Archive for the ‘Eurodollar Options’ Category
Jan 1, 2017. Reminiscences
I was in the CME member breakroom at around 9:30. The breakroom was in the southeast corner of the building, with large windows looking out onto the corner of Wacker and Monroe, a small retreat from the cavernous, windowless trading room. There were a few CQG and newsfeed computers tucked just to the north, on […]
Dec 30, 2016. Happy New Year!
–Yields again moved lower Thursday, with tens down 3 bps to 247.5. Green and blue euro$ packs rose 4.625 bps. While longer yields adjusted very quickly to the upside after the election, it’s somewhat surprising how little is being priced into nearer contracts in terms of Fed activity. Trump is (in my opinion) choosing cabinet […]
Dec 29. Re-allocation
–Yields declined yesterday as the 5 year auction saw solid demand, 7 yr today. The ten year yield fell 5.5 bps to 250.6, as talk of large asset allocation trades resurfaced. Stocks finally saw small declines for the same reason. Volumes remain very light. –News today includes Jobless Claims and Internat’l Trade, expected $62 billion. […]
Dec 27. OTM put buying in April Five Year Notes…a Trump default? :-)
–Quiet session Friday with an uneventful January option expiration. Yields edged lower with a slight flattening bias. Ten year yield fell 1.3 bps to 253.5 while 2’s closed 120, up a fraction of a bp, as supply comes this week with 2’s today, followed by 5’s and 7’s Wednesday and Thursday. The standout feature of […]
Dec 26 Weekly. S T R E T C H E D
There have been many times when trends change with the new year. A notable recent example is 2013 when both the US ten year yield and red/gold euro$ pack spread traded over 300 bps, peaking right at the end of the year and then reversing, tracing lower throughout 2014. I have never been given to […]
Dec 23. The airing of grievances
–Happy Festivus. And to others, a Merry Christmas! Monte dei Paschi nationalized; Deutsche and CS settle US mortgage grievances, which I suppose ends uncertainty and is thus a weight off the european banking system. So Italy shifts the burden to taxpayers, but if that ‘burden’ is in the form of newly issued debt and the […]
TLT call buying….comparison with 30 year treasury yield
Below is a chart of TLT etf and the 30 yr Treasury yield. TLT seeks to track the results of US treasuries with remaining maturities greater than 20 years. Over the past two sessions there has been reasonably large buying of Feb TLT calls. Yesterday the Feb 126c were bought in size of 105k and […]
Dec 21. Is back end of dollar curve too flat?
–Though volume was light and net changes relatively small, interest rate futures continue to trade heavy. The ten year yield rose 3 bps to 256.4, and 2/10 spread notched a new high at 134.4. Eurodollar contracts were down 1 to 2 bps across the curve, and with sightly lower prices came firmer vol. Someone is […]
Dec 20. Flows favor USD and US assets…for now
–Curve edged flatter on relatively light volume yesterday, with the ten year yield falling over 5.5 bps to 253.3 and 2/10 treasury spread down 2.7 to 131.3. Red/gold pack spread (new, starting with March contracts) fell 2.5 to 89.125. One of the trades that was supportive of the back end of the curve was a […]
Dec 19. In 2013, yields pushed higher right up to the end of the year…then started to decline
–Front end of the curve has seen steepening since the FOMC. For example, in euro$’s, March/June closed 19.5 on Friday, the peak three month spread. [Note that EDH7 expiry is 13-Mar and the FOMC is 15-Mar. We will NOT know the outcome of the FOMC for March expiry]. Recall that in October, three month spreads […]
