Archive for the ‘Eurodollar Options’ Category
August 15. It’s not just the Turkish lira
–Yields edged slightly higher Tuesday with tens +1.6 bps to 289.1. Several large option trades (noted below). Back month euro$ spreads (reds to more deferred) compressed further. For example, EDU9/EDU0 was sold at 3.0 and settled 2.5, right at its previous low. It’s worth noting as well that back month euribor calendars also fell Red/grn […]
Aug 14. Safe haven swissy
Chart shows SPX in blue, DAX in yellow and EURCHF white. Fairly close track between DAX and EURCHF; SPX on its own currently…. EURCHF weakness a sign of stress?
August 14. A roar or a whisper
–A couple of headlines this morning: Reuters: Shares regain footing as lira roars out of rout WSJ: Global stocks rise as lira stages small rally I’ll go with option number two, a tentative suspension of lira selling took immediate pressure off. But it’s also worth noting that the Argentine peso made a new low yesterday […]
August 13. Get ready for containment strategies
–Turkish lira made a new low but US market taking it in stride. TRY fell to 7 but rebounded slightly; last around 6.9. China yuan also at a new low, 6.88. Well at least those two are at parity. South African Rand plunged 10%. Time to get out some duct tape and Krazy glue and […]
August 12. The North Anatolian Fault
The old Chicago Mercantile Exchange trading floor between Monroe and Madison Streets on the east bank of the Chicago river is somewhat of an architectural marvel. The three storey, 36000 square foot (3345 square meter) space was designed to be devoid of structural pillars that would impede eyesight across the pits, and so it was […]
Aug 10. Freefallin’
–The Turkish Lira is in freefall this morning (TRY 6.26 high), and yuan is also weaker at 6.85. USD stronger across the board with DXY breaking out to new highs for the year. US equities had a weak close and are currently under pressure with ESU -15 at 2838.75. It looks to be a “risk-off” […]
Aug 9. The Cadillac of minivans
–New low in Russian ruble due to freshly imposed US sanctions, and the Turkish lira also continues to plunge to new lows. Strongmen of Venezuela and Turkey borrowing pages from the same playbook with plunging fx and action-movie coup attempts. Rate trading remains lethargic in the US, with yields steady to lower yesterday. Crude oil […]
Aug 8. Herd mentality
–Rates trading continues to underwhelm, with tens rebounding 3.9 bps to 2.973. Ten year auction today, followed by 30’s tomorrow. Near eurodollar calendar spreads remain well bid. with EDU8/EDU9 closing at its high of 60 bps. EDU8/EDZ8 edged to a new high settle of 25.5. Decent amount of trade in December midcurves, for example, 20k […]
Aug 7. Drifting prices
—While stocks continue to press higher, there is little pressure on fixed income. The ten year yield drifted further away from 3%, falling 1.7 to a yield of 293.4. Eurodollar curve was marginally flatter on light volume. China’s reserves unexpectedly rose in July to $3.118T, up 5.8 billion. Japan’s 30 year yield pushed over 85 […]
Aug 6. Quien es mas macho? Chuck Norris o Steven Seagal?
–Yields fell Friday as non-farms printed lower than expected at 157k. Tens fell 3.3 bps to 295.1 despite facing auction supply this week, (3’s, 10’s 30’s starting Tuesday, to raise over $38b in new cash). The eurodollar curve flattened with reds +2.875, greens +4, and blues +3.875. –Several interesting stories this morning: From Reuters, BOJ’s […]
