Archive for the ‘Eurodollar Options’ Category
March 20. The Producers
In 1968 a movie came out called the Producers, subsequently rolled out as a Broadway play. The comparison to current events is irresistible (and I’d bet someone has already made it, but I can’t find it). Wikipedia describes the movie as below. I have inserted brackets with my own interpretation. From Wikipedia: Max Bialystock is […]
March 18. Fed’s move squelches volatility
–Interest rate futures continued to rally after the Fed’s shift back to the dovish camp. The ten year yield fell 3.3 bps to 190.3. The eurodollar curve flattened, with reds +2.25 and golds +5.125; red/gold pack spread is hovering around the lows at only 76.5 bps. One year calendar spreads also declined, with the first […]
March 17. Just as inflation is turning, the Fed has self doubt
The Fed is belatedly coming towards the market view of growth and inflation just as inflation may have turned the corner. Somewhat interesting that as the Fed downgraded the 2016 inflation assessment, the spread between the ten year and inflation-indexed note spread made a new high at 159, highest since early December and 40 bps […]
March 16. FOMC day
–So it’s come down to Hillary vs Trump. In a metaphor, the Washington DC subway system, said by Reuters to be the second largest in the country, has unexpectedly been shut down today for emergency inspections. Let’s hope Janet doesn’t take the subway to work. –After retail sales data yesterday the Atlanta Fed GDPNow Q1 […]
March 15. Let’s stop all the negativity…
–Continued modest flattening bias in US rates in front of tomorrow’s Fed decision. For example, 2/10 treasury spread eased 2 bps to 100.1, with the ten year yield falling 1.4 to 196.1. With the expiration of March eurodollar contracts, I switched to June for packs, and the red/gold pack spread fell 1.875 to 73.5 bps. […]
March 13. Weekly summary
Last week I noted the commodity resurgence and how it was beginning to spill over into the US curve, for example in one-year euro$ spreads. This theme has continued, with near one-year Eurodollar calendars posting new monthly highs. However, the peak spread of June’16 to June’17 is still only 35 bps, up just 5.5 on […]
March 11. Two major stimulus moves. Will the market buy it?
–Wild day yesterday with large ranges across many products as the ECB expanded QE to include investment grade corporate bonds. Earlier in the day, China also announced stimulus measures. From Reuters: “China’s central bank is preparing regulations that would allow commercial lenders to swap non-performing loans of companies for stakes in those firms, two people […]
March 9. Flatter
–Rates eased yesterday with the ten year yield declining 7 bps to 1.832%. While next week’s FOMC meeting appears to be a dead issue, the idea of a hike in April or June remains a possibility. Over the past two days there have been sizable trades placed for the idea of hikes going forward. Yesterday […]
March 8. Mixed signals
–China’s exports were reported down 25.4%, expected -14%. I suppose that’s because China is turning into a ‘service’ economy, right? A lot of things aren’t exactly hanging together right now. Where had the demand for raw commodities come from? China – in order to manufacture and export. Well the raw commodity prices, iron ore, lumber, […]
March 7. BIS says faith in Central Banks is waning
–Better than expected NFP sent interest rate futures lower, with the ten year yield up 5.2 bps to 187.9. This week brings auctions of 3s, 10s and 30s. Stanley Fischer speaks today to the NABE at 2:30 EST. –Near eurodollar calendar spreads made new highs Friday. For example, what is once again the peak one-year […]
