Rates

Interest Rates Report

Are Eurodollar Options Relevant Again?

Albert Marquez
October 14, 2020
Expectation for a “blue wave” has shifted market sentiment
Eurodollar options

NIRP Forecasting

Albert Marquez
July 1, 2020
Could the Fed look to negative rates? The market will let you know.
Eurodollar options

Eurodollar Options Market: What Do We Do Now?

Albert Marquez
June 4, 2020
If you have been paying attention to the short-term interest rate markets (STIRs), you undoubtedly know that volumes have fallen off in Eurodollar options.
Interest Rates Report

STIRs Volume Has the Holiday Weekend Blues

Albert Marquez
May 22, 2020
For 5 days in a row under 1 million Eurodollar options contracts have traded.
Interest Rates Report

Lower Eurodollar Market Volumes as NIRP Concerns Ease

Albert Marquez
May 20, 2020
With the excitement of NIRP subsiding, STIR futures and options are seeing a marked slowdown.
Interest Rates Report

Volatility Made a Brief Appearance in the STIRs Market

Albert Marquez
May 12, 2020
Volatility edged up slightly yesterday then turned lower today after a big straddle seller dragged the rest of the curve lower. Attention continues to be on the 100.00 strike and higher as NIRP questions loom large.
Interest Rates Report

A Really Big Day for Eurodollar Options

Albert Marquez
April 29, 2020
After a slow start to the week, there were large trades across many Eurodollar options expirations, a welcome development
Interest Rates Report

A Quiet Week for STIRs Traders

Albert Marquez
April 24, 2020
A back and forth session with futures ending mostly lower. Most traders are looking ahead to tomorrow’s NFP number with particular interest after Wednesday’s surprising ADP number. In fact, according to Arbor Data Science, “ADP has printed above 270K only 14 times since 2003.
Interest Rates Report

Low Eurodollar Options Volume Low as Traders Focus on Oil

Albert Marquez
April 22, 2020
Overall Eurodollar options volume has been lower over the last couple of days as most attention was focused on the oil market.
Interest Rates Report

Fed On Hold And Rates Lower For Longer

Albert Marquez
April 19, 2020
The focus again has been the front end of the curve for option strategies, but we finally saw some flow in the further out contracts and with differing perspectives. We can only assume that the focus of trading has been on Libor.