Archive for the ‘Eurodollar Options’ Category
July 30. Weaker USD as Inflation Spark?
There’s a lot going on these days, Trump shake-ups, N Korea missile threats, Russian sanctions. But I write mostly about the markets. And, on that particular topic, there’s not a heck of a lot of interesting things to comment about. Sure, stocks continue to press record highs; the dollar closed at the low of the […]
July 28. Winners and losers
–Might as well start off with the failure of Obamacare repeal. I don’t usually write about politics, but many market moves were defined by the election and have since deflated, including the dollar. It was two years ago in July 2015 that Trump said of McCain “He’s not a war hero”…because he was captured. He […]
July 27. FOMC fizzle…except for gold
–USD continued to decline as another FOMC announcement came and went. “The Committee expects to begin implementing its balance sheet normalization program relatively soon…” I would peg “soon” as September. While the Fed wrings its hands over lack of inflation, the commodity complex is perking up a bit. The Bbg Commodity Index BCOM was as […]
July 26. Long end leads rates higher
–Longer dated treasuries led the fixed income market lower Tuesday, in front of today’s FOMC meeting. Tens finished up 7.1 bps to 232.3 and 30y +7.5 bps to 290.7. The curve steepened, with red/gold pack spread gaining an impressive 4.25 bps to 62.25, as the gold pack (5th year) fell nearly 9 bps. While no […]
Copper/gold ratio
With copper exploding higher this morning (HGU7 up 8.25 cents to 281.19 ), and treasuries under a bit of pressure, it’s worth taking a look at the ratio Gundlach frequently mentions. Copper/gold ratio is approaching the year’s high, now .224 vs high .23 in January. At the same time, the bond contract has now […]
July 25. Copper surge; implied treasury vol edges up
–Last week it was noted that Merrill’s MOVE index of treasury volatility had hit an all time low; yesterday in an otherwise uneventful day premium selling appeared to have been shut off and some buyers emerged. Most notably, there was a new buyer of 20k USU 155c for 1’01 to 1’03 as futures traded around […]
July 23. Central Banks Retreat
What if Trump and Yellen are working hand in hand? Trump: “I’ll throw outlandish claims on my Twitter account. Janet, you make sure nothing takes stocks down….together we’ll work to weaken the dollar. That will help (or at least give the appearance of helping) US manufacturers. It will also keep oil somewhat stable so that US shale producers […]
July 21, 2017. On the MOVE….lower
–Both the MOVE index and DXY closed at a new low. The former (ML Volatility Estimate, yield curve weighted avg of normalized vol on one-month treasury options) closed at an ALL TIME low of 48.25. As a point of reference, the high in 2008 was 264.0. –EUR was trading late at 116.30, highest since August […]
July 20. ECB is the main event today
–Same story as yesterday. Implied vol under pressure, stocks new highs. USD edged slightly higher, rates nearly unchanged. TYU 126 straddle opened 112/113 but was being sold at 1’11 at the end of the day (3.7 vol). August treasury options expire Friday. All one-year ED calendar spreads from reds back are around 20 bps. Red/green […]
July 16, 2017. Third Mandate of Financial Conditions Recedes
“It’s almost an embarrassment be an American citizen traveling around the world and listening to the stupid sh-t we have to deal with in this country…” Could be worse Jamie. Could be Greek. Oh… Nevermind. Sorry about that Mr Papademetriou. I had thought the curve would steepen after the June FOMC because I thought it was going to be […]
