Archive for the ‘Eurodollar Options’ Category
May 1, 2018. “There is a lot of supply”
–Even the Drudge Report is highlighting concerns about Treasury buying, with one linked article to Bloomberg (US borrowed record $488b in Q1), and one linked to WSJ reporting that indirect auction bids (which often represent foreign buying interest) are dwindling. From BBG: “It’s a very large, robust market — it’s the most liquid market in […]
Supply Tantrum? Weekly, April 29, 2018
US Ten year yield tops 2% as Bernanke says Fed may taper buys –Bloomberg headline on May 22, 2013, following Bernanke’s Congressional testimony. The start of ‘The Taper Tantrum’ ”The program relates the flow of asset purchases to the economic outlook. As the economic outlook – and particularly the outlook for the labor market […]
April 27. Q1 GDP today. Stocks have muted response to good earnings
–General rebound in markets yesterday, with stocks rising on light volume and the ten year yield edging back below 3%. (closed 2.99). There continues to be selling of USU puts, with new sales yesterday of 139 puts at prices of 1’20 to 1’23. The initial sales of the 143 puts were at the same level […]
April 26. Why didn’t you just sell EUR?
–The big trade yesterday was the massive US 5/10 buy vs Bobl/Bund sale. buy 100,174 US five-year treasury futures sell 63,887 US ten-year treasury futures sell 65,362 German bobl futures (5-year) buy 29,145 German bund futures (10-year) –According to prelim figures, open interest in US 5y was +114k. However, in tens it was DOWN 15.6k. […]
April 25. Flirting with 3% as asset values erode
–There’s a lot of attention focused on the 3% level in ten year notes, but I am still watching 2.87 as major support in fives as well. 5y auction today; w/i was 281.5 at futures settlement. Though rates were little changed by day’s end, the curve was modestly steeper, and the dollar shows continued signs […]
April 24. Stopped short
–The ten year note yield stopped just shy of 3% yesterday, and as shown on chart below, the 5 year yield is within a few bps of the 50% retrace between the 2007 high and 2012 low (2.875). However some ED contracts still made new lows, and near FF contracts did as well. For example, […]
April 23. 3% tens
–An article on Bloomberg (What Global Finance Chiefs are Saying About the Economy) repeatedly cites concerns about a trade war. Mnuchin floated the idea of a visit to China, which should alleviate some of those fears, yet stock futures are slightly lower this morning after a weak performance on Friday. The ten year note is […]
April 22, 2018. Pressure and Time
Geology is the study of pressure and time. That’s all it takes, really. Pressure…and time. –Ellis Boyd ‘Red’ Redding (Shawshank Redemption) Might paraphrase that and say inflation is the product of pressure and time. That’s all it takes. I’m not quite sure that’s all it takes, but it does seem as if all the concern […]
April 20. News cycle latches on the flattening curve; time to exit
–A couple of quick takeaways from yesterday’s price action. Stocks and bonds went down together. Also, implied vol firmed (albeit slightly) in fixed income as yields rose and the curve steepened. Typically, sell offs haven’t been associated with demand for premium. The highlight is the short USU 143p position (36k), which is now at the […]
April 19. Higher oil, higher commodities, higher rates
–Crude oil and commodities are getting a larger role on the financial stage as CLM8 approaches $70/bbl (late yesterday was 68.80, +2.28, and this morning traded well above 69). While primarily due to Saudis wanting a higher price, a BBG article notes that BCOM (Bloomberg Commodity Index) has broken out to a new high today. […]
