Archive for the ‘Eurodollar Options’ Category
April 3. The Fed joins the fray in fx wars
The Nikkei is down 15% ytd and was down 3.5% Friday. We’ll come back to that in a minute. The big news this week was Yellen’s speech Tuesday, which reinforced the idea of gradual/glacial rate hikes, with the overarching theme that the central bank can and will do whatever it deems necessary to counter any […]
April 1.
–Treasuries maintained a strong bid going into the employment data, which only strengthened into the end of the day. FVM and TYM treasury contracts settled at new highs for the month. Ten year yield fell 4.3 bps to 178.3. –Today’s NFP expected 200-220k. Unemployment rate 4.9%. Avg Hourly Earnings +0.2%. –I have attached a chart […]
March 31. Long bonds are uncomfortable with Yellen’s dovishness
–One of Yellen’s points Tuesday was that, as market perceptions of the trajectory of the Fed Funds rate becomes less steep, bond rates and mortgage rates come down, providing support for the economy. Yesterday, the five year note yield declined, but the 30 yr bond rose 4.5 bps. 5/30 treasury spread hit a new monthly […]
March 30. On the one hand, on the other hand… Yellen’s speech one big disclaimer
–That may have been the lamest Fed Chair speech I have ever read. In the spirit of Dodd-Frank the entire thing was one big disclaimer. Let me paraphrase, we hiked but I’m not sure that we should have. There are a lot of risks facing the economy, both internally and from abroad. We think inflation […]
March 29. Everyone else is concerned about inflation. Is Yellen?
–Atlanta Fed’s GDP Now forecast for Q1 tumbled from 1.4% on March 24 to just 0.6% yesterday, as Personal Spending for January was revised lower from an initial +0.5 to +0.1. The next forecast is, fittingly, on April Fool’s day, which coincides with the employment report. –The big event today is Yellen’s speech to the […]
Serious under performance of the Broker/Dealer Index
Since the new lows of Feb 11, SPX rallied a bit over 12% at last week’s high. Compare that with the US Broker Dealer Index (XBD) which has only gone up 6.7%, and remains below the low of late September. Not exactly the picture of a broad based bull market. (Idea noted from Doug Noland’s […]
March 28. Core PCE prices today; last impediment to a more aggressive Fed
–Today’s news includes Personal Income and Spending, both expected +0.1, and also Core PCE prices, which hit 1.7 yoy in the last release. Another firm showing would make it much more difficult for Yellen to maintain her dovish stance in the face of opposition within the FOMC; she speaks tomorrow at 12:20 EST to the […]
March 24. Fraying at the edges
–Treasury option expiration today with TYM threatening the 129.5 strike going into the long holiday weekend. Only 55k open coming into the day (in TYJ 129.5 call). Implied vol firmed yesterday as call buying was a theme, though overall volume remains light. Economic news today includes Durables, expected -3.0% bot only -0.2 ex-Transportation. Jobless Claims […]
March 23. Robotic reaction
–The market has become anesthetized to terrorist attacks, as shown by the muted reaction to yesterday’s events in Brussels. Even gold, which rallied yesterday and was able to close slightly positive, is down about $14 this morning and appears to be forming a top. The safe haven rally in treasuries quickly fizzled, with yields closing […]
March 22. Terrorist blasts in Brussels; limited short term impact
–Terrorist blasts in Brussels have had modest market impact so far, with a slight decline in stocks and a muted rally in treasuries. While the US treasury yields are lower as of this writing, yields pushed higher yesterday, with tens up nearly 5 bps to 191.9. In eurodollars reds thru golds were down 5.0 to 5.5 […]
