Archive for the ‘Eurodollar Options’ Category
Supply and Demand. Boring until it’s not. March 11, 2018
In the treasury market, I’ve never really bought into the idea of ‘supply and demand’ as a driving factor. After all, we’ve previously been in periods of increased deficits (more supply) that don’t seem to impact rates much at all. I suppose one would argue that other factors were increasing demand at the same time, […]
March 9. AHE bigger than NFP?
–Employment report today with NFP expected 205-210k and Average Hourly Earnings +0.2. Last month it was the +2.9 yoy increase in earnings that sparked inflation concerns. While TYM has been consolidating around the 120 strike, red and green eurodollars have been edging lower in front of this morning’s data. Late buyer of about 50k 0EJ […]
March 8. Moving toward trade wars
–In spite of Cohn’s resignation late Tuesday, markets calmed by Wednesday morning and net changes were small. Rates edged marginally higher. Big trade of the day was a new buyer of 50k EDM9 9712.5p for 14.5 vs 9729.5 with 38d. Straddles from EDM9 back settled up 0.5 to 1.5 higher. EDM9 9725 straddle closed +0.5 […]
March 7. Old headwinds fade, new ones emerge.
–The big news is Gary Cohn’s resignation, which increases odds of a trade war. Brainard’s speech (…Headwinds Shift to Tailwinds) tilted hawkishly, concluding that “Continued gradual increases in the federal funds rate are likely to remain appropriate…” She mentioned the weaker dollar, tight corporate spreads, equity valuations and fiscal stimulus, synchronized global growth. –Equities had […]
March 6. Global trade is dominant theme
–Having rallied after the Italy election results, treasuries all closed down on the day. Ten year yield ended 287.9, up 2.6 bps. Once again there was heavy buying of TYJ 120/119.5 put spread on a roll up, paying 9 to 10 covered 120-125. Open interest rose 31k in 120’s to 159k and fell 20k in […]
March 5. Non-Commercial Specs in Tens… net short
A friend sent COT net non-commercial position in TY (thanks KW), which I have overlaid with the front contract in TY. The last time the net short was this extreme was after Trump’s election, and a rally ensued as shorts were squeezed out. Is the same price action in the offing this time around? Certainly […]
March 5. Employment week
–The populist wave continued in Italy with a surge in votes for Five Star and League. The euro absorbed the news easily, US stock futures tested last weeks lows but have rebounded as well. Rate futures are seeing a small bounce from Friday’s sell off. Tens rose 4.3 bps Friday to 285.3. Blues and golds […]
March 4. Ch-ch-ch-changes
Every time I thought I’d got it made, It seemed the taste was not so sweet. -David Bowie/Changes We put the cart of asset prices before the horse of enterprise. Jim Grant, Nov 2014 speech Chart above is from Advisor Perspectives, market capitalization to GDP. The dotcom high was 151%, the last reading on […]
March 2, 2018. The Mothra of all tantrums
–(RTRS) “The BOJ’s board members expect that prices will reach 2 percent around fiscal 2019. If this happens, there’s no doubt that we will consider and debate an exit,” Bank of Japan Governor Haruhiko Kuroda told parliament. BoJ has been the poster child for QE in massive breadth and scale. Tiptoe towards the exit? Expect […]
March 1. How long before Trump blames Powell?
–Don’t worry stock market investors, Hope Hicks will find another job! Yes, Trump’s Communications Director resigned. Perhaps now messages from the White House won’t be as smoothly scripted. On a more serious note, political turmoil could begin to have some market impact, along with announcements like the expected tariffs on aluminum and steel. When I […]
