Archive for the ‘Eurodollar Options’ Category
June 5. Under water
http://www.aliunderwater.com/history.htm This is one of my favorite shots of Ali, posing underwater in a pool. And, it’s pretty easy to tie into the commentary as it was widely reported that $10 trillion of sovereign bonds are yielding negative rates. Cement shoes. As a comparison, global GDP in 2014 was reported at $78 trillion. After Friday’s […]
June 3. Curve at new lows in front of employment data
–Yields fell yesterday and the curve flattened to new lows in front of today’s employment report. 2/10 treasury spread is barely above 92 bps. The ten year yield fell 3.3 bps to 180.9. An article in Reuters suggests that concerns over Brexit are growing within the Fed and will forestall a hike in June, noting […]
June 2.
–Red/gold euro$ pack spread (60.0), 2/10 (94.3) and 5/30 (124.2) all right on the lows. Below is chart (over the past two years) of 5/30 at 123. In a support area but looking vulnerable. ISM data was stronger than expected at 51.3 and prices paid were high at 63.5. Additionally the beige Book noted some […]
May 29. Mad Cows
From Bloomberg, May 25. “In the creative world of Chinese lending, there’s a new trade in town: the cow leaseback. …China Huishan Dairy Holdings Company, which operates the largest number of dairy farms in the country, is selling about a quarter of its herd –some 50000 animals – to Guangdong Yuexin Finance lease Co. for […]
The Financial Crisis Explained
Note: I do not know who the original author of this work is. I rec’d it in an email in August of 2013. The financial crisis explained in simple terms: Heidi is the proprietor of a bar in Berlin. In order to increase sales, she decides to allow her loyal customers – most of whom […]
May 27. Yellen today. G R A D U A L
–Yields fell fairly dramatically on the short end yesterday, with the two year note falling nearly 5 bps to 86.7. Green pack was the star performer, +5.875. While the headline durable goods number was a healthy +3.4%, on a month over month basis Core Capital Goods was -0.8% and yoy -5.0%. Ex-transportation was -1.8% yoy. […]
May 26. Debt levels on the radar
–Little net change in rates yesterday though the curve edged slightly steeper. Near one-yr euro$ calendars pushed to new highs as EDU6 and EDZ6 closed up 1 on the day. Sept16/Sept17 spread closed up 1 at 35. There was a buyer of about 30k TY 129.75/130.25 call spread for Friday (week 4) for 3/64’s, which […]
May 25. Summer hike
–Short end of the market remains under pressure. The Fed’s discount rate meeting revealed that four banks wanted to hike the discount rate, underlining the new hawkish sentiment. Near euro$ calendars made new highs, for example, Sept16/Dec16 settled at 11 (+0.5), and Sept16/Sept17 at 34 (up 2 on the day). The market is now pretty […]
May 24. Fed flattens curve
–The market continues to flatten as hawkish rhetoric convinces the market that 1) the Fed is serious about tightening and 2) that a tightening campaign will slow the economy. Red/gold pack spread again flattened to a new low of just 59 bps, down 3 on the day. 2/10 closed at a new low as well […]
May 22. Moneyball
The line in the April FOMC minutes that incited a surge to higher yields was this one, with its specific reference to June: “Most participants judged that if incoming data were consistent with economic growth picking up in the second quarter, labor market conditions continuing to strengthen, and inflation making progress toward the Committee’s 2 […]
