Rates

Interest Rates Report

Do You Want to Sell The Eurodollar Dec21 Par Calls?

Albert Marquez
October 16, 2019
Slow overnight trade and minimal option activity. Eurodollar STIR futures traded higher without any real data points.
Interest Rates Report

Negative Interest Rate Trade Most Likely Hedge and Not Opinion About Future Fed Policy

Albert Marquez
October 10, 2019
Minimal action overnight as futures trade in a tight range. That changed after the release of the September CPI data. Algos initially read the headline number as weak, and futures ticked up. However, core CPI, at 2.4% YoY, was the strongest reading since late 2008, and futures traded down to the bottom of the day’s range.
Interest Rates Report

Predominant Order Flow In Eurodollar Options Has Been Buying Calls And Selling Puts

Albert Marquez
October 8, 2019
Futures traded on their lows for the session prior to the pit open. After a disappointing PPI release, futures moved progressively higher throughout the trading session, closing off mid-morning highs.
Futures Options Trade Idea

TRADE IDEA - Gold/Silver Straddle Spread

George Austin
October 8, 2019
Trades we are monitoring today. If you’re also looking at the Silver Options this might be a trade that’s worth a look.
Futures Options Trade Idea

TRADE IDEA - 2year Midcurve Sep20 Eurodollar Put Ladder

George Austin
October 7, 2019
Trades we are monitoring today. this structure caught our attention, as being one of few value trades that was being executed. The market focus seems to be entirely centered on ramming up the value of Call structures.
Interest Rates Report

Expect Interest Rate Traders To Focus On Upside To Continue, Pullback Was Short-Lived

Albert Marquez
October 4, 2019
It seemed the market had a hard time deciphering the Payroll data, as interest rate futures traded their entire range immediately after the number. Blame it on the algos and low liquidity.
Interest Rates Report

Interest Rate Markets Increased Odds For October Fed Fund Rate Cut

Albert Marquez
October 2, 2019
Futures were relatively quiet overnight, hovering around the day range lows. They then marched steadily higher over the day as talk turned to economic weakness both at home and abroad.
Interest Rates Report

After Disappointing ISM Report, Futures Rally and Paper Buys Eurodollar 97.75 Puts

Albert Marquez
October 1, 2019
Relatively quiet overnight session as futures hover above range lows. That all changed with the release of the ISM Manufacturing numbers, which disappointed with the lowest reading since 2009. Futures spiked to their session highs and settled near those highs.
Interest Rates Report

Fed Funds Futures vs. SOFR Futures Spreads Catching Traders Attention

Albert Marquez
September 30, 2019
Very quiet overnight session, only 10K options volume prior to pit open. Futures traded near their session lows prior to a weak Chicago PMI number that rallied us to the top of our day range, where we ended the session.
Interest Rates Report

Interest Rate Traders See SOFR Futures Volume Tick Higher

Albert Marquez
September 26, 2019
Slow day as markets took in geopolitical news. Majority of Eurodollar futures curve trades in 5 tick range. Very low options volume.