Archive for the ‘Eurodollar Options’ Category

Sept 28. I’d rather talk about HH (Hugh Hefner) than FF (Fed Funds), but….

–Yields jumped Wednesday morning on tax cut proposals with tens up 8 bps to 230.9.  While it feels like the start of a new move to higher rates, there are a few caveats.  First, as indicated by the chart below, the current 10y yield is fully 30 bps lower than it was at the Dec […]

Sept 27. Bond bubble meets tax reform pin?

–Those that consider the bond market in a bubble are seeing vindication this morning as yields jump, with TYZ at a new low 125-14 and the ten year nearing 2.30% (up nearly 7 bps from yesterday). With the health care vote tabled, attention has shifted to a rapid implementation of tax reform. According to Bloomberg, […]

Sept 26. Fedspeak

–Big day for Fed speakers. Mester (remove accommodation) and Evans (not so sure) cancel each other out. Brainard is next; in her last speech she was concerned about low inflation but cited the dollar as an influence, and talked about trying to raise inflation expectations. Then Atlanta Fed’s Bostic, followed by Yellen at 12:45. Should […]

Sept 25. Distract and Obfuscate

–Fed speakers today Dudley at 8:30, Evans at 12:40 and Kashkari after market hours. The first two have Q&A, so while Dudley’s prepared remarks on the workforce may not have any policy implications, perhaps he will get an interesting question. Yellen speaks tomorrow. –The eurodollar curve flattened to a slight new low Friday, though EDZ7/EDZ8 […]

We All Know it

“Well, I think he is pretty accurate when he opines on Europe, but…like all of us in the business these days… he just keeps saying the same thing.  There are only 3 or 4 big themes and everybody knows them.” The above comment came from a friend; I had mentioned that I didn’t think a […]

Sept 20. FOMC day (Warsh bought yesterday’s close)

–FOMC today.  Last meeting for Fischer and likely one of the last for Yellen.  Widely expected to begin balance sheet reduction. –This is a quote from Kevin Warsh speech at the BIS in August:  “We should take note of a simple, troubling fact: from the beginning of 2008 to the present, more than half of […]

Sept 19. Turnaround Tuesday

–Large trades Monday were primarily TY put buyers.  TYX 124p 6 paid 6k cov 126-075 (6s vs 126-02+).  Just prior to that on block TYZ 124p 12 paid 13k cov 02+ with 11 delta  (13s).  Later blocks followed, 19 paid for 23k TYZ 124.5 p cov 03 and 03+ (18s).  These trades appear to be […]

Sept 18. Return to a Reflation Trade

Let’s start with a couple of changes on the week.  The five year US treasury yield jumped 18.2 bps to 1.82%.  The ten year yield was up 13.6 bps to 2.201% (the move was even larger given intraday lows on Sept 8; tens hit 2.015%).  January 2018 Fed Funds fell from 9878.5 to 9872.5.  That […]

Sept 14. Increase in treasury supply to eventually impact rates

–Treasuries remain heavy with tens +2.5 bps to 219.4, more than 18 bps higher than Friday’s low.  Often there has been a rally after the treasury completes the third leg of its auction schedule… not so yesterday, even though PPI was slightly softer than expected.  Today’s news includes CPI, expected +0.3 with Core +0.2 and […]

Sept 13. Curve shows signs of life

–Yields firmed Tuesday, continuing the reversal from Friday’s high.  The ten year yield rose 4.7 bps to 216.9, a fairly large swing from Friday’s low of 201.5.  The area from 199 to 201 takes on added importance as it held on a yield basis, corresponding to the halfway point between post-brexit low and post-election high.  […]

• ABOUT:
  Former member of the CME specializing in interest rate options and yield curve strategies.

  The risk of loss in trading futures and/or options is substantial and each investor and/or trader must consider whether this is a suitable investment. Past performance, whether actual or indicated by simulated historical tests of strategies, is not indicative of future results.