If there seems to be more safe haven demand of late, the increasing odds of British exit from the EU is being blamed. According to Yahoo!Finance, Goldman Sachs sees “kinks” in the option structure, an agglomeration of hedging demand that points to maturities around the UK referendum. The absence of any heavy hedging this week suggests that markets have no [...]
Eurodollar futures prices rose again today, the seventh consecutive increase in most maturities. Six of those days were relatively small moves, the biggest jump last Friday with the release of the payroll report. For the benchmark June 2018 contract, the price is heading back up to the upper limit of the post-liquidation cycling. Trading has been confined to a very [...]
Japanese officials including those at the Bank of Japan have been acting very erratic of late, eschewing the more traditional financial setting of vagueness. First it was NIRP that immediately blew up in their face, leading to very loud rumors of additional bank “stimulus” to offset NIRP only to have the BoJ instead do nothing at its last policy meeting. [...]
There isn’t a whole lot known about the Federal Reserve’s Foreign Reverse Repo accommodation, and I believe that is intentional. The rate which the Fed pays to “borrow cash” from foreign central banks and governments is unknown. What is known is just how much in total the Fed is “accommodating” foreign dollar business. This RRP, in sharp contrast to the [...]
Today was the third consecutive down day or selling in eurodollar futures. The June 2018 contract settled below 98.80 for the first time in April, almost unwinding the move higher at the start of this month. Even after the selling, the eurodollar curve remains as depressed as ever, discounting an entirely different set of future circumstances than stocks or junk [...]
It is remarkable the disparity in views on display by various markets and what that suggests about what is driving each. In stocks and especially junk bonds, you get the sense of a massive sigh of relief that “it’s all over”, and while scary for a time it’s back to momentum and not missing out on the big money bargains. [...]
It’s never a good sign when bank stocks are leading any retreat, but that is especially the case given recent events when several high profile banks were at the epicenter of early 2016’s liquidation rerun. As usual, Deutsche Bank and Credit Suisse are the firms most mentioned and among those most disfavored at these times. The media struggles to find [...]
It is quarter end, so illiquidity irregularity is to be expected except that it isn’t irregular really. Eurodollar futures have been heavily bid for three days in a row now, leaving four consecutive up days for the first time since the liquidations. And because I am a sucker for fractal behavior, repo markets proved that quarter end is still what [...]
I use the June 2018 eurodollar futures contract as a significant benchmark in my analysis of money markets because I feel it represents a solid cross section of sometimes conflicting influences. It’s close enough to the front end as to be significant both in terms of monetary policy as a factor but far enough to be as heavily if not [...]
When the June 2018 eurodollar futures price touched above 98.50 on October 2, I thought that was an impressive bid suggesting just how much negativity had survived the August liquidations. It was interrupted by some backward optimism about China’s October Golden Week, but the eurodollar curve overall with the June 2018 maturity as a specific interaction point for monetary policy [...]
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