Archive for the ‘Eurodollar Options’ Category
Feb 4. 5 yr echoes start of 2015
–From a Bloomberg article this morning: “Goldman Sachs Group Inc. and Pacific Investment Management Co. say bonds are poised to fall and traders aren’t prepared for how far the Federal Reserve will raise interest rates.” From Bill Gross’ monthly missive: “…don’t go near high risk markets, stay safe and plain vanilla.” Dudley yesterday leaned towards […]
Feb 3. Hey Esther, grab a mitt
–Hard to know where to begin today, but I’ll start with the continued implosion of eurodollar calendar spreads. New lows in everything nearby, with March’16/June’16 at just 4.5 bps and March/March (EDH16/EDH17) just 23.5 bps, down 6.5 on the day. Peak one year spd is just 35 bps. New low in red/green (2nd to 3rd yr) […]
February 2. Looking for the ballpark
–Rates pushed higher yesterday with tens up nearly 4 bps to 196.4. On the eurodollar strip, reds through golds were down 4 to 5.5 bps as longs pared back. Volume was light, with a stubborn bid in stocks despite a renewed sell off in oil. Economic news was soft, with Mfg ISM at only 48.2, […]
Feb 1. EDH’16/EDH’17 at just 1/4% in a tightening cycle?!?!
–Strong rally in fixed income Friday as Japan cut to negative rates. Near euro$ calendar spreads made new lows, with March’16/June’16 settling at just 5 bps and March’16/March’17 at just 27 bps, barely above 1/4% for an entire year. Stocks and oil also continued to rebound, though both are giving some back this morning. Five […]
Jan 31, 2016. Central bank desperation
“And then, depression set in” -Bill Murray as John Winger in Stripes Last week’s title was “Central Banking Confidence Game”. This week it smells more like desperation. Consider the recent chain of events: two weeks ago Draghi signals further easing in March (bullet spent), and then Kuroda suggests China implement capital controls. Last week the […]
Jan 29, 2017. Under water
–There was a Pimco piece by Harley Bassman circulating the last few days entitled “Finding Sea Level for Interest Rates”. It wasn’t really about the absolute level of rates, more about the correct benchmark, but it’s a little ironic that Japan just went below sea level, cutting their excess reserves rate to -0.10%. Funny that a […]
Jan 28. The Holy Grail
–From the Fed’s statement: “The committee is closely monitoring global economic and financial developments and is assessing their implications for the labor market and inflation, and for the balance of risks to the outlook. Now go away, or I shall taunt you a second time.” –Well the second sentence isn’t really in there, but it […]
Jan 27. TraderPlanet Post
http://www.traderplanet.com/commentaries/view/169273-could-china-officially-devalue-in-front-of-the-lunar-new-year/
Jan 27. FOMC day
–FOMC announcement today. The last statement acknowledged low inflation, “Market-based measures of inflation compensation remain low; some survey-based measures of longer-term inflation expectations have edged down”, but lift-off occurred anyway. As of now, market based measures of inflation are also trending lower. The key will likely be the balance of risks. From the last […]
Jan 26, 2016. Friday’s rallies evaporate
–By the end of the day Crude oil had completely erased Friday’s rally, with CLH down 2.49 late to just 29.70. Weakness transferred to stocks, which also had a soft close in a reversal of Friday’s gains, and Chinese shares fell 6% today. Risks are likely increasing for another official “one-time” devaluation by China. –Yesterday’s […]
