Archive for the ‘Eurodollar Options’ Category
Dec 5, 2017. Fangs bite
-Big-cap tech was unimpressed by the Senate’s passage of the tax bill. As can be seen on the attached chart the NYFANG index closed below November’s range. MSFT -3.8%, AMZN -2.4%, FB -2.1%. However, interest rates still moved higher as the curve flattened to new lows. Two and five year notes both rose 3.2 bps […]
Dec 4. Could faster normalization kickstart VIX?
–Given the Senate passage of the tax bill and ABC’s retraction of a key part of the ‘Flynn testifying against Trump’ story, the market reaction is somewhat muted. Eurodollar contracts made new lows but have bounced. In late October, TYH put in a low of 123-27, this morning’s low is 123-30. Stocks are, of course, […]
Dec 3. Teflon Don
Donald Trump was born in 1946. In an ironic twist of history, that was also the year that Teflon products became commercially available. From the Chemours website, “Upon checking a frozen compressed sample of tetrafluoroethylene, he [Plunkett] and his associates discovered that the sample had polymerized spontaneously into a white, waxy solid to form polytetrafluoroethelyne […]
Nov 30. Crypto rollercoaster
–Curve steepened slightly from depressed levels as yields rose. Tens +3.9 bps to 237.4. Red/gold pack spread +1 bp to 34.5, but still at the low for the past decade. Wild action in bitcoin which hit a $2000 air pocket taking it from $11k to $9k but it bounced off the low and is now […]
Run for the Sidelines
–I don’t usually use sports analogies because they’re a bit cliche. But here’s a guy that saw danger spilling over the sidelines and took spectacularly evasive action, and came out standing. Let’s hope their are a few ‘wealth managers’ that are as nimble. https://www.secrant.com/georgia-sports/georgia-coach-jumping-and-hovering-in-air-over-sideline-play-is-not-of-earth/73771769/ Georgia Coach Jumping & Hovering In Air Over Sideline Play […]
Nov 26 weekly wrap. What if the market gets a toothache?
In the news this week was an item about the famous man-eating lions on display at the Chicago Field Museum. The story begins in 1898, when two male African lions killed 35 people in the Tsavo region of Kenya, dragging them out of their tents in the dead of night. After months of attacks, they […]
Nov 22. Thankful for a flatter curve?
–Another day, another new high in the 2 yr note yield. Yesterday 2’s rose 2.1 bps to 177.1, while the ten year yield fell 1 bp to 236. Obviously, this led to new lows in the curve, with 2/10 below 60 bps and red/gold pack spread below 34. As I mentioned a couple of days […]
Historical curve perspective
A lot of charts attached, mostly treasury curves and also 3m libor vs 5y. At the bottom is the FF target rate and SPX. According to people who have seen Grant’s, he has mentioned curve inversion a couple of times recently. Here is the summary of charts: Curves flattened throughout hiking cycle of June 2004 […]
In: Eurodollar Options
Nov 20. Free the rates
–The story continues to be a flattening curve, with the 2yr note at a new high yield of 172.5 (+1.7 on the day) and tens at 235.2 (-0.7). 2/10 closed 62.7 and red/gold euro$ spread at 38.375. –The news this morning is that Merkel was unable to form a coalition government. EUR sold off buy […]
Nov 19. Are Funding Costs About to Tighten?
There have been many interesting snippets of news this week, making it somewhat difficult to whittle them down to a specific topic and weave in a few anecdotes in support of a thesis. For example, in the early part of the week, I thought I would run with a couple of stories that foreshadow a […]
In: Eurodollar Options
