Archive for the ‘Eurodollar Options’ Category
Jan 7, 2018. Dynamic Markets
Markets can be much more dynamic than we appear to think. –Jerome Powell, from the October 2012 FOMC transcripts. (That’s gold Jerry! GOLD!) The Fed just released transcripts from the meetings in 2012. I have included the link to the October 2012 meeting below. It’s 246 pages long; I’ve excerpted some salient points. What I […]
Jan 5, 2018. PAYROLLS…. don’t matter
ADP higher than expected at 250k; today’s NFP expected 190k. Unemployment rate expected 4.1% with Avg Hourly Earnings +2.5% yoy. Short end yields continue to press higher, with the market pricing the idea of quarterly Fed hikes more aggressively over the near term. Two and five year treasury yields at new highs for the move, […]
Jan 4, 2018. FOMC minutes confirm hiking bias
–Curve flatter as the Fed minutes supported the hiking campaign. Red/gold eurodollar pack spread closed at a new low just under 21 bps (-1.625 on the day). 2/10 notched a new low of 51.2. –Jan’18/Jan’19 FF spread closed at a new high of 54.5. Heavy new selling in April’18 FF after the minutes pushed the […]
Jan 3, 2018. Ten year tip breakeven above 200 bps
–Rates edged higher Friday, with some pointing to a Goldman piece repeating that the Fed will deliver more hikes than being discounted by the market. The 2y yield rose 3.2 to 191.9 and 30y bonds were +6.9 bps to 281.0. EDH8 was sold heavily with several clips of 50k dumped at 9822.5 and 22.0. Settled […]
Jan 2, 2018. USD weaker to start the year.
–The dollar closed out 2017 on a weak note, and the theme is carrying through on the first trading day of 2018. The euro is trading 120.68, nearing the high of last year set in September, of 120.93. Over the weekend the ECB’s Coeure said “Given what we see in the economy, I believe that […]
Dec 31, 2017. Beans and Bonds
It was early summer 1988. I was working in the financial room at the Chicago Board of Trade, the old original trading floor that occupied the fourth floor of 141 W Jackson. The business canyon of LaSalle Street ends where it tees into Jackson Blvd, defined by the imposing façade of the art–deco CBOT. On […]
In: Eurodollar Options
Dec 26. The forward curve projects ….. BORING
–Yields declined on what appeared to be a low volume short covering rally. Tens fell 5.3bps to 241.2. The curve flattened to new lows. With this week’s auctions of 2’s and 5’s, 2/10 is now just 51.7 and 5/30 at 52.8. The 5/10 treasury spread is below 20 bps (I marked at 19.2). It’s the […]
Dec 22. High yield ETFs are flat for the year…
–Quiet day in fixed income though the curve edged flatter and premium was bid. On a day where futures prices were close to unchanged, deferred midcurve straddles gained 1-1.5 bps. Perhaps after the recent thrashing no one wants to be overly short vol going into the holiday weekend. –New highs in near euro$ calendars. For […]
Dec 20. 2 and 5 yr yields at new highs
–2year and 5y yields made new highs at 185.2 and 221.8 respectively. The ten year equaled the high of late October at 246.3. Curve steepened as 2/10 leapt nearly 5 bps to 61.1. Ten year note to TIP (inflation indexed note) made a new high of 193 bps, nearing 2%, though that particular spread […]
Dec 19. Nice put buys
–Big trade of the day in euro$’s was a buyer of EDM8/EDU8 for 9.5 to 10 in size of over 100k. Spread settled 9.0 on Friday and 10.0 yesterday. This trade is likely just a roll associated with the expiration of the EDZ7 contract. (which had a final settlement of 98.3745). Open interest -79k in […]
