Archive for the ‘Eurodollar Options’ Category
June 20. Short market cycles
–Like every other market disturbance, this one, (Trump’s threat of another $200b tariffs to be levied on China) caused an immediate market dislocation that faded within 24 hrs. Russell index closed at its high and is at a new ath this morning. GE, which was the largest stock by market cap in 2001 at $400b, […]
June 19. Summer’s here, turn up the heat
–So the strategy is to turn up the pressure until the other side buckles… it worked with N Korea right? Might not be so easy with China. CNY at five month low 6.4754. SHCOMP well below 3000 support level (2907). ESU -33 as of this writing and TYU above the 120 strike. (Trump floats another […]
June 18, 2018. Is the Fed too tight?
–With today’s expiration of EDM18, Sept contracts are now the lead. The back end of the euro$ curve further inverted on Friday, with EDU20/EDU21 and EDZ20/EDZ21 being the low points, both settled -1.5. Using Sept’19 as the front red, the red/green pack spread settled at just 2 bps and the red/gold pack spread just over […]
June 17. A Courtesy Nod to Economic Projections
-You try to gimme your money / you better save it babe / save it for your rainy day Jimi Hendrix / Fire One of the interesting things about the Fed’s Summary of Economic Projections (SEP) released last week is the forecast for the unemployment rate. For the end of 2018 it’s projected […]
June 15. Eurodollar curve inverts: 2020 to 2021 contracts
–The event of the day was the ECB meeting, where the central bank vowed to keep rates unchanged until summer 2019. EUR had a huge outside day, initially rallying and then plunging, high of 1.1851 and low at end of day at 1.1577. Dollar strength is causing further trouble for emerging markets, with JPM FX […]
June 14. Nasdaq vs Shanghai Comp
June 14. The Fed’s ‘America First’ Policy
-As advertised, the Fed raised the FF target range by 25 bps, and IOER by 20 bps. The statement was altered to indicate decreased accommodation. In terms of SEP, FF in 2018 were projected to end 2018 at 2.4 vs 2.1 in March, and Core PCE went from 1.9 to 2.0, while PCE went from […]
June 13. FOMC…. a bearish hike?
–Today brings the FOMC announcement, with near 100% expectation of a rate increase. Focus will be on the change in wording, perhaps to something like “the stance of policy remains MODESTLY accommodative.” Reuters cites Goldman in this snippet: The last time such a change occurred was in September 2005 when rates were raised from 3.50 percent to 3.75 percent, “into the range of (neutral) estimates” given […]
June 12. Call buying
–Yields backed up slightly Monday with tens up 2 bps to 295.7, but the dominant theme was call buying in TYU. Over 100k TYU 120/122 c spreads bought 29-30, settled 30 vs 119-14, 25d. Open interest +97k and +84k. TYU 120.5/122.5c spd also bought for 22, 25k. Open interest in TY declined nearly 28k, which […]
June 11. Receding risk in Italy meets treasury supply
–Three and ten year treasury auctions today. Yields edging slightly higher this morning after ending nearly unchanged Friday, but implied vol had a powerful bid going into Friday’s close, into what BAML is calling the most important week of the year. As an example, on June 4, 0EZ 9700 was 36.5 vs 9702.0. On Friday […]
