Archive for the ‘Eurodollar Options’ Category
Dec 9. Let them buy Modiglianis
–Continued pressure on EDZ5 reflects certainty of a Fed hike next week. I am amazed that I have twice in the past few days seen large buy trades go through in EDZ5 9950 puts that were essentially at parity; market makers must be having a holiday sale. “No MARK-UPS! How do we do it? VOLUME.” […]
Dec 8. Oil spill (and spillover into other markets)
–With crude oil crashing to new lows below $38/bbl (-229 late at 37.68), the curve flattened and US interest rate futures rallied. The ten year lopped another 5 bps from the yield to close at 2.22%. 2/10 treasury spread closed down 3.6 at 129. Red/gold euro$ pack spread ended down 4.875 bps to close just […]
Dec 7. EDZ5 drama
–The payroll data Friday cemented the prospect for a rate hike next week, and prompted buying of about 50k EDZ5 9950p for 0.5. That trade has worked out this morning as EDZ5 trades -1.0 at 9949.0, with a week to go before expiration. I skimmed several stories this morning on dollar funding problems for EM, […]
Dec 6. Expectation Reversal
The week just ended was instructive in terms of just how much the market is dependent on Central Bank largesse. Thursday’s ECB disappointment sparked a stock market sell off and a jump in yields, along with a surge in the euro to over 109 from 105 early in the day. Draghi’s efforts to cushion the […]
Dec 3. Yellen signals hike, Draghi’s turn to ease
–Yellen’s comments yesterday gave a green light for a Dec 16 hike. This morning it’s Draghi’s turn to move further in the opposite direction with more accommodation, (with the EUR at new lows 105.60). –New lows as well in both 2/10 at 124, and 5/30 which was down 5 bps at 127.4. The oil market […]
Dec 2. Transitory
The Fed has been saying subdued inflation is due to transitory factors at least since December 2014. Since that time the Bloomberg Commodity Index is down 25%. Stick to the story. That’s what my brother used to tell me when we were going to tell our mother a lie…
Dec 2. Atlanta Fed Q4 Nowcast cut to 1.4%. Yellen today
–Yellen speaks today at 12:25 EST at the Economics Club of Washington. ADP this morning expected 183k. Beige book released in the afternoon. –Yields fell across the board yesterday with tens down 6.3 bps to 215.4, as ISM data submerged to below 50 (48.6). While some people shrug off the data as the US has […]
Dec 1….Fed hike with ISM sub 50???
Attached is a chart going back to the early 1980’s. As a friend pointed out to me, the Fed doesn’t hike with ISM under 50 (at least historically). FF target is pink line, 50 level for ISM is red horizontal and ISM is white line.
Dec 1. Flat as a pancake
–Overall yields didn’t change much Monday, but the curve flattening has been relentless. New lows in 2/10 treasury spread to 128.7, down 1.5 bps and red/gold euro$ pack spread at 99.0, down 4.25 on the day. –Green, blue and gold midcurve atm straddles are all around 14.5 bps, once again appearing cheap in front of […]
Nov 30. Since 2009
–Quiet session Friday, the largest feature was continued flattening in back month eurodollar spreads. For example, the red/green pack spread edged to a new low of just 46.5, down 0.5 on the day. –It is of course, a big week with Yellen speaking Wednesday to the Economics Club of Washington and again on Thursday to […]
