Archive for the ‘Eurodollar Options’ Category
August 3. Steepen even if oil’s weak?
–Yields pushed higher Tuesday, with the ten yr yield up 3.8 at 153.5. The curve steepened; 5/30 treasury spread posted a new recent high of 121.3 bps, up 3 on the day (strong resistance around 125/126). Crude oil continues to slide, closing yesterday at 39.51, very near the midpoint of the rally from the low […]
August 2. It’s a tech world
–Though volume in the interest rate complex was abysmal on Monday, there are several things to note. The ten year yield bounced by 4 bps to 149.7, and the curve steepened. It seems as if every time there is hawkish Fed rhetoric, the curve flattens and bond yields decline. But early Monday (Asian hours) the […]
August 1. If Dudley’s cautious, Yellen’s paralyzed
–Friday’s weak Q2 reading of just 1.2% sent yields and the dollar tumbling. Ten year yield fell over 5 bps to 145.8. All of the front one-year eurodollar calendar spreads (out to March’18/March’19) are between 12 and 13 bps; half a hike. While SF Fed’s Williams suggested there could be two hikes this year, Dudley […]
July 31. The Market Accepts Q2 GDP. Does the Fed?
On Friday, Q2 GDP growth based on preliminary source data was released at just 1.2%, versus what had been the Blue Chip Consensus of 2.3 to 2.5%. Because of the snow and cold weather (oh wait, that was Q1’s excuse…). Skimming through the categories, Gov’t consumption expenditures and investment were DOWN 0.9%. On the other […]
July 29. Past BoJ, on to Europe’s Stress Tests
–According to all reports, the BoJ disappointed the market by holding rates and bond buying constant, though purchases of ETFs were doubled to $58b year, or nearly $5b per month. The yen soared with $/yen down to 103.58 currently, down 1.7%. ESU is trading slightly lower this morning after having closed near the high of […]
July 28. Freaking out
–Yields fell in the wake of the FOMC statement, with the ten year yield down 4.4 bps to 151.5. The curve flattened, with 2/10 down 1.2 bps to just under 79 bps, and the red/gold pack settled at a new (8 year) low of just 45.5 bps. The FOMC was more hawkish than I expected, […]
July 26. Long term pension returns at historic lows
–Yen has strengthened this morning on concerns that direct stimulus from Japan will fall short of expectations. USDJPY fell from 105.80 yesterday to 104.26 now. Crude oil is continuing to fall, and this morning is right at the 50% retrace (CLU6 contract) from the low in January to the high in June, $42.77. Crude should […]
July 24. Ignoring Credible Threats, the CBs Have Our Backs
A common theme this year, which seems to be growing, is that correlations have been breaking down in markets, making it extremely difficult to draw conclusions about underlying trends. It’s a chore to even organize my own ideas about cause and effect. I will start by going back to the 4th quarter of last year. […]
July 22. CANDY (front end euro$ contracts) CRUSH
–Although net changes in interest rate futures weren’t particularly large, there is quite a bit of roiling just below the surface. The ten year yield eased 1.5 bps to 156.3. The big change is weakness in the front end of the eurodollar curve, brought on in part by regulatory changes for institutional money market accounts. […]
July 21. Pressure on front end of Eurodollar Futures curve
–Front end of the eurodollar market remains under pressure, with EDZ6 settling at 9913.5, versus a brexit high of 9938.5 and a close that day of 9930.5. While some suggest that this pressure is due to the prospect of Fed hiking, there is obviously more at work. I have been watching Aug/Oct FF spread as […]
