Nov 10. Cheeseburger, cheeseburger

–On Monday March Euribor settled +2 at 100.15.  March Euroswiss +3 at 101.00.  March Eurodollar +1 at 9938.5.  The US is looking for a rate hike while negative rates prevail elsewhere.  I have attached a chart of the CRB and the Baltic Dry Freight Index, both plunging.  December Copper yesterday settled 223.0, the lowest settlement since late 2009, and just half the price seen on the bounce in 2011. Corn and beans and cattle all pushing lower, with hogs at new lows.  The Fed is set for a December hike but the dollar prices of commodities aren’t supporting the case.  Maybe today’s fast food strike will tilt the balance and force big raises economy-wide in a nation with a foundation of double cheeseburgers.  Maybe we’ll go with Billy Goat today…no strike there.
–Correction from previous notes.  I had seen a calendar with tens and thirties both being issued on Thursday this week due to the bank holiday Wednesday for Veteran’s Day.  However, tens are being auctioned today.
–New recent high in red/green/blue eurodollar pack butterfly nearing 20 bps (19.375).  This fly is up 11.75 bps from Oct 27 (the day prior to the FOMC) as reds to greens have widened to new recent highs.  As an example, EDH17 to EDH18 settled at 59 yesterday while EDH18 to EDH19 is just 37.5.  The implication is that greens are a bit cheap, but perhaps a less risky play than selling the fly is to just buy some green midcurve call spreads.  Not exactly the same trade, but along the same idea.

Posted on November 10, 2015 at 5:08 am by alexmanzara · Permalink
In: Eurodollar Options

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