Archive for the ‘Eurodollar Options’ Category
Nov 18. The line in the sand is somewhere right around here…
–Yellen’s comments convinced analysts that a Dec hike is in the offing. Jan’17 FedFunds went from 9938.5 bid to 9938.5 offer. In other words, Dec is, and has been, priced for a hike. However the dollar is on a tear, with DXY breaking out to fresh highs, and signs of stress are percolating in emerging […]
Nov 17. Full Employment and Wage Growth….but Yellen’s not sure
–Top billing this morning goes to Yellen, who will appear before the Joint Economic Committee, with the text of the speech to be released 2 hours earlier at 8am EST. Odds for a December rate hike are already cemented. However, the possibility of another move in March is barely priced, with Feb/April Fed Fund spread […]
Nov 16. Interest rate vol crush
–Turnaround Tuesday in interest rate implied volatility as Dec Treasury straddles were hammered. For example, on Monday USZ 154.5 straddle settled 3’04 and yesterday at 2’30, a drop of over 2 vols. TYZ 126.5^ fell from 1’16 to 1’01 (7.1 to 6.1). Blue and gold Dec midcurve straddles also fell 3 bps. While rates were […]
Nov 15. Nearing targets
–Early Monday morning the ten year yield hit 230 before coming back to end the 222.2 at futures settlement, up 5.4 bps on the day. The area of 235 to 239 is a target level. Volume was heavy, and euro$ calendar spreads again pushed to new highs, with the peak one-yr spread Dec’17/Dec’18 at 42 […]
Nov 13. He’s not selling any alibis (just bonds)
At one point you have to choose: Revolution or Frank Sinatra. For me it was Frank Sinatra. I want to show people a lot of things…with this.—see link at bottom, surprise quote You said you’d never compromise With the mystery tramp, but now you realize He’s not selling any alibis As you stare into the […]
November 11. Pointing out the obvious
–Yields continue to rise like the phoenix from the ashes. Since the employment report last Friday, blue Dec (EDZ19) has fallen 50 bps. At the time, the Blue Nov (3EX) 9850 straddle was 13, and December was 22.5. As we might say with the benefit of hindsight, those levels were too cheap (you’re welcome). And […]
Nov 10. Curve surge on staggering volume
–Staggering day on many levels. Trump’s victory and the Republican wins in Congress are perceived to have cleared a path to fiscal infrastructure spending and related borrowing. The US ten year yield surged by 20 bps to 207. The curve steepened dramatically with 2/10 treasury spread up 17 bps to 118. 5/30 was up 11 to […]
Nov 9. Saddle up
–It was a gracious victory speech from Trump, and as he said, the work is just beginning. “…it’s been what they call an historic event, but to be really historic, we have to do a great job.” As the Russian proverb says, “We’re slow to saddle, but fast to ride.” –The Trump hedge yesterday was […]
Nov 8. Judgment Day
–Yesterday stocks soared in an apparent endorsement of a Clinton presidency. ESZ jumped 50 points back to the level of November 1. However, while treasuries sold off, they came nowhere near the low on November 1. The market seems to be saying that a Clinton term would be more of the same, that is, the […]
Nov 7. No matter who “wins”, budget problems loom
–Mad scramble to cover equity shorts as the FBI decided Clinton wasn’t any more careless and irresponsible than she was on the first pass. Likely means more of the same for markets in general, and underpins the idea of a steeper curve. Interesting link on Bloomberg this morning which notes increased interest costs as […]
