Archive for the ‘Eurodollar Options’ Category
Sept 4. Fed hiking schedule still up in the air
Friday’s employment data was tepid with Nonfarms up 151k, but not quite soft enough to take a September hike off the table as the previous month was revised +20k to 275k. On the week, treasury yields fell a few bps, with the two year down just over 5 to 79. The curve edged slightly steeper. […]
Sept 2. Employment day… does ISM matter for the Fed?
–The session started with weakness in treasuries, with data on Jobless Claims and Productivity about as expected, but Unit Labor Costs were +4.3%, not exactly great for corporate profits. However, the market reversed on much weaker than expected ISM of 49.4 vs 52 expected. Rates were mostly unchanged across the curve. –While ISM caused shorts […]
August 31. Surprise policy path
–Little net change in rates yesterday. USD strengthened, having bounced against the yen to over 103 from below 100 last week. Today’s news includes ADP expected 175k and Chicago PMI at 55.2. The big report is Friday’s employment situation, with NFP expected 175-180k. –Quotes from both Chicago’s Evans and Boston’s Rosengren hint at a faster […]
August 29. Don’t fight the Fed?
–In past history, the market adage was ‘Don’t fight the Fed’. On Friday, after a small tussle at the release of Yellen’s speech, Fischer was unequivocal about the chance of a near term hike and possibly two this year. The market took the message and fixed income markets sold off with blue euro$’s (4th year) […]
Re-pricing of risks?
A friend of mine went to see a wealth manager last week. This particular individual isn’t particularly comfortable with stocks at their current levels; I would say prudently risk averse. Therefore, one recommendation was high quality corporate bonds, which makes sense. What I would note is that the market is rather selectively pricing risk. For […]
Aug 26. Goin’ to Jackson (Hole)
–Yellen is the big event today. Eurodollar contracts pushed lower in anticipation with reds down 2.75 and greens down 3.375. I saw a few news sources saying that odds of a Fed hike had jumped to 1 in 3, but I calculate 25% chance with Oct Fed Funds settling at a post-Brexit low of 9954.5. […]
Aug 22. Getting closer
–Reuters: “We are close to our [inflation and employment] targets,” Vice-Chair Fischer said in prepared remarks for a conference in Aspen, Colorado. In other words, we’re close to hiking. If Yellen indicates the same on Friday then a hike will occur this year. The market still gives greater odds of a December move rather than […]
August 19. Dudley, Williams and even Greenspan call for hikes; yields decline
–Crude oil continued its rally, with CLU6 up 150 late to 4829, closing at a new high for August. In related news, high yield ETFs (sensitive to energy companies) easily surged to new highs for the year. Emerging market bonds are also seeing heavy inflows. –In US rate futures, volume was quite low. On Wednesday […]
Year over year Inflation Comparisons….
The top chart is the BBG Commodity Index (blue line), Continuous Crude Oil (green line) and the Fed’s preferred inflation measure, Core PCE yoy (white) Many analyst have mentioned that yoy comparisons in oil are going to cease to depress inflation data, as the price of oil has stabilized and rallied. The year ago […]
August 17. Eurodollar calendar spreads are wrong
–Fed minutes today. Some analysts think that this release is important as it could provide clarity on the Fed’s thinking. However, recent comments suggest a lack of consistency even within individual members, let alone the entire committee. For example, in a speech on July 31, Dudley said ‘medium term risks to growth are slightly skewed […]
