Archive for the ‘Eurodollar Options’ Category
July 2. China shockwaves
–New lows in both CNY at 6.6611 and in the Shanghai Composite, -2.5%, appear to be spilling over into US markets with ESU currently -13.50. Bernie Sanders won the election in Mexico, except his name is Andrés Manuel López Obrador, known as AMLO. Mexico first….another reason for tensions to increase on trade and other issues? And […]
July 1. Investment Grade? – Weekly Comment
In the aftermath of the GFC, the rating agencies came under fire for having given investment grade ratings to dubious securities, primarily in the mortgage market. Should we now be concerned about corporate debt ratings? The market says “Yes”. Chart below shows rise of BBB spread since the start of the year. Spike in 2016 […]
May 21. First half is over….
–Second quarter draws to a close with a sigh of relief as stocks staged a modest bounce and the euro rose, after again holding 115 (3rd time in a month) as the EU summit cobbled together an agreement on migration. –Everyone passed the Fed’s stress test and can dole out money to shareholders who can […]
June 28. Further USD strength vs EM in the offing?
–Yields fell as stocks declined and oil surged to a new high. Ten year fell just over 5 bps to 2.826. In dollars, reds were +4.5 bps, greens thru golds were +5.5. The curve is completely flat from EDZ19 back to EDU22, with all settles between 9707.5 and 9705.5. Red/green pack spread edged to a […]
June 27. Submerging markets
–Stocks lower this morning, with notable weakness in China and a new low in the yuan to 6.6049. Oil continues to surge with CLQ +60 to 71.13. The August/Sept crude oil spread has exploded, closing at 1.28 and printing 1.40 currently (this was around 0.30 at the start of the month), as the administration shuts […]
June 26. China: It’s not you. It’s me
–Relatively muted response in fixed income to a 2% drop in Nasdaq yesterday as global trade concerns grow. Late rally associated with Peter Navarro comments that trade policies are misunderstood. Featured trades were TY profit taking call sales, notably TYQ 120/122cs sold 30 to 32, with open interest down over 45k in both strikes. TYU […]
June 25, 2018. Stanching global liquidity and trade
-Trade jitters again as Trump proposes blocking Chinese investment in US firms with industrially significant technology. After key reversals last Thursday both Nasdaq and Russell are lower (along with ESU of course). Russell has been a leader to the upside, but a couple of closes below 1675 would target the 1600 area. SHCOMP also lower […]
June 24. Pin the tail on the Donkey
Starting with a micro theme this week, sparked by a couple of Eurodollar option trades. Last Wednesday there was a buyer of 50k EDM9 9687.5/9675/9662.5 put butterflies for approximately 1.7 bps (using a futures hedge). On Friday, the top put spread of this fly was bought in size of 100k at net premium 3.75 to […]
June 22. First weekend of summer, have some tequila
–Yesterday featured outside day ranges in emini-SP, Nasdaq and Russell, with the latter two posting new contract highs, outside ranges and lower closes. The excuse was the Supreme Court ruling allowing states’ taxation of the internet, which can perhaps spread to a broader sense of unease regarding fiscal imbalances. We had the tax cut, but […]
June 21. Another 100 bps higher by next summer solstice?
–Yields rose yesterday and the curve had a slight steepening bias; 2y note +1.3 bps and 10s +3.3 for a close in 2/10 of 36.8. Red/gold pack spread was also +2 on the day, bouncing from Tuesday’s cycle low of just 2.875 bps. Notable weakness in FF contracts as Fed Effective printed 1.91 for Tuesday […]
