Archive for the ‘Eurodollar Options’ Category
March 6. Commodity Resurgence
First, a quick overview of the state of the market. Most interest rate futures closed at their lowest levels since early February as stocks continue to rebound and the non-farm payroll report showed sturdy employment growth. Reuters pointed out that many gains were in lower wage occupations: “Retail payrolls increased 54,900 adding to the 62,100 […]
March 4. Employment data and policy divergence
–Employment today with NFP expected 190k and avg hourly earnings +0.2%. Treasuries appear vulnerable going into the data, but implied vol has been under consistent pressure and is going into the data at the low of the week, not exactly suggestive of downside fear. Additionally, open interest shows modest declines in treasuries yesterday, another indication […]
March 3. Buying at the zero-bound
–Modest follow-through selling yesterday in treasuries yesterday as ISM was a bit better than expected at 49.5. Five year rose 3 bps to 1.346, tens were up 1.2 to 1.846 and bonds declined 1.4 bp to 2.69, causing a new low in the 5/30 spread at 134.4. Beige book was non-committal. –Interesting feature of yesterday’s […]
March 2. Signs of a turn?
–Early yesterday Treasury Sec’y Jack Lew said the Chinese assured him they had no plans or need to devlaue the yuan. Today, (RTRS) “Moody’s downgraded its outlook on Chinese government debt to “negative” from “stable” on Wednesday, citing uncertainty over authorities’ capacity to implement economic reforms, rising government debt and falling reserves.” Also an advisor […]
March 1. Dudley: “Hey have you guys noticed the euro$ curve?”
–(Reuters) “At this moment, I judge that the balance of risks to my growth and inflation outlooks may be starting to tilt slightly to the downside,” New York Federal Reserve President William Dudley said. –Dudley’s reassessment combined with other factors has the market trading in an ambien induced sleepwalk of reinstated QE. (Buy risk assets, […]
Feb 28. International Linkages
Themes: G20…ineffectual Brainard…respectful of the markets and internat’l linkages Core PCE was 1.7…inflation coming back? Technicals don’t yet confirm an equity mkt bottom Let’s start with a couple of snippets from the G20: (Rtrs) “Downside risks and vulnerabilities have risen,” [the communique] said, citing a backdrop of volatile capital flows, a drop in commodity prices, […]
Feb 24. Fed’s on hold
–Stanley Fischer spoke last night and in my opinion the speech tilted somewhat dovish. He noted that while Core CPI rose above 2%, that “…further declines in oil prices suggest that total inflation will likely remain low for somewhat longer than had been previously expected before moving back to 2 percent.” He also mentioned risks […]
Feb 23. Fischer speaks this evening
–Slow trading day yesterday. Chgo Fed Nat’l Activity Index was positive for only the third time in the past thirteen months, though the 3-month moving average remains negative. There were a few protective buys of midcurve puts, for example 0EH 9887/9900 put spread bought for 1.5, and 2EH 9862 puts bought for 1.5 as well, […]
Feb 22. Official stats vs market perception
–The curve flattened to new lows on stronger than expected CPI, with yoy Core +2.2% a 4 1/2 year high. Whenever it seems plausible that the Fed might tighten at a somewhat faster pace (even though ‘faster’ has now been demoted to perhaps two or three times in a year), the curve flattens as the […]
Feb 21. Inflation/stagflation
Themes: Inflation / deflation Financial market stress (Cleveland Fed) Curve flattening Tax withholding slowdown Looking at a chart of CPI as published by the BLS, it has clearly been on an uptrend for the past year. As Friday’s release said: “CPI for all items unchanged in Jan as energy declines offset array of increases.” Friday’s […]
