Archive for the ‘Eurodollar Options’ Category
April 7. Liquidity considerations
–In today’s 10 minute news cycle, the missile launch on Syria was absorbed by the markets without collateral damage. Though treasuries spiked, gains subsided, and while stocks initially broke, the overnight range doesn’t look like anything out of the ordinary. Gold made a new high for the year and seems likely to hold, a comforting […]
April 6. Five year treasury shorts have no friends
–I used to have a friend on the trading floor, Jimmy, who hailed from a farming community and used to write a grain missive, and it would have folksy sayings in it like, “Corn has no friends here” and then would go into some great technical market details. Well, all I can think of at […]
April 5. It’s a write-off
–The very front end of the curve is reflecting better than 50/50 odds for a hike at the June FOMC, with FFN7 unch’d yesterday at 9896. However, ED calendar spreads continue to make new lows, with EDU7/EDZ7 closing at just 9.5 bps (new low) and the peak one-year spread, June’17/June’18 falling another bp to 43.5, […]
April 4. Safe bonds in high demand
–Near eurodollar calendar spreads were crushed as the market shaved back the odds of forward rate hikes. While July Fed Funds settled unchanged at 9896 (indicating around 55% odds of a June move), the Sept’7/Dec’7 eurodollar spread closed at just 10 bps, down 2 on the day. Reds to greens (2nd to 3rd year) closed […]
April 2. The Usual Stuff Isn’t Working
Moreover, at times, we have observed cases in which financial conditions did not move in the same direction as the monetary policy stance. From Bill Dudley’s March 30 speech about Financial Conditions I read Dudley’s Thursday speech as being fairly hawkish, and indeed interest rate futures were a bit lower early Friday. In a way, his […]
April 1. Floor story
I believe this story came from the yen pit…or somewhere in FX anyway; one of the smaller pits. There was a local (independent trader) in this pit, who, from all accounts was disheveled and overweight… a slob. Which wasn’t all that uncommon to be honest. And of course, the great thing about the floor is […]
March 31. Financial conditions and the Fed… sounds boring, but it’s IMPORTANT
-In yesterday’s note I mentioned that we were “getting back into conundrum territory where the Fed raises short term rates, but the long end sits.” (www.chartpoint.com) I mentioned that idea to Bill, who of course had to expound on the topic as if HE thought of it, and he felt compelled to use Financial […]
March 30. The Fed wants to let the air out of equity prices; bonds understand that
–Yesterday Rosengren said that gradual rates hikes won’t jeopardize progress, and that the economy is strong enough to withstand four hikes per year. Williams said the economy will grow at a ‘healthy’ pace amid hikes (even though his own growth forecast according to his speech is about 1.6% longer term, with 1% productivity growth. “Combining […]
March 29. hope vs reality
-Yields rose yesterday as the Fed auctioned fives and stocks rebounded. The ten year yield was up 3.6 to 240.7. Using the new 2 year, 2/10 treasury spread posted a new low of 111.3, and 5/30 is at its low of 105. It was a classic ‘turnaround Tuesday’. However, the frothiness of the stock rebound […]
March 26. Regime change?
Now is the winter of our discontent made glorious summer by this sun of York. –Richard III It was a spectacularly ‘Chicago’ day on Friday. Having been chilly earlier in the week, it was slightly grey in the morning, but then the glorious sun warmed the city into the summery 70’s under a crystal blue […]
