Archive for the ‘Eurodollar Options’ Category
Feb 19. I’ll sit this one out
–In the latter half of yesterday’s session gold jumped over $20, treasuries rebounded, yen pushed a bit higher…all normally associated with risk-off. Tens fell 5.7 bps to yield just 1.76. However, stocks held fairly well. Oil pulled back on inventory numbers and is 49 cents lower this morning with CLJ 32.44. In eurodollars the big […]
Feb 17. Never saw it coming…
–Comments yesterday from two new regional Fed Presidents. Harker of Philadelphia: “…but there are downside risks to my baseline forecast. …we have been below our inflation target for all but two years since 2008.” “It is also fair to say that risks to my outlook are tilted to the downside.” And then “I believe as […]
Feb 14. Imagine
Themes: Yellen disappointment Institutional bias and lack of conviction/imagination China/ Kyle Bass and the roadshow Declining faith in policy makers “Imagination is more important than knowledge. For knowledge is limited, whereas imagination embraces the entire world, stimulating progress, giving birth to evolution.” Einstein Given this week’s discovery that yet another of Einstein’s theories was […]
Feb 12. Black holes and gravitational waves
“The colliding black holes that produced these gravitational waves created a violent storm in the fabric of space and time, a storm in which time speeded up, and slowed down, and speeded up again, a storm in which the shape of space was bent in this way and that way,” Caltech physicist Kip Thorne said. […]
Feb 11. Aint got no brakes, it’s freewheelin’
–Thanks to colleague TonyP for the summary to the day’s end from Little Rascals… (go to 3:00). https://www.youtube.com/watch?v=bewsgoidxsA –Apparently, the market wanted Yellen to be more overtly cognizant to the risks facing the US economy from global turmoil. She wasn’t. “Testimony’s over? OK…where are the 100 calls?” (EDZ7 100c traded 7 bps late). By the […]
Feb 10. Yellen to pull us back from the brink?
–Highlight of the day will be Yellen’s testimony. Prepared remarks will be released at 8:30 EST, an hour and a half before the 10:00 appearance. Data dependent. My own rule of thumb over the years is that the Fed errs on the side of dovishness. The market has given an unambiguous signal that the Dec […]
Feb 9. Panic! at the disco. Victorious….NOT!
Panic time. Is it close to peaking, or can central banks save the day? Indicators, in no particular order: –Swap spreads moving higher, 5yr +2.75 to -0.06, 10yr +2 to -6.63 –Treasury yields crashing, tens -11.3 to 173.3 and fives -10.1 to 114.7 (through major yield support) –Japan ten year hits zero –Japan stocks -5.4% […]
Feb 8. What do the models say?
NFP weaker than expected at 151k but yoy wage growth of 2.5% resurrected the idea of a tightening campaign. The front end saw selling pressure in response, with EDU6 and EDZ6 (weakest contracts on the day) falling 3.5. However, the curve flattened, with EDU8 and EDZ8 unchanged on the day, and further contracts in positive […]
Feb 7. Yellen before Congress on Wednesday
Themes: Capital spending and stocks Reaction to employment/stagflation/higher wages lower productivity Yellen on Wednesday. In Sept, she thought international situation wouldn’t have much impact CAPEX Below is a chart of Core Capital Expenditures. The downturns in this series correlate well with the chart of SPX. Both peaked in 2000, 2008 and in 2014/15. Which […]
Feb 5. A Lehman moment
–By the end of the day Thursday tens were still squeezing higher, trading 130-14. The ten year yield is going into the employment report at the low (186 as of futures settle, -2 bps on the day), right around the low from last April. Payrolls are expected 190k. Avg hourly earnings expected +0.3. –There’s […]
