Archive for the ‘Eurodollar Options’ Category
July 12, 2017. Yellen testifies to Congress today
Link from ZeroHedge contains the full note of Harley Bassman which suggests many current strategies are short vol and convexity. This article notes that corporate buybacks have been a large pillar of support for stocks, and that increases in the cost of debt engineered through either the Fed or tax policy could push things over […]
July 9, 2017. Just go with it…
In the middle of 1994 I saw an interview with Tom Baldwin on whatever the financial channel was at the time. Baldwin was perhaps the most flamboyant local in what was then the biggest, and most heavily traded futures contract, the 30 year bond. This wasn’t like Margie Teller in back month eurodollars, another massive […]
July 7, 2017. Yields threaten to push higher in front of today’s NFP
–Nasdaq erased Wednesday’s bounce, and ESU had the lowest settle since 31-May. Oil faded from early strength but still closed positive, however CLQ is down over $1 as of this writing at 44.40. Weakness in equities did little to stem selling pressure on fixed income, with tens closing 3.6 bps at 236.8. Calendar spreads continued […]
July 5. FOMC Minutes today.
–Yields continued to rise with the ten year up 4.5 bps to 234.5 (as of 1pm EST floor close). The curve also steepened; 2/10 up 1.3 bps to 93.1. Target on 2/10 should now be 100. A more obvious upside breakout of the curve was in red/gold euro$ pack spread (2nd to 5th year), which […]
July 3. Sentiment change. Yellen undermines the Fed
During the initial part of Janet Yellen’s interview with Lord Nicholas Stern last week, she said “We don’t just use models, we also talk to people.” [Crowd twitters appreciatively]. She proudly pointed out that the Fed talks with a wide range of business contacts, noting that from these communications, the Fed sometimes “learns things that […]
June 29. (Un)easy money
–Yields pushed a bit higher with tens up 2 bps to 221.9; curve tilted steeper with 2/10 up 3.7 bps to 87. The dollar index closed at a new recent low. Hawkish central bank comments prompted Reuters to ask in a headline. ‘End of Easy Money?’ http://www.reuters.com/article/us-global-markets-idUSKBN19K031 –At the end of a light volume day, […]
June 28. Mush
–Here’s a nice summary of yesterday from Bloomberg: “While Yellen qualified her assessment that asset valuations look high by some measures, the note of caution came just as markets were buffeted by a series of events, including an IMF cut to its U.S. growth forecast, Google suffering the biggest ever EU antitrust fine, a fresh […]
June 27. Change in focus?
–Several commentators are claiming the Fed has shifted its focus away from inflation and towards financial stability as stocks have continued their ascent and financial conditions have generally eased over the ‘tightening cycle’. Some have boiled down that idea to a simple focus on stocks, thinking that the Fed is now tightening specifically to stem […]
June 25. Trending
Brief notes this week with the main themes being 1) continued curve flattening, 2) financial deregulation as a stimulus program, and 3) unrelenting pressure on energy markets. The curve signals stagnation. 2/10 treasury spread made its low of 79 on the FOMC meeting, but has never really bounced since and closed 80.6, versus a high […]
June 23. Euro$ calendar spreads: One hike a year — or less
–Not much change in treasuries with yields down less than 1 bp across the curve. The euro$ strip outperformed with reds +2.625 and greens +3.0. The changes in spreads were rather small on balance, though perhaps even the slightest tilt of the market gives a few clues on sentiment. For example, there was a buyer […]
