Archive for the ‘Eurodollar Options’ Category
Vote of No Confidence by US Interest Rate Contracts
When I write my thoughts for the weekend, I usually refer to snippets of information that I have taken from various sources. I start by trying to verify some of the things that I have read. For example, Used Car prices are falling, or Consumer Credit as a % of Disposable Personal Income is rising. […]
April 15. Fixed
As you can see from the chart below it’s fixed now. The roof no longer leaks. White line is Crude Oil and red is HYG, the hi-yield etf. Identical recovery since the mid-Feb scare. There was also reassuring news from China, with Q1 GDP as expected 6.7%. However, debt growth in China is exceeding growth […]
April 14. Curve flatter despite stock rally
–Although stocks had another strong day, (SPX +1.0%, Hi Yld and EEM at new highs for the year), interest rate futures remain well bid. Economic data yesterday was disappointing, with Retail Sales -0.3% and just +0.1 ex-auto and gas. PPI -0.1%. The euro$ strip ended slightly higher and flatter…once again I would note that essentially […]
April 13. China turning?
–Stocks are up this morning and bonds are lower, partially in response to an increase in China’s exports of 11.5%, the first rise since June. At the same time BBG reports that “Euro-area industrial production fell the most in 18 months in February, giving up some of the surge seen at the start of the […]
April 12. Obama and Yellen
–Though interest rate futures barely moved, other markets continue to suggest a bias toward risk off. For example, stocks snatched defeat from the jaws of victory, having been trading positive virtually all day and then closing down 6 at the low end of the day’s range (ESM). Gold was up over $14/oz late, and silver […]
April 10. Carry trade…carry what?
Last week I started with a sentence noting that the Nikkei was down over 15% on the year. It was slightly lower again this week. But the real action this week was in the currency, with $/yen having broken 108 before ending just above that level. Last Friday it closed just under 112. A concurrent […]
April 8. Yellen: “2% a target not a ceiling” Better watch for trap doors in the floor…
–Big risk off yesterday as $/yen plunged, with US equities falling in sympathy. JPY hit 108, while SPX fell 1.2% on the day. Note that even with today’s bounce, the Nikkei is down over 20% from the end of the year. Yellen yesterday afternoon said the US is near full employment and that the 2% […]
April 7. Land of the rising yen
–$/yen breakout yesterday with further gains this morning, now nearing 108 from 109.70 yesterday. Precious metals also seeing a bounce this morning. After a strong close yesterday, equities are pulling back, and treasuries are modestly bid. Today’s news includes Jobless Claims expected 272k and Consumer Credit late in the afternoon. January data showed a surprising […]
April 6. Public finance/tax fury
–The Atlanta Fed GDP Now forecast for Q1 was revised down to a new low of +0.4 from 0.7 last Friday. In February it was above 2.5%. Clearly ices the Fed if that information is correct, and that’s what the market is reflecting. All near one-year calendar spreads in ED made new lows. For example, […]
April 5. Declare the pennies on your eyes.
–It’s a risk off morning with ESM -17 as of this writing to 2040.50, and $/yen at a new low of 110.41. Interest rate contracts are rallying, with the Green pack (3rd year) up 5.75 bps. The possible failure of the Pfizer Allergan deal due to new Treasury rules to curb tax inversions is likely […]
