Archive for the ‘Eurodollar Options’ Category
Central Bank Confidence Game
Draghi signaled a fresh round of monetary stimulus last week, and risk assets staged a spirited rally from deep sell offs that had occurred this month. High profile warnings from Soros, Gundlach, Dalio, William White of the OECD, etc, had instilled peak pessimism in global markets, with the SPX trading well below August’s lows and […]
Jan 22. The reversal dance, but what happens when the music stops
–Rebound in stocks as Draghi said inflation concerns make it necessary to reconsider the ECB’s policy stance in March. Stocks and crude oil rallied, interest rate futures fell. All highly correlated. Next week is the FOMC meeting, there will likely be mention of declines in market based measures of inflation in the statement. All highly […]
Jan 21, 2016. Davos frets
–Top headline on today’s WSJ: Markets’ Panic Incongruent with Economic Reality. A little cheerleading to start the day. However, the guys in Davos are circumspect. Telegraph’s AEP highlights a few views (link below). From the IMF’s Zhu Min, “The key issue is that liquidity could drop dramatically, and that scares everyone.” From Kenneth Rogoff: “What […]
Jan 20. Tough start to the year
…it is written that misfortune knoweth not the hour to cease. http://www.telegraph.co.uk/finance/financetopics/davos/12108569/World-faces-wave-of-epic-debt-defaults-fears-central-bank-veteran.html “It will become obvious in the next recession that many of these debts will never be serviced or repaid, and this will be uncomfortable for a lot of people who think they own assets that are worth something” William White OECD –Here we […]
January 17. Behind the Curve
Wait ‘til next year. Sort of a motto for Chicago. In this case though, it’s the Eurodollar calendar spreads sending the message of no more rate hikes. Near one-year calendars plunged right along with stocks, with March’16/March’17 down 15 bps on the week to just 32.5 and June’16/June’17 down 12.5 to 35.0. The peak one-year […]
January 15, 2016. The Fed’s policy bedrock: “It can’t go down forever…”
–There’s a lot of news out today including Retail Sales and Industrial Production (estimates at bottom). Also sev’l Fed speakers, Dudley being the most important at 9 EST. I don’t know if Dudley’s comments will be a formal speech, but I looked back on his last speech on November 12 (link below), and at that […]
Jan 14, 2016. Redistributing pain
–ESH minis had an outside day covering the previous two sessions (new high in the morning) and closed on the low without a significant bounce all day. The ten year auction was well received at 2.09% and yields pushed even lower into the end of the day, lowest yield since October. The five year yield […]
Jan 13, 2016. Skin in the Game
–Once again all near euro$ calendar spreads made new lows Tuesday as oil probed below $30/bbl before bouncing. Peak one-year spread is EDM16/M17 which fell 2.5 to only 42. There was heavy selling (90k) in EDH16/EDM16 at 10 to 9.5, settled 9.5. Open interest this morning appears to indicate a roll with March OI -23k […]
Jan 12. Old economy / new economy
Jan 10. High Anxiety (weekly)
High yield, energy markets, EM currencies have been flashing warnings for months. Now spillover into equity markets is creating high anxiety. The 2007/08 crisis was US driven but spilled over into the rest of the world. Why is it so hard for US pundits to grasp the importance of China similarly exporting financial instability? Is […]
