Archive for the ‘Eurodollar Options’ Category
June 10. Dollar Liquidity
“The upheaval stems from the coincidence of two significant events: the Fed’s long-awaited moves to trim its balance sheet and a substantial increase in issuing US Treasuries to pay for tax cuts. Given the rapid rise in the size of the US deficit, the Fed must respond by slowing plans to shrink its balance sheet. […]
June 8, Wile E Coyote
–As mentioned yesterday, Nasdaq posted a key reversal, which has worked as a pretty good signal recently (new contract high, outside day, closed lower). Today stocks are lower, as the G7 kicks off under a cloud of acrimony. Yesterday’s story appeared to be mostly about Brazil as the currency tanked and Bovespa index fell 6% […]
June 7. US Big Tech the beneficiary of safe haven flows?
–Rates pushed higher Wednesday with the US ten year yield up 5.7 bps to 297.4 as stocks soared, with the ECB signaling intent to discuss an end to bond buying at next week’s meeting. Red through gold eurodollar contracts settled -4.5 to -5.0. Implied vol up across the board as rates rose, with the […]
June 6. Buffet, “But I own Apple”
–Quiet session Tuesday. Early news that the ECB may debate QE exit at next week’s meeting, along with (related) weakness in Italian banks caused the eurodollar strip to erase Monday’s losses (+5.0) but that bid faded as the day went on and ED contracts mostly settled +2.0 to +2.5 (reds through golds). From this morning […]
June 5. Italy fades
–Stocks continue to climb and rates continue to unwind lower as the market discounts spillover from Italy’s problems. Red thru gold eurodollars closed down 5 to 5.5. Green June (EDM0) is down more than 30 bps from last week’s high. The ten year yield was up 4.2 to 293.3. However, given light news this […]
June 4. Calm after Italy’s storm
–Starting the day with the Russell at new ath. Yields are a bit higher after having risen on Friday’s session, a result of the solid jobs report and buoyant stocks. NFP better than expected 223k with the unemp rate at just 3.8% and yoy earnings +2.7%. Today’s news includes Factory Orders expected -0.4%. How can […]
June 3 (Weekly). The China Syndrome
Political turmoil in Italy sparked a big risk-off reaction at the start of last week, but by late Friday things stood pretty much as they were the previous Friday. The largest net change on the US curve was the 30 yr yield, which fell just under 5 bps to 3.045%. If one had no other […]
June 1. NFP
–Employment data today, with NFP expected 190k, Rate 3.9% and Avg Hourly Earnings +0.2 and +2.6 yoy (have heard some estimates at +2.8). –While 5/30 is holding 32.2, 2/10 made a slight new low for the move at 41.4. Red/green pack spread closed at a new recent low of just 7.5 bps. Odds of Fed hikes have been slashed this week and yet […]
May 29. Whatever it takes?
–Eurozone stress is the dominant theme, with the Italian bank index (IT8300) plunging; it’s down over 20% in the past two weeks. Deutsche Bank this morning is sub- €10, a new recent low and down nearly 40% from the start of the year. And it’s not just Italy, with Spain’s Rajoy facing a no-confidence vote […]
May 27 (Weekly). At-the-money expiration and other thoughts
On Friday, at the noon strike (Chicago time), FVM8 settled 113-22, TYM8 119-275 and USM8 143-22. As the 4:00 pm bell was going off (in my head), TYM8 ticked 120-00. Late prints in FVM8 113-2425 and USM8 143-30, right at strikes. In treasury options, calls that expired worthless can be exercised manually, even after the […]
