Archive for the ‘Eurodollar Options’ Category
April 6. We’ve lost the script
–Employment day. Nonfarm payrolls expected 190k, with yoy Average Hourly Earnings 2.7%. Powell then speaks at 1:30 EST in Chicago. I saw no indications of an early release of the text; that should be released at 1:30. I’m sure Powell will re-emphasize that the stock market is NOT the economy which would be negative […]
April 5. Stocks respond to tweets, the Fed doesn’t
–Monster rally in stocks completely erased Monday’s losses. While SPX had broken the 200 DMA, it closed well above yesterday. Nasdaq and Russell have thus far held 200 day averages. Rates edged higher, with tens +1/2 bp to 278.8. EDM8/EDM9 spread, which remains the peak one-yr calendar, settled 38, but was 39/39.5 late. There continues […]
April 4. Markets to test Powell
–As mentioned yesterday, the 50% retracement in SPX from the post-election low to the high of 2871 in January is 2431. That target, if reached, represents a 15% decline from the high. The question is, how much pain does the market have to inflict before it’s considered a true test of Powell? The Senate confirmed […]
April 2. Easter Monday (thin conditions)
–Stocks seeing some pressure this morning as China retaliates with tariffs on US products (and Trump shifts attention to Mexico). –On Friday all measures of the curve made new lows. The peak one-year euro$ calendar spread is EDM8/EDM9 which settled at 3/8% (37.5 bps). The next year out, EDM9/EDM0 settled at 1/8% or just 12.5 […]
April 1. Flatter curve weighs on USD
Taking a look at some longer time frame themes this week, in part relating to inflation. This note will appear longer than usual due to the addition of several charts. At least part of the discussion concerns the value of the dollar, which in turn is at least partially related to interest rates. I lead […]
March 29, 2018. Paring back ED calendar longs
–End of month and quarter. Net changes yesterday weren’t particularly large, with the ten year yield -1.9 bp to 277.3. However, many euro$ calendar spreads eased to new recent lows as the curve flattened. Partially due to the new 2y, 2/10 closed 48.7, a new low and down 3 on the day. 5/30 closed 42.3. […]
March 27. 200 DMA
–Stocks rebounded Monday and interest rate futures traded lower. Ten year yield rose a couple of bps to 284.3 as the market digested the 2 yr auction with 5’s to follow today. Good buying in the morning (+80k) in EDM8 9762/9750/9737p fly for 2.25…friend BC pointed out that May 9762/9750ps was offered at 2.25 vs 9768.0 […]
March 26. China and the US patching it up
–Friday’s session was dominated by the slide in stocks, with SPX -2.1% and Nasdaq -2.4%. Yields edged modestly lower by the futures close and then posted further gains into the end of the electronic session. However, we’re seeing a nice bounce this morning as news sources report that China and the US are working to […]
March 25. Say… What’s THIS doing here?
Say…why’s the dollar getting pasted? Say…why is this libor/ois spread so elevated? Say…why is the back end of the Eurodollar curve so flat? Why have stocks fallen out of favor? There are a lot of market prices that don’t quite seem to make sense. When a price appears to be out of whack, but […]
March 23. Hammered
–When all you have is a hammer, every problem looks like a nail. Analyst explanations of the stock market sell off range from tariffs and trade wars, to domestic political issues, to tech problems etc. Maybe it’s all just part of the big karmic circle. Trump triumphantly took credit (repeatedly) for the amazing amount of […]
