Archive for the ‘Eurodollar Options’ Category
Dec 24. Atlanta Fed GDP Now estimate slashed by 30% for Q4
–Economic news continues to be disappointing. After yesterday’s releases, the Atlanta Fed GDP Now estimate for Q4 went from 1.9% to 1.3%. From the release: “The nowcast for real residential investment growth fell from 8.0 percent to 0.9 percent after yesterday’s existing-home sales release from the National Association of Realtors.” Hasn’t it been the first […]
Dec 23. “Know before you owe”
–Yields edged higher yesterday with a slightly steeper curve. Tens rose 4.3 to 223.8, as stocks rose and pressure abated on high yield and oil. Volume was light. January treasury option expiration is tomorrow. –Existing home sales were much weaker than expected, adding another data point to a string of disappointing economic releases, though the […]
December 20. Dislocations
In this business, we’re always trying to identify market ‘dislocations’ that we can exploit. Sometimes, these are little kinks that market technicians refer to as ‘mean reverting’ (or what Keynes might have referred to as irrational…as in ‘the markets can stay irrational longer than we can stay solvent’). What’s probably one of the biggest […]
Dec 18. F L A A A A A T
–The main feature of yesterday’s trade in the aftermath of Wednesday’s hike was a flatter curve. Front contracts were pressured by the prospects of further hikes and position exits. First four quarterly euro$ contracts saw open interest decline by 55k; buyer of 100k EDF 9950 puts for 1.0 also an exit (White pack -1.75 on […]
Industrial Production…negative yoy. Miss by Philly Fed today
Below is a chart of Industrial Production year over year, Philly Fed, and Mfg ISM. Doesn’t appear to be the type of set-up that would spur inflationary juices…. I just set this up because I had not realized that Ind Production year-over-year was NEGATIVE. How does that happen with auto sales at 18 million unit […]
Stocks priced in commodities…parabolic
This is an update of a chart I have previously sent…SPX priced in terms of BCOM…the Bloomberg Commodity Index. Parabolic, as strong dollar has hurt commodities, along with faltering global trade and weaker demand. Completely opposite moves in commodities and stocks. Paper…not things. [SPX/BCOM]
Dec 17. Gradual vs transitory
–The Fed finally hiked, and though the interest rate markets were well prepared there were some notable moves. Implied vol was crushed in interest rates, down about 0.5 in TYH, and most eurodollar straddles were down 1.5 to 2.5 bps. ATM TYF straddle was 1’04 in the morning but settled 0’52. The USD strengthened and […]
Dec 13. Yields are high because they AREN’T liquid
It was a volatile end of the week. VIX settled at its highest level since the end of September at 24.39. Stocks tumbled Friday with SPX down 3.8% on the week and the Russell down 5%. In a sign of EM fragility, the Mexican Peso closed at a record low, and the Chinese yuan also […]
In: Eurodollar Options
Dec 11. Time to hide
–This morning oil is making new lows, China’s yuan is at a new low 6.4552, Canada dollar at a new low. Junk bond funds continue to crash, Brazil is sliding into junk territory. Massive mine layoffs. Thank goodness we can hide our money in Amazon stock, with its p/e of 959. (No one will ever […]
Dec 10. New lows ED spreads —> gradual
–Was yesterday just a little hint of what’s to come? Front eurodollar calendar spreads at new lows tells you all you need to know. For example, EDH6/EDM6 made a new recent low at just 14 bps. Does 14 bps for a near three month spread reflect a hiking cycle? EDH6/EDH7 one-yr spread made a new […]
