Archive for the ‘Eurodollar Options’ Category
May 8. Not all stock markets are correlated
Not all stock markets are correlated…. Below is Kospi vs Shanghai Comp. By the way, China stocks at new low for the year.
May 7. Overbought…financial stability
Employment data was released Friday. The chart below is the unemployment rate, which is just 4.4% as of April. The last time we touched this level was in May 2007, a decade ago. The Fed Fund rate at that time was 5.5% (the end of the last hike cycle). We also had a period from […]
April 30. Arithmetic is the problem…or is it deeper than that?
The Undoing Project is the latest work by Michael Lewis. Although many themes run through the book, a large part of it concerns decision making by experts (including, for example, sports scouts, economists and doctors). In many cases, it appears as if simple models of complex problems can provide better decisions than relying on the […]
April 28. Ignore Q1?
–Quiet session Thursday with a bias toward lower yields. Seven year auction saw solid demand, coming at 208.4 vs 210.6 just prior to auction time. Ten year yield eased 1.7 to 229.5. –GDP released this morning, expected 1.1, though the Atlanta Fed revised its forecast to just 0.2%. The Fed seems prepared to ignore weakness […]
April 27. Big tax cuts, big growth, big deficits….and lower yields?
–Two serious financial experts unveiled the Trump administration’s tax reform plan and said it will lead to a surge in growth and employment, and yields fell? Many private analysts say that higher deficits will likely ensue, and yields fell? –One of the lessons I keep in mind, I believe from Richard Dennis, is this: when […]
April 26. Tails LOOK fat because atm is so skinny
–It’s hard to find something of interest to comment on regarding yesterday’s action. Yields declined and stocks soared as the unwind from last week’s French election continues and Trump’s tax proposals come into clearer focus. Of course, in the Trump world, the announcements seem to mark the high points and implementation is much thornier. The […]
April 25. A certain ‘quality’ is missing
Which are the continuity of quality. Phædrus read on through line after line, verse after verse of this, watched them match, fit, slip into place. Exactly. This was what he meant. This was what he’d been saying all along, only poorly, mechanistically. There was nothing vague or inexact about this book. It was as precise […]
April 24. A sigh of relief
–Huge sigh of relief with Macron expected to easily beat Le Pen in the second round of French elections. Green eurodollars traded -12.5, the euro soared over 109, ESM gapped higher and as of this writing prints +26 on the day. Implied vol is being hammered as insurance is being exited at fire sale prices. […]
April 23. This is Serious Business
On April 13, there was one week to go for May treasury options. The May 126 straddle settled 41/64’s with futures 126-025. On Friday, the one week straddle expiring this Friday, April 28, settled 1 08/64’s vs 126-02, or 75% higher! Still one week to go with the same underlying futures price. In comparison the […]
April 20. Big blues for Big Blue (IBM)
–“My name is George. I’m unemployed and live with my parents.” “I’m Victoria, Hi.” https://www.youtube.com/watch?v=Z6c17WxIcCw –That’s from the Seinfeld episode where George Costanza does the opposite. Funny. Except that 31% of 18-34 year olds now live with their parents (Census 2016). In 1975, 57% of this age group lived with a spouse, now that’s down […]
