Archive for the ‘Eurodollar Options’ Category
April 19. What’s the point?
–Yields plunged yesterday to new lows for the year, with tens down 7.5 bps to 217.5. Curve flattened to a new low with 2/10 down 4 bps on the day to 101.3. Nearly all euro$ calendar spreads made new lows; peak 1-yr spread is EDZ7/EDZ8 at just 33 bps which was down 2.5 on the […]
April 18. Policy surprise: Markets don’t believe the Fed
–Interesting speech by Fischer yesterday afternoon ‘Monetary Policy Expectations and Surprises’. Fischer clearly sees expectations of monetary policy (and of future inflation according to previous speeches) as important determinants of smooth policy transmission. He references the 2013 taper tantrum as an unexpected market reaction, and implicitly appears to be trying to prepare the market for […]
April 16. What would become of the bomb makers?
What would become of the glaziers, if nobody ever broke windows? Frederic Bastiat I’m sure most people know Frederic Bastiat’s parable of the broken window, where the shopkeeper pays a glazier for a new pane of glass, and in that way benefits the economy, which hums along as money circulates. Bastiat refutes this theory by […]
April 13. Fearless?
–USD/JPY down to 109 this morning, with the press pointing to Trump’s comments yesterday that the dollar is too strong. Obviously there is a flight to quality aspect as well as US tens make new highs, gold is also at a new high for the year. Somewhat surprising that traders would choose to embrace the […]
April 12. Gundlach Indicator…copper/gold ratio
Not a bad time to dust off the [Gundlach favoritie] copper/gold ratio vs the ten year yield. The reason: Copper took a tumble today, plunging .0685 to 2.547, the lowest level since early January (and an indication that the ‘reflation’ trade has suspect underpinnings). June Gold (GCM7) on the other hand, is at a new […]
April 12. I musta got lost….now I hold a losin’ hand
–Brief mentions of many changes this morning, as yesterday was a big day indicating a sentiment shift. –Market is starting to sit up and take notice of geopolitical events. Many signals of a moderate increase in stress. Implied vol went to new highs for the year in VIX, Gold. Also, the spread between Italy and German […]
Leading Indicator for JPY?
On above chart, JPY in white, Red/Green euro$ pack spread (2nd year to 3rd year). It appears as if red/green, which is making a new low, is a leading indicator for JPY
April 11. Sustaining interest…it’s not easy
–When the Fed hiked on Dec 14th EDZ7 settled 9843.0. The next day it settled 9838.5. The lowest this contract has settled is 9835. When the Fed hiked on March 15, EDZ7 settled 9841.0. It now trades 9849.0. I guess for the next hike it should settle around 9839? Think back to Dudley’s ‘financial conditions’ […]
April 10. A View from the Top (Yellen speaks this afternoon)
–Market attention is now focused on the Fed’s plans to curtail reinvestment. Bullard this morning echoed Dudley and said the Fed “…could begin winding down its massive balance sheet sometime later this year in a shift that would make it less necessary to raise the official funds rate,” according to a story on Reuters. We’ll […]
April 9. In Real Life
We learned from past financial crises, including the 2008 financial crisis, that nothing beats equity for absorbing losses. Equity holders have long taken losses in the United States and thus expect that outcome. Moreover, equity holders cannot run during a crisis. In contrast, debt holders of the most systemically important banks in the United States […]
