Archive for the ‘Eurodollar Options’ Category
May 13. Retailer results haven’t been good…apart from AMZN
–Retail Sales today. I haven’t determined any correlation, but recall that the latest Consumer Credit report for March was a blockbuster, with revolving credit +14.2% and total at +10%. In the months of both March and April, crude oil was pushing higher. Auto sales released earlier in the month were a strong 17.4 million annual […]
May 12. New lows in the curve
–In spite of new highs in oil, and the fact that Italy and Spain have issued 50 year bonds, the US yield curve is flattening. The ten year yield fell 2.3 bps to 173.5. 2/10 treasury spread notched a new low just above 101. Red/gold euro$ pack spread closed at 68.5, its lowest level since […]
May 11. NEWSFLASH: Stocks may not reflect the economy
–In spite of a surge in stocks, US interest rate futures traded tight ranges on small volume. However, back month euro$ calendar spreads edged to new lows. For example, red/green (2nd to 3rd year) pack spread settled at just 22 bps, down 0.5 on the day. Red/gold settled just above 71, -0.875. The magnitude of […]
The fundamentals looked stable….
Interest rate futures continue to be well bid, with calendar spreads compressing. Ten year yield fell 1.7 bps to 175.8 in spite of auctions this week in 3, 10 and 30 years. Sept’16/Sept’17 euro$ spread fell 1 bp to 22.5; the first ten one-year spreads are between 21.5 and 25; little slope and repressed volatility […]
May 9. The Fed weighs domestic and internat’l concerns…
–There’s an article on Bloomberg this morning: ‘Gross and El-Erian warn against counting the Fed out’, with Gross saying June is still possible and El-Erian looking for two rate hikes. Another article in Reuters cites the People’s Daily, the official newspaper, where a high ranking official is calling not for a V or U shaped […]
May 8. Locked and loaded
“The springs on the San Andreas system have been wound very, very tight. And the southern San Andreas fault, in particular, looks like it’s locked, loaded and ready to go,” Jordan said in the opening keynote talk. It has been quiet since then — too quiet, said Thomas Jordan, director of the Southern California Earthquake Center. http://www.latimes.com/local/lanow/la-me-ln-san-andreas-fault-earthquake-20160504-story.html […]
May 6. Longshots
–First, a bit of good news! Zimbabwe issues new currency tied to the US dollar. http://www.bloomberg.com/news/articles/2016-05-05/-zombie-currency-printed-by-zimbabwe-draws-scorn-from-critics So, assuming the normal one to one swap, my One Hundred Trillion Dollar Zimbabwe note (picture attached) now means I’ve achieved financial independence! –Perhaps I’ll use some of the proceeds to buy US treasuries, like everyone else did […]
May 4. The Trump effect
–Yields reversed Monday’s rise, with the ten year yield falling around 7 bps to 179.6. The curve flattened, with red/gold ED pack spread in by 2 bps to 76. One year eurodollar spreads edged lower, with many under 25 bps. Call it the Trump effect. Mainstream power-broker republicans are having a hard time accepting the […]
May 3. A central bank guy pans negative rates
–Christopher J Waller, Director of Research at the St Louis Fed (link to blog below): “At the end of the day, negative interest rates are taxes in sheep’s clothing. Few economists would ever claim that raising taxes on households will stimulate spending. So why would they think negative interest rates will?” https://www.stlouisfed.org/on-the-economy/2016/may/negative-interest-rates-tax-sheep-clothing?&utm_source=Twitter&utm_medium=SM&utm_term=monetary&utm_content=oteblog&utm_campaign=8387 –The Caixin Manufacturing […]
May 2. China NPL
–The Financial Times continues to warn about China’s bond markets. As mentioned over the weekend, it ran this piece last week, ‘China’s bond market is on edge’ http://www.ft.com/intl/cms/s/0/7246cf2c-0a95-11e6-9456-444ab5211a2f.html#axzz47P4eaX5S And today the FT has a story with this headline ‘Worries mount over China’s bond market’ …rising defaults and monetary easing sap investor appetite. There’s a visual […]
