Archive for the ‘Eurodollar Options’ Category
July 5. New highs, new lows
–New lows this morning in: Sterling, US treasury yields, yield curve (5/30 at 120), DB. New highs: silver, gold, yen (almost), the amount of debt with negative yields, and USD vs CNY, which is 6.6712. While the Brexit vote is having sudden impact on some things, for example ZH reports that Standard Life in the […]
July 3. Let’s have an intervention
“All manipulation comes to an end when the manipulator cannot make a stock do what he wants it to do. When the stock you are manipulating doesn’t act as it should, quit. Don’t argue with the tape. Do not seek to lure the profit back. Quit while the quitting is good—and cheap.” From Reminiscences of […]
July 1. Yields plunge
–Plunge in US yields to new lows on the long end with tens getting just under 138 bps vs yesterday’s close of 148.7. The ‘authorities’ responded the only way they know how yesterday, with looser, or the promise of looser policies. The European Commission apparently approved Italy’s plans to support its banking system with €150 […]
June 30. Implied vol sinks…no worries
–Yesterday began with a surprising end-of-month bid in the long end of the market, but ended on a weak note as yields pushed higher at the end of the day, in part due to a $14b bond deal by ORCL. While the ten year treasury yield was only up 1 bp at the floor close […]
June 28. It’s about the financial system
–A few quick observations about yesterday’s trade. All eurodollar contracts settled at a new high for the year, exceeding February’s settlements. Near calendar spreads made new lows, for example Sept16/Sept17 closed at 13.5 and Dec16/17 at just 15. The pressure is on very front-end calendars, as thoughts of any tightening over the next year evaporated. […]
June 27. Uncertainty and safety
–Uncertainty. The word used most in skimming this morning’s news (and it’s not just about Brexit). Stocks are once again lower, treasuries higher, with the US ten year yield around 1.46%, just a shade under the ten year yields of Italy and Spain. While China’s Premier Li said Britain’s vote “has showed its impact on […]
All the king’s horses and all the king’s men
The big institutions all warned about negative consequences from Brexit. Obama’s “back of the bus” line was especially ill-advised in my opinion, but whether it was the US President, the IMF, or former prime ministers, the warnings were explicit. I’ve seen many explanations that the people simply didn’t know what they were voting on, but […]
June 22. The best laid schemes…
The best-laid schemes o’ mice an’ men Gang aft agley -Robert Burns –Yellen maintained a cautious stance in yesterday’s congressional testimony. Kuroda said “monetary policy doesn’t always turn out as expected.” Asset purchases have expanded CB balance sheets and whatever economic activity could be pulled forward has likely already occurred, blunting the impact of new […]
June 21. Yellen today
–Yellen gives semi-annual testimony today. Reuters notes that uncertainty is now the Fed’s new mantra, “At Wednesday’s quarterly [FOMC] news conference Fed officials’ doubts were in plain view, with Yellen using the term “uncertain” or its variations 13 times, more than twice as often as in March.” It’s unlikely that Yellen will provide more clarity, […]
June 19. Every new beginning comes from some other beginning’s end…
Crunch time for Brexit, with the IMF declaring such an event will permanently lower UK incomes. Is that a certainty? The institutional ‘remain’ camp is injecting fear wherever possible. As Doug Noland wrote, “The Brexit vote is a serious potential “risk off” catalyst. Significant amounts of currency and risk market hedging have transpired. This portends […]
