Archive for the ‘Eurodollar Options’ Category
Feb 17. Is March live? (or is it memorex)
–Yesterday reversed recent trends; the 5 year yield led the way lower, dropping 6.2 bps to 193.8, while tens fell 5.3 to 244.7 and bonds 4 to 305. There was a decent amount of put liquidation in dollars, for example, EDZ7 9825/9800 put spread sold at 4.5 in about 50k over the past two sessions, […]
Feb 16. Inflation pops, interest rate futures yawn
–CPI prints +0.6 with Core yoy equal to last year’s high of +2.3, but market response was fairly muted. Yesterday I mentioned the possibility of accelerating inflation but I would have thought rates would have jumped higher. Euro$ calendars (near spreads) made new highs, but EDM7/EDM8 was only +2 to 56. There was an adjustment […]
Feb 15. Escalating asset and price inflation
–Rates rose on Yellen’s comments yesterday, as she warned about ‘waiting too long’ to raise rates. I calculate about 25-28% odds of a hike in March according to March and April FF settle. The ten year yield rose 3.6 to 246.8. The green euro$ pack (3rd yr) was weakest on the board closing -5.0, while […]
Feb 14. Is it a ‘reflation’ trade or an easy credit trade?
–Yellen will be the main event today. I find myself agreeing with DB’s LaVorgna …the Fed is close to achieving the dual mandate, but likely won’t jawbone for a March hike. On the inflation side of the mandate, it’s worth a mention that the NY Fed survey found consumer expectations of 1 year ahead inflation rose […]
February 12. Managing Expectations
It is a tale told by an idiot, full of sound and fury, signifying nothing I am starting this week with a link to a speech by Vice-Chairman Stanley Fischer, as it’s quite informative about the sausage making of Fed policy. This speech was given on Saturday. https://www.federalreserve.gov/newsevents/speech/fischer20170211a.htm The Macbeth quote at the top by […]
Feb 10. Trump on/ Trump off
–Interest rate futures reversed Wednesday’s gains yesterday, with the ten year yield rising 5 bps to 239.5 as the market digested this week’s auctions and Trump vowed a big announcement on taxes. Stocks ramped to new highs. Curve saw little change as rates parallel shifted higher. Markets now face the uncertainty of ‘tweets’ in the […]
Feb 9. “Disheartened”? Well sure, just look at all the debt coming due…
–There’s a whiff of flight to quality buying in the US as yields continue to fall, featuring a powerful bid in front of the ten year auction yesterday that took the yield down 4.4 bps to 234.4 (auction was 233.3). Green euro$ pack closed +5.0. Blues +5.75 and Golds +6.25. Precious metals were also strong […]
Feb 7. Swap spreads and european sovereign spreads widen, indicating increased stress
–Yields in the US slumped Monday, more than erasing Friday’s late sell off as attention re-focuses on european spreads. The ten year yield dropped nearly 8 bps to 241.1, while blue eurodollars were the star performer on the curve, +8.375. This morning the dollar is stronger across the board, as political tensions in europe increase, […]
Feb 5, Testing for weakness
Janet Yellen: Yes, yes, yes. That’s why we’re taking extreme precautions. Markets: That’s right, but they never attack the same place twice. They were testing the fences for weaknesses, systematically. They remember. Actually, the quote above is NOT from Janet Yellen, though it might as well have been as she seems always inclined to err […]
Feb 3. Bank of Japan the weak link of Central Banking?
–Yields have edged higher in front of today’s payroll data, with NFP expected +180k and hourly earnings +0.3. Yesterday’s net changes in rates were small, though I marked 5/30 at a slight new high of 116.3. Odds of a March hike have slipped from around 1 in 3 to 1 in 4, leaving the longer […]
