Archive for the ‘Eurodollar Options’ Category
March 22. The FED is who we THOUGHT they were!
–On Tuesday I wrote this: “The market seems to be geared up for a bearish hike, with upgrades in growth projections and a rise in the Fed dots. We had already priced increased growth estimates, and while the market is on the same page as the dots for 2018, the Fed hadn’t been able to […]
March 21. FOMC day
–Fed day. Powell’s first as Chairman. The market seems to be geared up for a bearish hike, with upgrades in growth projections and a rise in the Fed dots. We had already priced increased growth estimates, and while the market is on the same page as the dots for 2018, the Fed hadn’t been able […]
March 20. ‘More speed and less capital’
–Subject line quote above is from a BBG article quoting GS. “Future liquidity disruptions may amplify price declines when the current cycle turns,” wrote Charles Himmelberg, Goldman’s co-chief markets economist. “Trading liquidity may be worse than it looks because trading volume in many major markets is increasingly dominated by more speed and less capital.” Sounds […]
March 19. EDH8 off the board; rolling ED spreads at new lows
–Big event of the week is Powell’s first FOMC meeting as Chairman on Wednesday. There are some concerns that FF projections will move somewhat higher, but there is no shortage of potential news stories that could be identified as market drivers over the next week. For example, domestic political intrigue continues with speculation Trump could […]
March 17. FOMC WEEK- FED CAN’T CONTROL EVERYTHING
Last week I suggested supply and demand was about to become more important in the treasury market. It’s a good topic, and would have been spot on if I had been talking about short term funding markets rather than longer dated treasuries. Because that was really the story this week, the continued blow-up of Libor/OIS. […]
March 16, 2018. They’re dying the Chicago River Green tomorrow – does that mean we buy greens?
–Going into the expiration of EDH8 the pressure continues, with new lows in EDH8 yesterday of 9778.75. However, EDM8 did not make a new low, and was 9769 bid late. After the libor setting came out at 2.1775 there was a buyer of at least 50k EDH8 9775p for 0.25. There was also buying of […]
March 15, 2018. Let the Good Times ….flatten?
–Yields declined and stocks faltered as Retail Sales fell, -0.1%. This data caused several analysts to mark down estimates of Q1 growth. Notably, the Atlanta Fed GDP Now projection plunged to 1.9% from 2.5% on 9-March. The first quarter has printed weak several times in recent years, but given the tax package it’s surprising. The […]
March 14. Deflating curve, vol and activity
–CPI was as expected with yoy Core +1.8 and headline +2.2 yoy. Retail Sales expected +0.3 and PPI expected +0.1 headline, and +0.2 Core with yoy Core 2.6. –Yields eased with a solid 30 year auction, though the biggest piece of news came on the political front with the ouster of Rex Tillerson, which took […]
March 13, 2018. Front end weakness persists approaching EDH8 expiry
–Treasury supply was absorbed fairly easily with TYM trading a tight range around 120-03 both before and after the auction (Settled 120-06+). Yield was 2.889 with 2.5 bid to cover. Prior to the auction 20k TYJ 120 puts were sold covered 120-03, at 20. So 46 in the straddle, which settled 45. Puts were an […]
March 12. Auctions and inflation this week.
–Three and ten year notes auctioned today. CPI tomorrow, followed by the thirty year bond auction. Auctions are more important than usual as the market tries to gauge global demand in the face of increased supply. –NFP of 313k Friday was coupled with a yoy increase of only 2.6% in Average Hourly Earnings, with the […]
