Archive for the ‘Eurodollar Options’ Category
July 25. A cap on small caps
–Yields eased slightly after the recent run up, with tens -1.5 bps to 294.7. Curve edged flatter. Stocks came roaring out of the gate following Alphabet’s surge on Monday after hours, but the rally fizzled. The Russell in particular seems to have a lid on the upside. There are now three outside days with essentially […]
July 24. Is China driving the bitcoin rally?
July 24.
–Yields surged in Monday’s session though volume was still below average. Ten year rose 7 bps to 296.2. 30y also up 7 to 310. Blue euro$ pack (4th year out) was the weakest on the strip, falling 7.25 bps. Many near calendar spreads made new highs. The peak one-year spread is front EDU8/EDU9 which closed […]
July 22. Debt Coming Due
Debt coming due & we are raising rates – Really? Donald J. Trump tweet from Friday morning Yes. Really. Powell left little doubt that the Fed remains on course to remove accommodation in a well-reasoned argument to keep the economy on track in accordance with the two tasks that Congress has assigned: price stability and […]
July 20. Market indicators of inflation are easing
–Yields eased Thursday with tens -2.8 bps to 284.5. In euro$’s reds rose 2.125, greens and blues +2.50. Trump said he wasn’t happy with the Fed’s rate increases, causing a brief pop in futures. I assign no predictive power to the spread between ten year treasury and inflation indexed note (tip), but in passing it’s […]
Europe. Fixed
No real bounce in either of these….
July 19. Musings
-After a brief reprieve yesterday, commodities are again getting hammered as the dollar strengthens, with DXY near a new high for the year. Copper was 3.31 in June, now 2.68, down nearly 20%. Gold was 1360 in April, now 1220, down over 10%. Lumber was limit offer yesterday and likely going lower today. WTI down […]
July 18. Cyber-safety bid
–Not much reaction to Powell’s testimony yesterday although some parts of the eurodollar curve notched new lows. For example, red/gold ED pack spread fell 0.25 bp to close at a new low of -1.875. Implied vol continues to be smothered; at or near new lows across the curve. Powell reminds us that he has JUST […]
July 17. Powell and NFLX. We’ve seen this movie before…
–A couple of large one-year eurodollar calendar spreads: EDM9/EDM0 10.0 paid for 30k. This settled 8.5 on Friday and 10.5 yesterday. EDU9/EDU0 2.5 paid for 40k. This settled 2.0 on Friday and 3.0 yesterday. In EDM9/EDM0 Friday’s low of 8.5 equals the previous low, set Dec 27, 2017. The high in mid-May was 20.5. In […]
July 16. If the Fed stops hiking buy stocks. Right?!?!
–Nasdaq creeping to a new high this morning, currently +16 at 7409. However, China stocks were a bit lower as data shows GDP +6.7% as expected. WTI also moving lower. Today’s US news includes Retail Sales, expected +0.5% and the Trump/Putin lovefest. –New lows in the curve to wrap up the end of last week. […]
