Archive for the ‘Eurodollar Options’ Category
Feb 1. Market based measures of inflation? Chgo Metra rail passes increase in price today, 4 to 12.3% more
–FOMC announcement today. No press conference, no change expected. In the last announcement, the Fed said “…labor market has continued to strengthen and that economic activity has been expanding at a moderate pace.” With respect to inflation, “Market-based measures of inflation compensation have moved up considerably but still are low; most survey-based measures of longer-term […]
Jan 31. Trump’s new executive actions will positively impact JOLTS!
–Little change in interest rate futures despite a modest end of the month pullback in stocks. One trade of note was a new seller of 30k FFJ7 (April Fed Funds) at a price of 9929 down to 28.5. It’s pretty slow when we’re forced to highlight FF trades…but here it goes. April 1, 2 are […]
Jan 30. Rebalancing flows
–Stocks are under some selling pressure this morning, as some point to the immigration suspension as a source of concern, along with the possible border tax. Another factor might be a note on ZH claiming that tax reform might not occur until spring of 2018. Net changes are actually quite modest, and given the fact […]
Jan 29. The important thing was, that I had an onion on my belt….
“We can’t bust heads like we used to, but we have our ways. One trick is to tell them stories that don’t go anywhere.” Grampa Abe Simpson – Union Buster Look, there’s just not much to say about the week that just passed, notwithstanding a flurry of executive orders. The market story didn’t really […]
Jan 24. Surprising short cover rally
–Heavy volume associated with the rally in eurodollar futures yesterday. Total 4.6 million traded, but open interest was down 220k with only EDM8 posting an open interest rise over the first 12 quarterlies. EDM7 open interest fell 77k and EDZ7 62k (EDZ had heaviest volume on the strip at 570k). Similar story in tens, heavy […]
Jan 22. (bond yields) breaking with the past
Short note this week, mostly in the form of a question, “could yields now be in a bear market?” Above is a chart of 4 bond yields, US in blue, UK in white, Japan in red and Germany in green. I used the Japanese 30 year yield as the ten year JGB is being targeted […]
Jan 19. Yellen’s Core Message- higher rates
–The main event yesterday was, of course, Yellen’s speech on monetary policy. While she didn’t mention upside risks due to fiscal policy, or instability caused by frothy financial assets like Commercial RE, the message was one that accepted the idea of steadily higher rates. Eurodollar calendar spreads rebounded slightly off the lows which had been made […]
Another HAPPY customer
Jan 18. Curve falls to flattest of this year
–Yields fell yesterday and settled near the day’s low with tens down 5.6 bps to 232.4. The curve flattened with nearly all eurodollar calendar spreads posting new recent lows. 2/10 treasury eased 2.4 to end slightly higher than 117. The peak one-year spread is EDH17/H18, March/March, which fell 4 bps to just 52.5. All other […]
January 16. Skyscrapers to heaven
-GBP posted a new low on hard Brexit fears. Risk assets opening softer for the US holiday. –From the Washington Post last week: “That’s the theory at least behind what’s known as the “skyscraper index.” Andrew Lawrence, an economist at a British investment bank, posited in 1999 that the massive buildings were the product of […]
