Archive for the ‘Eurodollar Options’ Category
Dec 18. The ‘curve’ is all in front
–New lows in various yield curve measures on Friday, with 2/10 down to 51.5 bps. Having rolled to March contracts, the new red pack to green pack euro$ spread settled just under 9 bps (8.875) and red to gold pack settled under 1/4% at 23.625. Even using December contracts, these are new curve lows. EDZ7 […]
Dec 17, 2017. First Messenger
In October of this year, astronomers in Hawaii sighted an object hurtling through space unlike anything they had ever seen. Below, from NASA… The first confirmed object from another star to visit our solar system, this interstellar interloper appears to be a rocky, cigar-shaped object with a somewhat reddish hue. The asteroid, named Oumuamua by […]
In: Eurodollar Options
Does growth and employment have anything to do with inflation?
–Final FOMC press conference for Janet Yellen, and true to form, the market bull flattened. As an indication of just how valuable the Fed’s projections are, consider this: 2018 GDP is now projected 2.5%, up from the September dart of 2.1. The unemployment rate forecast was trimmed to 3.9 from 4.1. Yet the inflation projections […]
Dec 13. Roll Tide
–Apparently there ARE limits to what the US public will vote for as Roy Moore snatched defeat from the jaws of victory in the Alabama Senate race. They got a name for the winners in the world / I want a name when I lose / They call Alabama the Crimson Tide / Call me […]
Dec 12. Tales from the Crypt(o)
–Extremely weak close in front end of Eurodollar curve in spite of a small terrorist bombing at a NYC subway. Near contracts settled at new lows; interesting in light of Dec midcurve option expiration on Friday. EDZ8 closed at new low settle of 9790 with 0EZ 9787.5p (1.75s) still having 353k in open interest. Large […]
Dec 11. A few notes
–(Reuters) – Chinese banks extended 1.12 trillion yuan ($169.27 billion) in net new yuan loans in November, well above analysts’ expectations and the previous month. M2 grew 9.1 in Nov, vs expected 8.9. Outstanding yuan loans at the end of November grew 13.3 percent from a year earlier, faster than an expected 13 percent rise. […]
Dec 10, 2017. A Nice Place to Visit
Rocky Valentine, a small time 1950’s gangster robbing a pawn shop is shot dead by police. He awakens to find himself in a lavishly appointed suite where his guide, Mr Pip, is there to cater to his every desire. Beautiful women surround Rocky as he gambles at the casino in impeccably tailored suits and never […]
Dec 8. It’s a league game Smokey
–Employment report today with rate expected 4.1 and yoy Average Hourly Earnings +2.7%. The Atlanta Fed’s wage growth tracker has been between 3.2 and 3.6% all year, last at 3.4. –There was finally a slight steepening of the curve yesterday; likely profit taking from the lows in front of today’s data. The ten year yield rose 4.4 bps to 237.2. 2/10 rose to 57. Red/gold euro$ pack spread tacked on a […]
Dec 7. Diversity of themes
–Long end of market remains relatively firm. Ten year yield fell 2.8 bps to 232.8; 2/10 notched a new low at 52.6. Last Friday’s spike rally associated with the Trump/Flynn news was eclipsed in USH…but no so in TYH or shorter maturities. On the bond rally there was an opportunistic put buyer: USG7 153p bought […]
Dec 6. Flatlining
–Once again the curve (should we even call it that anymore?) flattened further on Tuesday. 5/10 treasury spread closed at just 20.6, it was a bit over 40 in early October. Part of the demand for the long end may be related to (underfunded) pension buying before tax laws change. But clearly, the flattening trend […]
