Archive for the ‘Eurodollar Options’ Category
June 21. Not ALL yields are low…
–Yields pressed lower Tuesday as crude oil continues to make new lows with CLQ down nearly $1/bbl yesterday at 43.51. The ten year fell 3.3 bps to 215.3, but more importantly, many yield curve spreads made new lows. For example, I marked 5/30 just under 98 bps, down nearly 4 on the day. In eurodollars, […]
June 20. Mixed messages from Central Banks and markets
–Here’s a headline from NY Fed’s Dudley yesterday: ‘We haven’t tightened financial conditions very much.” In a speech a few months ago, Dudley mentioned a few items that indicated tighter financial conditions – short rates, long rates, the dollar, equity values, and corporate spreads. I have attached a few charts below that highlight some of […]
June 19. Dudley today…got some splaining to do…
–On Friday, the peak one-year eurodollar calendar spread settled at a new low for the calendar year of just 28.5 bps (Dec’17/Dec’18). As a point of reference, the peak one-year had gotten to 60-65 bps in December after the election surge. Pre-election the one-year spreads were more like 15-18 bps. Pre-election SPX was around 2150 […]
June 18. Getting Snowed in June
Back in the 1990’s there used to be a pretty good market in snow futures on the CME floor. This wasn’t a CME sanctioned product, it was a bunch of guys that would trade the amount of snowfall at O’Hare in a given month, $1 an inch per contract. So, if you bought 5 inches […]
A couple of notes on 5/30 treasury spread…
5/30 at 102 this morning (long term chart above), though other curve measures not flattening as much. Long term 0.618 retrace form 2006 low of -11.5 to 2010 high is 304 is 109. (this period was an easing period). There have been many lows around 100-105 since 2008. I expected a ‘dovish’ hike Wednesday, but […]
June 14. ‘Enhanced Leverage’ and the FOMC. Is there a connection?
–Dow, SP 500 and Russell all made new highs yesterday. At the same time, Bill Gross is warning risks are highest since the 2008 crisis, while JPM’s Marko Kolanovic warns that losses on short vol strategies could be catastrophic, and Jeff Gundlach echoes the same themes. (But euro$ straddles were in another 0.5 bp and […]
June 13. Your conclusions are highly questionable
–Yields edged slightly higher Monday and the curve flattened as 3 year and 10 year auctions went well, with huge indirects (foreign central bank) demand for 3’s. While the red/gold pack spread didn’t make a new low, 2/10 slipped to a slight now low of 85.8, as did 5/30 at 109, as did the ten […]
June 11. Throwing a Curve
There is plenty of commentary this week on the Nasdaq plunge that occurred Friday, so one doesn’t have to be a keen market observer to have noticed it. I will just briefly mention a couple of things. First, the trend in Nasdaq has been powerful since the election, and really even before that, since Feb […]
June 8. Political risk eases but economic growth concerns linger
–Political risk in US equities appears to have lifted as Comey’s remarks were released. However, crude oil plunged over $2/bbl yesterday to its lowest settlement price of the year. At the end of 2015/beginning of 2016 it was the oil market that threw high-yield into turmoil, however, few signs of trepidation are evident from hi-yield […]
June 4. Collateral Damage
From 1999 until 2005 I worked at Refco, a global futures firm. For me, it was a great place to be. While notorious for its freewheeling style in the early days -for example, when Hillary Clinton, completely of her own accord, decided to trade cattle futures through the firm- when I was there it was […]
