Archive for the ‘Eurodollar Options’ Category
Nov 3. US/Russia election accusations
–Vol crushed across the curve yesterday as Powell was named Fed Chair in front of this morning’s post-hurricane jobs report. NFP expected 310k with a rate of 4.2% and Avg Hourly Earnings +2.7% yoy. –Almost all eurodollar straddles lost 1-2 bps. For example, EDH8 9837^, M8 9825^, U8 9812^ strip settled 63.5 on Wednesday, but […]
Oct 31. Sell vol, sell curve. Wash, rinse, repeat
–Solid rally in fixed income going into month end as Core PCE prices yoy remain stuck at just 1.3%. Tens sunk 5.8 bps to 236.8. Curve flattened. 2/10 fell 3.5 bps to 79.2. Red/gold pack spread -2.75 to 46.125. Reports that the corporate tax cut may be phased in over time were also a factor. […]
Oct 26. ECB today
–ECB today expected to shave purchases from €60 billion month to €30. Here’s a link from el-Erian describing challenges: https://www.bloomberg.com/view/articles/2017-10-26/what-to-expect-from-the-ecb-meeting –Ten year yield rose 3.3 bps to 243.9. Durables were strong yesterday with Core Capital Goods +0.7 vs expected +0.1. Red/gold euro$ pack spread closed at a new recent high of 50.75 bps, +1.875 on […]
Oct 25. Rates behaving badly
–Rate futures continue to press lower. Indications of downside fear are gently creeping in. Volume favors downticks, implied vol is firming as market moves lower, euro$ calendar spreads are edging higher. This morning, greens, blues and golds are at new lows (-3.5, -5, -5.5). Curve has been extremely flat so there’s some room to run […]
Oct 24. The mighty have fallen
–Light volume Monday. US equities failed to ride the tail winds of the Japanese market, and finished with modest losses. In terms of euro$ calendar spreads, EDZ18/EDZ19 was the volume standout at 32k, but the settlement price was unchanged at 22.5 while EDZ7/EDZ8 declined 1.5 to close at 42. EDZ7 9850 straddle continues to […]
Oct 23. Did the FED crash the neutral rate?
–Nikkei continues a powerful rally as Abe swept Japanese elections. Just since the beginning of September the Nikkei is up around 12%! Over the same time frame US rates have generally increased. Not sure if there’s causation, but I certainly would not stand in the way of Japanese stocks. –Yellen gave a swan song speech […]
Oct 22. The Crash
I couldn’t help going back and looking back at my old original Oct 20, 1987 newspapers, from the day after Black Monday. Thirty years have now gone by, and I always sort of thought that the image of BLR looking up at the boards and holding his head in grim disbelief captured the essence of […]
Oct 20. The Cubs bats are silent
–The weaker opening in stocks reversed Thursday and SP closed almost unchanged. Curve wasn’t changed all that much at the futures close; reds were the strongest thing on the board +2.25, tapering down to golds at +1.0. However, late in the day it was reported that Trump was leaning toward Powell as Fed Chair and […]
Oct 18. New lows curve
–Curve again pressed to new lows, with 2/10 just above 75 bps (-1.5 on the day) and 5/30 at 85 bps (-2.50). Red/gold euro$ pack spread also at a new low, now just under 38 bps. These levels are all the lowest they’ve been since 2007. An expected Fed hike in December will bring the […]
Oct 17. The Taylor Put
-The short end of the market traded heavy throughout the day on Monday, with early weakness spurred by stronger than expected Empire State data. Put buyers were active; early buyer of 50k EDZ7 9837p for 0.25. A later example was +10k 2EH 9762.5p for 6.5 ref 9789.5, and then to top it off, a buyer […]
