Archive for the ‘Eurodollar Options’ Category
May 27 (Weekly). At-the-money expiration and other thoughts
On Friday, at the noon strike (Chicago time), FVM8 settled 113-22, TYM8 119-275 and USM8 143-22. As the 4:00 pm bell was going off (in my head), TYM8 ticked 120-00. Late prints in FVM8 113-2425 and USM8 143-30, right at strikes. In treasury options, calls that expired worthless can be exercised manually, even after the […]
May 25. US stocks recover early sell-off, but fraying at the periphery continues
–Yields continued to edge a bit lower after Wednesday’s FOMC minutes sparked short covering. The US ten year yield will likely close out the week holding just below the 3% mark. The idea that IOER will rise only 20 bps vs FF target of 25 bps is primarily technical, but the market is also slightly shaving […]
May 23. Five year auction today provides safety and liquidity
–Yesterday I suggested we might have a possible turnaround Tuesday, which occurred on a very modest scale. After posting a new contract high early, July Crude settled down 15 cents at 72.20. ESM8 settled down 7.00 at 2726.00. This morning, these moves have been accentuated, with ESM down ~20 and Crude down ~50 cents. Russell was […]
May 22. EM fx and crude oil….diverging
From 2013 to the energy crash of late 2015/early 2016, oil and EM FX were strongly correlated. Currently, oil is making new highs as many emerging market currencies make or test new lows. I believe this divergence has to do with increased debt levels in EM, and of course, political factors in some instances.
May 22. No worries
–Stress related to EM and Italian markets is taking a back seat to improved prospects for China/US trade. Below are a few charts showing 1) a surge in Italy 5y CDS from 100 to 135 bps this month, 2) new low in the JPM EM currency index and 3) a fairly sharp drop in the […]
May 20. Culling the Herd
I watched a riveting documentary on PBS the other day. I just happened to put on the tv and the program had already started, chronicling the life and discoveries of Dr Marian Diamond. From Wikipedia: Marian Diamond (nee Cleeves; November 11, 1926 – July 25, 2017) was a pioneering scientist and educator who is considered […]
May 18. EM FX spillover?
The impetus for this chart is the continued slide in EM ccy’s. BBG symbol for JPM index is FXJPEMCS Index. This chart covers 5 years, but there has clearly been a renewed slide since Q1 of this year. I thought the chart reminded me of DB so I decided to overlay for fun (DB at […]
May 18. Bond bids are dispersing
–Yields continue to grind higher with notable weakness in the long end. Thirty yield bond yield pushed to a new high of 3.245%, +3.2 bps on the day. Perhaps also worth mention is that ten year tips closed at a multi year high of 93 bps. While the moves were small, eurodollar calendars also squeaked […]
May 17. I dunno if she can take any more, Captain
–The grind to higher yields continues. At the futures close tens were up 1.5 bps to 3.09% and edged higher thereafter, with continued put buying. For example, there was a late 20k block buy of TYN 117.5 put vs TYM 11817 for 20/64. In euro$’s red to green calendar spreads eked out new recent highs, […]
May 15. BOJ wants higher bond yields?
–Libor/ois compression continued to be the main story, with EDM8 +2.5 on the day and all contracts from EDU19 back either unchanged or lower. EDZ8 to FFF9 spread had been 39/39.5 last week and closed yesterday at 34.0, -1.5 on the day. This move appears to have been accentuated by strategy exits; while near euro$ […]
