Archive for the ‘Eurodollar Options’ Category
August 28. USD under assault
–Friday’s Jackson Hole speeches resulted in a weaker dollar and flatter curve. The ten year yield declined 2.4 bps to end at 216.6, with a new recent low in 2/10 to 83.4 bps (-1.8 on the day) and a new ytd low in red/gold euro$ pack spread to just 52.375. Dollar index making new low, […]
LET’S LEAVE NOW; DON’T WANT TO MISS THE FLIGHT
In the big picture, Janet Yellen’s tenure as head of the Federal Reserve has been stable and successful. Unemployment has declined steadily. Inflation is not quite at target, but talk of deflationary risks has subsided. My belief was that the market always tests a new Fed chair, but since February of 2014 when Yellen […]
Aug 25. Often wrong, NEVER in doubt
–Both Yellen and Draghi speak today, with Yellen setting the pace at 10:00 EST. Recently it seems as if the Fed is going through a period of self reflection, with the only conclusions being that R* has come down (belatedly aligning with the market, which reflected that sentiment long ago), and that the Phillps curve […]
Aug 24. Surprising decline in yields
–Yields fell Wednesday, with the ten year -4.4 bps to 216.9. Some back month euro$ contracts made new highs for the move, for example in the 2022 contracts (last golds… 5 years hence). In the near part of the curve, calendar spreads made new lows. For example, EDZ17/EDZ18 settled at a new low of just […]
Aug 23. Copper–> rates higher. Grains–> rates lower
–Quiet session yesterday as stocks rebounded. Ten year yield rose 3.3 to 221.3. In euro$ options there were a couple of trades which modestly favor a steeper curve/widening calendar spreads in the context of an idle Fed. +20k EDH8 9862/9875cs to sell the same in EDM8 for flat premium. March call spread settled 2.0 and […]
August 22. Tentative safe haven bid
–As stocks appear increasingly vulnerable, safe haven markets butt up against resistance levels without quite being able to break through. Chart below shows gold, TY future and JY (used future for purpose of the chart). All are near the highs of the calendar year; right around previous highs in April and June. –In terms of […]
August 20. Eclipsed
It’s slicing the US in half. Bannon’s dismissal? The sudden flare-up in race relations and stark divide in political dogma? No. It’s the path of Monday’s eclipse, which begins in Oregon, passes over the heart of the country in Lincoln, NE, and exits in Charleston, NC. All of our ancestors had myths about eclipses. “The […]
Aug 17. Increasing challenges
–The Barcelona terror attacks adds to a list of global tensions which have spilled into asset markets. Although flight to quality trades were muted as stocks fell 1.25 to 2%, yields declined, with tens down 3 bps to 219.6. The euro$ curve flattened, with reds to all deferred at new lows. Red/gold pack spread fell […]
Aug 16. ECB carefully scripts next moves….like Trump!
-From Reuters this morning- “ECB President Mario Draghi will not deliver a new policy message at the U.S. Federal Reserve’s Jackson Hole conference, two sources familiar with the situation said, tempering expectations for the bank to start charting the course out of stimulus.” The article goes on to say Draghi wants to avoid policy discussions […]
Aug 15. Relief rally
–As the worst fears of war with N Korea receded, stocks staged a strong relief rally and VIX took a swan dive. Safe haven trades gently reversed, with gold and treasuries both lower; the latter coming under additional pressure from Dudley comments: “Market expectations not unreasonable on Sept balance sheet move; inflation to move somewhat […]
