Archive for the ‘Eurodollar Options’ Category
June 16. The weight of zero
–The FOMC continues to adjust the dots toward the market. I skimmed a couple of stories that suggest ineffectiveness of policy and capitulation, i.e. a loss of confidence in Central Banks. Yellen herself downplayed the significance of the dots and forecasts (I predict that the dots will be eliminated by the middle of 2017). In […]
June 15. Let’s fake it
–FOMC today, though Brexit issues have overshadowed all else in the markets. Obviously, there will be some snap-back if the UK chooses to remain (and there appears to be some stabilization this morning). But as of yesterday’s settle, new lows in: red/gold euro$ pack spread at just 58; 2/10 just above 89; near one-yr euro$ […]
June 14. This indecision’s buggin’ me
–Many markets are getting stretched to new recent extremes. Bund yield fell below zero. New recent high in the yen as $/yen trades 105.74 going into the BoJ meeting. New low in curve with 2/10 sub 90 and red/gold euro$ pack spread below 60. New lows in all the euro$ one-year calendar spreads with reds/greens […]
June 13. Risk off
–Risk off. Nikkei -3.5%, Shanghai Comp -3.2%, Hong Kong -2.5%. By comparison, ESU only down 8 points; a move of 3% would be over 60 points. GBP hammered by increasing Brexit risks. $/yen sub 106 this morning and US ten year yield is nearing 1.6%. Bitcoin has exploded higher and now trades near 690. Gold […]
Not going to end well?
The University of Michigan Consumer Inflation Expectations survey plunged this week to its lowest level on record. Interesting, in that Brainard (as an example) implied last week that falling inflation expectations can have a negative feedback loop. “We cannot rule out that stubbornly low inflation may be having an effect on inflation expectations.” Bullard has […]
June 10. Bond bears wave the white flag
–A skim of the news sites today shows that “government bond yields making new lows” is one of the day’s leading stories. Except for the Chicago Trib, which mentions “1 dead, 12 injured in Chicago shootings.” One might think that the bond story would be more important in Chicago, where Moody’s just downgraded Illinois again […]
June 9. Central banks losing their magic
–The edifice of central banking is crumbling. It’s a theme that’s been covered before, but the myriad of recent signals is breathing new life into the threat. Yesterday, the precious metals had a nice bounce, and bitcoin closed near the recent high of its breathtaking rally, around 581. OK, those are pretty minor clues. But […]
June 8. Yellen and the data
–Yellen cited four uncertainties in her speech on Monday. Data relating to two of them was released yesterday. One was productivity: “A third key uncertainty for the U.S. economy is the outlook for productivity growth–that is, increases in the amount of output produced per hour worked.” Yesterday’s data: -0.6% and unit labor costs +4.5% (without […]
June 7. Rate hikes pushed back
–A lot to talk about for a quiet Monday. Before the employment report, July/Aug FF spread was 10/10.5. On Monday it traded down to 5.0/5.5 and settled 5.0. So not only were the odds of a June hike swept away, but July’s odds were halved. However, August to October, which isolates the September FOMC, rallied […]
June 6. Yellen confronts a softer job market
–Friday’s dismal NFP of only 38k sent yields tumbling. Tens fell 10.7 bps to 170.2. The red/green eurodollar pack spread fell to a new low of just 20.75 bps (from just over 40 at the start of the year). Fed speakers that have said two to three rate hikes would be appropriate this year are […]
