Archive for the ‘Eurodollar Options’ Category
March 9. When’s a hike not a hike?
–The big mover yesterday was oil, which plunged nearly $3/bbl yesterday to settle $50.28 (CLJ7). The range this year has been roughly 52.50 to 56.00. Between yesterday and this morning the price change has well exceeded that range, from over 53 on Tuesday to 49.33 last. I am not sure what the knock-on effects will […]
March 8. Old School
–Relatively quiet day Tuesday, with yields edging higher. Tens up 1.6 bps to close 250.9. Red/green euro$ pack spread rose nearly 1 bp to end at a monthly high of 39.5 (the peak last December was 44.5). Today’s news includes ADP expected 183k, Productivity 1.4% and ten year note auction. –Fundamental data is mixed. For […]
March 7. Implied vol low, but percolating under the surface
–Yields were little changed on the whole yesterday, though the curve steepened. 2/10 treasury spread up 1.8 bps to 118.8, with tens alone +1.3 to 249.3. Notable is the compression in ois/libor spread from about 31 bps recently to 24-25 (spilling over into declines in swap spreads as well). So, while the two year treasury […]
March 6. Maybe less gradual than previously advertised?
–Yellen cemented a March hike Friday, and this morning we are seeing slight flattening as longer maturity contracts rally. Stocks are also seeing some profit taking pressure for which there might be several contributing factors: N Korea lobbed a few missiles, raising the prospect of direct military intervention; China modestly reduced its growth goal to […]
March 5. Finally, a meeting where something gets done!
A client once said, it would be nice in your missives if you spent less time talking about the environment we’re in and spent more time telling us what was going to happen. He was sort of joking. But like every joke, he sort of wasn’t. So… in this note I describe the current environment. […]
Brainard: Fed Funds First!
-Yields soared as the market continues to adjust to the idea that the Fed is pushing up its rate hike schedule. Brainard’s speech last night was another important voice giving a blessing to the transition to gradual rate increases; more on the speech below. –From Tuesday’s close of open outcry, the ten year yield jumped […]
March 1. New month and new odds of a Fed hike March 15.
–It’s now all about a rate hike at the March FOMC which is just two weeks away, as Williams (SF) said that meeting was under “serious consideration” and Dudley followed up by saying the case was more compelling for a move in the near term. March FF traded to 9925 indicating 72% odds of a […]
Feb 27. Market is squeezing out even ‘gradual’ hikes
–Yields little change this morning after a strong rally in interest rate futures on Friday. The ten year fell 7 bps to 231.5. The eurodollar curve flattened with all near spreads posted new recent lows. For example, EDM17/EDM18 dropped 4 bps to just 46. EDM17/EDU17 fell 1.5 to 11.5. Red/gold (2nd to 5th year) euro$ […]
Feb 26. Fat tails
“The ECB has a monetary policy that is not geared to Germany, rather it is tailored (to countries) from Portugal to Slovenia or Slovakia. If we still had the (German) D-Mark it would surely have a different value than the euro does at the moment. But this is an independent monetary policy over which I […]
Feb 19. Inflation and swap spreads…going higher
The above chart is comprised of several inflation measures. The one that the Fed chooses as its preferred measure, is, of course Core PCE prices, the blue sideways laggard at the bottom of the graph. Every line is generally tracking upward. A couple of these are at new highs, including the NAPM […]
