• There are so many wacky things going on with Eurodollar futures, from libor blowing out to Kong buying EDZ8-Z9 in unprecedented sizes, that it’s hard to get a good handle on what is going on with short end i […]

  • The two big stories this year are: (1) Libor increasing and (2) Kong buying EDZ8-Z9.  These two factors have had a negative impact on the back of the whites.  Kong has also had a negative impact on the steepness o […]

  • How things can change in a week!  A number of the things I mentioned last week are starting to normalize.  Apparently, I don’t live in Bizzaro World after all!

    The libor fixing stabilized. It’s only been […]

  • There are a bunch of strange things going on in the front of the curve (next 12 months).  It’s been a really long time since I’ve seen so many unusual cross-currents go through at the same time:

    The libo […]

  • It has been many years since I’ve seen flows this aggressive and wacky on the US rates curve.  It appears King Kong (the EDZ8-Z9 buyer) likes to try and pound square pegs into round holes.  The curve has wan […]

  • I’m not one of those people constantly calling for an equity correction.  Last year, when everyone was on the “October crash” bandwagon, I said while this was possible, that seemed liked a crowded trade and that t […]

  • Long time readers will know this story, but when I went through the (JPM) Chase two-week trading simulation, I just crushed it.  I had been playing strategy games and video games all my life.  So making markets a […]

  • I’m not claiming to be any kind of Bitcoin expert.  I don’t know much… after all, I’ve been trapped in a block of ice all these years[1].  In particular, I have no idea how Bitcoin (or equivalent) can be considere […]

  • I generally don’t like writing about the same topic on consecutive weeks, but in this case, I have to make an exception.  Consider how much the Open Interest has increased in the Z contracts since the end of 20 […]

  • I’m a big believer in adjusting to what the markets give you.  One of the ways we may get some relative value trading opportunities is when we see large flows that distort the curve.  The premise would be that the […]

  • For the New Year, let’s go back to the basics and see what the markets are pricing in for the FOMC in 2018.  The most common refrain I hear is “three hikes in 2018.”  I can see that.  There appears to be more “sm […]

  • I (re)heard a good trading quote the other day… “Ever wonder why fund managers can’t beat the S&P 500? ‘Cause they’re sheep — and the sheep get slaughtered.”  The line is by Gordon Gekko, from the movie Wall S […]

  • Curve Advisor replied to the topic Announcements in the forum Main Forum 2 years, 2 months ago

    I have a new article on Seeking Alpha on the return of the turn. This was written just this past weekend, on a theme I had been discussing in the CA for the past few weeks with clients.


    We locked in another 38.2 basis-point units last week. This week is your last chance to lock in 2017 rates. Sign up now and get: (1) four free back…[Read more]

  • Curve Advisor replied to the topic The Z turn in the forum Main Forum 2 years, 2 months ago

    Viewer Mail: Have noticed that open interest on both edz8 and edz9 are elevated in relation to rest of the curve. Appears has been that way since September. We dropped some after dec midcurve option expiration but still high. Either someone has large edz8/edz9 position. Or maybe related to the Turn??

    Answer: Actually, the EDzs have had…[Read more]

  • Have you ever heard that phrase “Many traders have never seen___”?  For example:

    Many traders have never seen a real vol spike. You’ve probably heard ad nauseum about how short vol (VIX) sellers will get cr […]

  • When I mentioned the flattening, I was mostly referring to 2019 and beyond (as per the quote). 2018 is just going to converge faster to the BOC policy rates, so they will be more affected by the data and policy bias. Last week, the US, UK and Canadian long end all flattened noticeably. Those countries all happen to be higher yielding than say…[Read more]

  • Almost two months ago, I was watching some large players sell the EDZ7 98.50 straddle for about 6-7.  At the time, libor-FF was very stable, but it was not a “sure thing” that the Fed was going to hike in Dec (may […]

  • I’ve talked a lot about the bungee cord in the past few months, that is holding the US longer end from taking off.  But the bungee is more than just the ECB and BOJ QE.  Implicit in the QE policies (aside from man […]

  • BAX right now is hard to trade without a view, and I currently don’t have one. Nothing looks like a screaming buy or sell right now, without a view. The one interesting thing we saw the past two weeks on the US curve is large EDZ8-M8 calendar spread buying, only to have to go the other way last week. The flattening bias is going to be strong,…[Read more]

  • The US Federal Reserve is expected to raise their policy interest rate 25 basis points this week.  The Fed will also increase the pace of its balance sheet reinvestment tapering, by increasing the unreinvested […]

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