Archive for the ‘Eurodollar Options’ Category
October 3. Laugh or Cry
–Friday’s rumor that DB’s fine from the DOJ was to be cut to $5.4b sparked a sharp short cover rally in stocks and was a contributing factor in the steepening of the curve. (2/10 up 3.2 bps to 84.5). Over the weekend, this rumor remains unsubstantiated, yet stocks are maintaining their bid. I don’t know […]
Oct 2, 2016 October Tremors
Pitchforks, torches and sorcery From a friend, “I’ll tell you what…anybody who is successfully calling the turns in this equity market over the past few months… is a witch, and should be burned at the stake.” So, logically…. Sir Bedevere – “What ALSO floats in water? ….. A Duck! Exactly! So, logically….If she weighs the […]
Sept 30. Black Moon
–The catalyst yesterday was news that several large accounts were pulling excess money from DB, which sent the stock (and stocks in general) hurtling to new lows. It doesn’t really matter now if Dijsselbloem or other government officials solemnly declare their faith in DB. Who are you going to believe, a gov’t spokesman or money […]
In: Eurodollar Options
Sept 28. 5/30 chart US Japan Germany
–Tuesday’s session began with new lows in DB and associated risks to global equities, but ended with a slight rise in DB, which has further firmed this morning as the CEO says that capital injections aren’t needed. Euro was marginally lower. Large mover was crude oil, down 140 late as attention now shifts to the […]
In: Eurodollar Options
Sept 26. The Clinton-Trump Moment
–DB down another 6 % to new low as Merkel reportedly won’t support it with state money. Turkey downgraded to junk. There are several stories this morning about problems in China, mostly a re-hash of last week’s news. For example, in an interview with the BBC Ken Rogoff said, “If you want to look at […]
In: Eurodollar Options
Sept 25. Vol in an uncertain world
Fed stands pat and doesn’t provide clarity for December Japan targets ten year rates; steeper curve beyond Japan probably of less importance than China (bad debts) Draghi in front of Bundestag/ DB US and vol levels The Fed didn’t hike, much to the consternation of some, but additionally, Chair Yellen’s testimony leaned a bit to […]
In: Eurodollar Options
Sept 23. Risk premium? What’s that?
–Implied vol continues to be crushed as the curve flattened yesterday. 2/10 fell 2.3 bps to 85.5. Red/gold euro$ pack spread eased 2 to just over 44. Yesterday I marked TY vol (Dec) at just 4.4, with the 131 straddle 1’58/59. Settled 1’59 but was trading 1’58. On Monday the one-week atm straddle was nearly […]
In: Eurodollar Options
Sept 22. It’s just unclear in a different way
–There’s a must-read piece out by Tad Rivelle titled ‘Twilight of the Central Bankers’. Here’s the link: https://www.tcw.com/Insights/Economics/09-19-16_Trading_Secrets.aspx The author thinks the Central Bank playbook of attempting to juice up asset prices to spur growth is running out of rope. “The explanation is simple: growth is not a simple function of higher asset prices.” –What did […]
In: Eurodollar Options
Sept 21. BoJ’s out, Fed up to bat next
–BoJ meeting not causing much of a market reaction with the yen (future) nearly unchanged but the curve steeper, As the FT says, the BoJ intends to cap ten year yields and overshoot its 2% inflation target through yield curve control. Something like that. –This afternoon we await the Fed’s decision and press conference. […]
In: Eurodollar Options
Sept 20. And then, depression set in.
–Not much occurred in the markets yesterday. Interest rate futures were largely unchanged. However, the Nasdaq future made a new contract high, but then reversed and had an outside day with a lower close: Key Reversal. However, other stock index futures didn’t fare badly and ranges weren’t particularly large, so it might be a bit […]
In: Eurodollar Options
