushed higher and the curve steepened Wednesday; ADP was higher than expected at 219k, while Mfg ISM was a shade weaker at 58.1. Ten year poked just above 3% ending up 3.9 bps at 3.005. Although ranges have been rather tight in the curve, some new monthly highs seen. EDU8/EDU9, the peak one-yr spread […]
Slowdown Signals????????
The Daily Shot apparently had a note on U of M Consumer Expectations vs Current Conditions. As can be seen on the top chart, everyone’s happy with ‘Current Conditions’ but there’s not as much enthusiasm for future expectations. On the lower chart, the white line is the SPREAD between the UofM current conditions vs expectations; […]
August 1. FOMC meeting. Accommodative for now.
–The main influence Tuesday was the Bank of Japan non-event. Treasury vol had been bid going into the meeting, but deflated afterwards. An example of how it fizzled can be seen in USU8 145 calls. On Monday, these calls settled 16, versus 142-20. On Tuesday, the underlying contract settled +11/32’s at 142-31. And the 20 […]
Eurostoxx vol
A friend mentioned the Daily Shot had a chart showing that SX5E (Eurostoxx 50) implied vol is on the low. Below are 2 charts of the same thing, 1 year above and 5 year below…. SX5E vol (white) and US VIX (amber). Some divergence here…the main takeaway is that eurostoxx vol is low.
July 31. BoJ fears fizzle
–Yields in the US edged higher yesterday (led by weakness in European Govt bonds) and the curve steepened in front of the BOJ meeting. That move has reversed as the BOJ kept ultra-easy policy, vowing to keep rates low for an extended period and hold the ten year around 0. Ten year JGB fell 4 […]
July 30. Sugar high?
–In spite of a 4.1 GDP print, rates eased slightly on Friday with tens -1.5 bps to 296.0 as stocks fell. SPX was down only 0.7%, but Nasdaq dropped nearly 1.5% and Russell 1.9%. Curve slightly flatter with reds -0.125 while blues and golds ended +1.5. Of course, the eurodollar strip is nearly completely flat […]
July 29. ACRONYMS. BOJ, PBOC, FAANG
On the trading floors, exchange members wore large badges, with 2 to 4 letter acronyms. In some cases they were simple initials, or they might be like vanity license plates. For example, my friend Art Nolan just told the membership department to use their imagination and give him an acronym with some style, so they […]
July 27. Blood moon prophecy
–The blood moon prophecy came a little early for Facebook following Wednesday’s earnings call which wiped out $130 billion in capital. “And I beheld when he had opened the sixth seal, and, lo, there was a great earthquake; and the sun became black as sackcloth of hair, and the moon became as blood.” Longest blood […]
