Archive for the ‘Eurodollar Options’ Category
Sept 11. What’s the frequency Kenneth?
–The Drudge Report links to a story that FRB 121102 is sending us multiple alien radio bursts. Trump has threatened tariffs and vowed to protect the borders. https://metro.co.uk/2018/09/10/alien-hunting-artificial-intelligence-detects-dozens-of-deep-space-mystery-signals-7931720/ –Yields were nearly unchanged yesterday with a bias towards a slightly flatter curve. Red/gold euro$ pack spread fell 1 bp to a new recent low of -1.5, […]
In: Eurodollar Options
Sept 10. Higher wages, higher rates (over the short term)
–Solid payroll data and strong wage growth sparked a surge in yields. NFP 201k and yoy wages +2.9%. Ten year yield rose 6.4 bps to 294.1. Shorter maturities hit their highest levels in a decade with the two year note, for example, closing +6.6 bps to 270.3. Similarly, the one-year bill rose to just over […]
In: Eurodollar Options
Sept 9. Lehman’s Shadows
The two year note closed at a new high this week of 2.703%. The last time it was this high was just over ten years ago in July 2008 (in June 2007 the yield was 5.08%). We’re rapidly approaching the 10-year Anniversary of the 2008 financial crisis. Exactly one decade ago to the day (September […]
Sept 7. Payrolls – focus on wages
–Employment report this morning with NFP expected 193k, rate of 3.8% and yoy average hourly earnings +2.7%. From the NY Fed’s Williams yesterday (BBG): “The fact that wages haven’t grown a lot faster is a sign that this economy still has room to run,” he said, adding that as a result, “we don’t feel the […]
Sept 6. Domestic data isn’t much of a catalyst
-Little change in US rates yesterday in spite of equity market sector rebalancing. Curve edged very slightly steeper. NY Fang index was down 2.7% yesterday and Nasdaq -1.19%, but outside of tech, damage was minimal with DJIA closing higher on the day. Employment report tomorrow, but that data, which used to be the big report […]
Sept 5. US manufacturing surge as EM falters
–US yields rose yesterday as ISM Manufacturing came out at a blistering 61.3. There has only been one other reading higher this century, 61.4 in May 2004. Increased IG issuance also cited for pressure on FI. Ten year yield up 5.1 bps from Friday’s close, to 290.2. New buyer of 25k FVV 113.25p for 15.5/16.0; […]
Sept 2, 2018. Hunger Stones
In the current conditions, more than a dozen of the hunger stones can now be seen around Děčín, recording the low water levels of years and centuries long ago — “chiselled with the years of hardship and the initials of authors lost to history,” as described by the authors of a 2013 study on historic Czech […]
In: Eurodollar Options
August 31. Change of season
–Yields eased Thursday as emerging market stress intensified with a new plunge in the Argentinian peso. Ten year yield fell 2.3 bps to 285.9. Red through blue Eurodollars all +3 on the day. Volume was light. Late in the day Trump threatened additional tariffs on China, triggering an immediate offer in stock index futures, but […]
Aug 30. Core PCE, the Fed’s preferred inflation measure, vs EM
–Rates barely changed as stocks powered to new highs on Wednesday and the treasury wrapped up the 7 year auction. Tens unch’d at 288.2. The curve flattened somewhat as it tends to do at the end of the month. 5/30 spread closed at 24.0, a new monthly low. Red/gold pack spread also eked out a […]
Aug 29. EM FX… increasing risk
–Yields rose yesterday with tens up 3.6 bps to 288.2. Consumer Confidence hit a new 18 year high at 133.4. Stocks remain buoyant, grains. not so much. Nov Soybeans made a new low settlement at 833 1/4, down 15 cents on the day and down over 20% from the high in May. A huge crop […]
