Archive for the ‘Eurodollar Options’ Category
Salubrious
–Once again yields fell and the curve flattened to new lows, in spite of slightly better than expected data. Core CPI yoy 1.8%. Headline Retail Sales +0.2 vs 0.0 expected…previous month revised slightly higher. Decline in stocks seemed to give some support to fixed income. Early weakness in Junk but etfs came back to close […]
Nov 15. China credit slowdown to reverberate?
–Another new high in the 2y yield at 168.7, up just 0.4 bp but the only yield on the treasury curve that was higher. Ten year fell 1.7 bps to 238.1. 2/10 closed 69.4, right on top of the low of 68. 5/30 made a new low of 77.6 bps. 5/10 down to 31.8. Dollar […]
Nov 14. Strange Correlations
–Yields pushed slightly higher yesterday led by the short end, with the 2-yr up nearly 3 bps to a new high of 1.683%. EDZ7/EDZ8 spread made a new high of 45.75, and EDZ7/EDH8 also posted a new high of 16.75. There was quite a bit of put buying on the short end yesterday; EDZ8 settled […]
Nov 13. Junk Jitters
–The broad story is shifting to the idea that capital is being less accommodating. Fraying starts at the edges and stories about deterioration in the high-yield market are becoming more common. At the end of 2015 going into 2016, it was all about energy companies as the price of oil plunged. Now spreads are widening […]
Turning points -weekly comment
On Friday, I attended the funeral for my uncle Constantine (Gus), a veteran of WWII, who served in the South Pacific as a naval officer. I have always respected the tribute of Veteran’s Day, but I must say that this was an especially poignant and fitting occasion, as it was a full military funeral held […]
November 9. random thoughts on everything (but rates)
–The range yesterday in Bitcoin, according to BBG, was 7040 to 7882, $842 or over 10% of the value. The low of this year is 752 on 12 January, so yesterday’s range was large than its price earlier this year. The crude oil market also had a large range, making a new high early at […]
Nov 8. But are you SURE the Fed hikes?
–The front end of the market continues to press lower, with hike odds for December over 90%. January’18 Fed Funds (FFF8) were offered at 9861.5 during the day, but closed at 9862. There are 2 month-end dates in this contract which typically are associated with a lower Fed effective print; my assumption is that a […]
Nov 7 . Flatter Curve…a few debt notes
Curve continued flattening trend. I marked 2/10 at 70.3 on futures close. Volume was light. Notable new buyer of 25k TYF 124/123ps for 11; settled 10 ref 125-025. –Large mover on the day was oil, with CLZ settling +1.71 at 57.35. It’s just slightly lower this morning as Saudis face both internal and external threats. […]
Nov 6. Markets shrugged
–Warning from China’s Central Bank Chief: (BBG) Latent risks are accumulating, including some that are “hidden, complex, sudden, contagious and hazardous,” even as the overall health of the financial system remains good, Zhou wrote… “High leverage is the ultimate origin of macro financial vulnerability.” “In sectors of the real economy, this is reflected as excessive […]
Art and Crime
“They don’t understand the difference between art and crime.” –J S G Boggs “I take them out into the real world and try to spend them, not as counterfeits, but as real works of art that ask us about the nature of money.” “It’s all an act of faith. Nobody knows what a dollar is, […]
