Archive for the ‘Eurodollar Options’ Category
January 15, 2017. Be Careful Brethren!
Early morning, April four Shot rings out in the Memphis sky. Free at last, they took your life They could not take your pride.- U2 https://www.youtube.com/watch?v=O6NAKgv4ALg There are a lot of inspirational Martin Luther King quotes, but in reviewing them I was struck, not by the most famous and powerful ones, but by some that […]
Jan 13. Yields edge lower. Protective buying of VIX calls?
–Another quiet day in interest rate futures, though the market is generally accepting the grind to lower yields. There were some large lifts in near eurodollar contracts, and a notable early seller of over 55k EDU7/EDZ7 calendar spreads at 15 (settled there, -0.5 on the day). Total open interest in dollars was up 250k. –Yesterday […]
Jan 12. The fading Trump effect
–Once again, little net change in interest rate futures on light volume. Solid ten year demand as w/i was 236 just prior to auction which came at 234.2. Treasuries are once again higher this morning as an underlying bid since the start of the year was only interrupted by the employment report which is now […]
Jan 11. Sugar highs?
–Mind numbingly boring day Tuesday with little change in interest rate futures. Implied vol eased. There was liquidation of long TYG 123 and 122.5 puts, with open interest falling 20k in the former and 8k in latter. Continued program buying of TYH 127 calls (8k a day). Oil continued to slide to new lows, down […]
Jan 9. Jobs data sparks slight increase in odds of a March hike
–Yields backed up on the employment report with tens rising 5 bps to 241.6. Hourly earnings were up 0.4, bring the yoy change to 2.9. Today brings the Fed’s Labor Market Conditions index and Consumer Credit. –There is continued buying of Feb TY puts in good size (expiry on Jan 27, TYG 123.5, 123 and […]
January 8. This is EASY!
The following is from a Stan Druckenmiller speech on January 18, 2015. His comments are fascinating, but I am simply using this small excerpt to make a point. I have included the link to the entire speech below. After about a year and a half – I was a banking and chemical analyst – this […]
Jan 6. China’s not selling treasuries?
–Employment data today with NFP expected 175-180k and earnings +0.3% which would bring the y-o-y increase in wages to 2.8%. –In advance of this data treasuries staged an impressive rally, with a surge in open interest (according to prelim data) across the treasury complex. For example, TYH open interest gained 43k and FVH was up […]
Jan 5. China’s Wall…under 7 for now
–Fed minutes yesterday indicate a nod toward the possibility that fiscal policies may spur economic growth, requiring the Fed to respond slightly faster. Not much of a surprise given full employment and market signals of increased inflation. However, yields were unchanged in front and slightly lower in back, continuing the pre-NFP squeeze to a flatter […]
Jan 4. Pre-employment squaring
-Yields were mixed Tuesday, as an early morning bear steepener reversed by day’s end. While the 2 yr note rose 2.8 bps to 122.2, tens were up only 1.5 to 243.3 and the thirty year actually fell a fraction of a bp. Manufacturing ISM was stronger than expected at 54.7, with prices paid surging to […]
Jan 3 2017. Re-set the year
–Friday’s rally in interest rate futures has more than reversed with TYH trading below the 124 handle. Talk of asset allocation out of stocks and into bonds last week has been erased from the memory banks as stock index futures have rebounded from Friday’s drop. What a difference a year makes – last year crude […]
