Archive for the ‘Eurodollar Options’ Category
Abrupt Reversal in China
March 8, 2019 –Yesterday I mentioned the sizzling year China’s shares have had, but today Shanghai Comp fell 4.4% as BBG reports that a rare sell rating on PICC by Citic, the nation’s largest broker, was seen as a broad signal that government officials believe the rally has become too speculative. In addition, China’s February […]
New highs US credit card rates
Worth clicking on this link and/or chart from St Louis Fed Fred site on Credit Card Rates for the US consumer. According to the article in Asia Times https://www.asiatimes.com/2019/03/article/chart-of-the-day-us-credit-card-rates/ US Credit Card Rates have hit their highest level IN HISTORY….near 17%. The Fed chart doesn’t reflect a new high, but the trend higher is clear. […]
It’s all starting to look the same
March 7, 2019 –Yields fell yesterday with tens -2.9 bps to 2.69%. While 5/30 spread rose 1.7 bps to 57.4, the eurodollar curve flattened slightly. Once again reds to deferred pack spreads notched new lows with red/gold -0.75 bp to 6.875. Treasury vol is drifting to lows with USM9 vol 6.1. –From NY Fed’s Williams […]
EURO$ CURVE
Above is a snapshot of red/green pack spread in ED’s. (Second panel is reds/golds). Red/ green settled -7.625 bps, the lowest since the year 2000, (pressured in part by Y2K concerns). Of course, March is going to roll off the board In a week and a half, but the NEW red/green pack spread is still […]
Sideways behavior
March 6, 2019 –Welcome to new recipients…unfortunately yesterday didn’t provide much market action to talk about. –Yields were essentially unchanged on the day, with implied vol continuing to seep out of option prices. In rate futures, it’s been a sideways trade since the middle of January. As an example, on January 11, the Green pack […]
Yet another stock reversal pattern
–Mini-SP and Nasdaq futures made new highs for the move yesterday, had outside days and closed lower. Classic reversal pattern (that hasn’t been much of a signal recently). DJIA and Russell also posted outside days with lower closes, but yesterday’s highs weren’t quite through those of late Feb. Yields softened with tens -3.3 bps to […]
Quick notes from Friday
March 4, 2019 –30 year yield closed at the highest level of the year Friday at just over 3.12%. Tens rose 3.1 bps to 2.753%. Jan ’20 Fed funds (FFF0), an indicator for the odds of tightening in 2019, settled at a new low for the month of February at 9759.0, down 3 bps on […]
The interaction between bond yields and large government deficits in a low inflation world
Weekly Comment –March 3, 2019 At the end of February, the scientific journal ‘Amphibian & Reptile Conservation’ featured an article “Ecological interactions between arthropods and small vertebrates in a lowland Amazon rainforest”. I’m sure you saw it. If for some reason you missed it, the admittedly dry title refers to a “dinner plate sized” TARANTULA […]
Yields pushing higher
march 1, 2019 –Once again yields rose with tens up 3.1 bps to 2.722%, as Q4 GDP came out stronger than expected 2.6% (2.2 exp). Chicago Purchasing Mgr also solid at 64.7 vs 57.5 expected. Personal Income and Spending today expected +0.3 and -0.3, with Core yoy PCE prices 1.9%. Employment data is NEXT Friday.–Euro$ […]
Stealth steepening
Feb 28, 2019 –Given what has been a low vol environment, price action was quite bearish in treasuries Wednesday, with a steeper curve. 5/30 closed at a new high of 58 bps, closing on the high of early 2018 which was 61.4. A paper from Credit Suisse a couple of weeks ago suggested a steeper […]
