Archive for the ‘Eurodollar Options’ Category
Oct 16. Industrial commodities firm
–Weaker than expected CPI Friday sparked a rally in fixed income with Core +0.1 (yoy +1.7%). Curve flattened to new lows for the year, with 2/10 at 78.5 bps, -2.3 on the day, and red/gold pack spread at 40.375, -2.0 bps, as golds were +5.0 on the day. EUR a bit weaker this morning as […]
Oct 15. Channeling Tillerson
Here’s a quote from the blog of a famous central banker: “The unpopularity of inflation may be due to reasons that economists find unpersuasive, such as the tendency of people to focus on inflation’s effects on the prices of things they buy but not on the things they sell, including their own labor.” Ben Bernanke […]
Oct 13. FLATTER
–Yields edged lower yesterday in the context of a flattening curve, on light volume. The ten year fell 2.4 bps to 232.1. 5/30 treasury spread closed 91.5, essentially at the year’s low (had closed 91.4 on Sept 26). Similarly, the red/gold euro$ pack spread (2nd to 5th year) fell 1.75 bps to 42.375, just above […]
Oct 12. The Morlocks
–Once again light volume and small ranges in interest rate futures. The curve flattened with the two year yield +1.3 at 151.7, and the thirty year -0.6 at 287.5 (30 year auction today). I marked 5/30 at 92.2 which is close to its recent low, and red/gold pack spread at 43.625, also near the year’s […]
Oct 11. Calm before the storm. Calm beneath the surface. Maybe it’s just calm
–“It’s shocking how little time is required to take a volcanic system from being quiet and sitting there to the edge of an eruption,” said Ms. Shamloo. This quote is from an article on the supervolcano at Yellowstone. “Scientists suspect that a supereruption scars the planet every 100,000 years…” (And the VIX will still […]
Oct 10. Treading water
-While wage data in Friday’s employment report were reassuringly strong, with average hourly earnings +0.5, the payroll data were skewed by weather, and selling in treasuries was arrested as shorts closed positions. The market is now more or less treading water, though the euro is higher, partially in response to ECB board member Lautenschlaeger saying […]
October 8. Looking down the inflation barrel
The recurring theme from Fed officials is that inflation is too low. Yellen is mystified. Brainard is concerned. Dudley thinks it will get back to 2% sometime soon. Bullard thinks the downside surprise in inflation in the first half of the year is unlikely to reverse. The Fed as a whole wants the public to […]
Oct 4. Budget out of whack? Wipe the slate clean.
–Stocks again went out on the highs as yields edged slightly lower. Front eurodollars to reds were flatter, reds to deferred slightly steeper. (Whites -0.75, Reds +1.25, Grns +1.5, Blues +1.25 and Golds +0.875). –Large buyer early morning buyer yesterday of 82k 0EG 9787/9762ps for 4.0 ref 9806.5 in EDH9. Equivalent to about 14k futures […]
Oct 1. A bet for higher rates
Trump has been meeting with Fed Chair candidates and said an announcement is two to three weeks away. The current Fed is leaning for a December rate hike, and the market is on board with that assessment, pricing odds of about 2 in 3. There have been plenty of Fed speeches identifying the importance of […]
Sept 29. Out of ideas
–Main feature of yesterday’s trade was curve steepening, with notable buying in near eurodollars. Open interest fell in most contracts, suggesting end of the quarter unwind of flatteners. Whiles reds (2nd year) were +3.25, golds (5th) were down 0.5; the red/gold pack spread closed at 48.25. Still low, but a solid bounce over the last […]
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