Archive for the ‘Eurodollar Options’ Category
Nov 10. Cheeseburger, cheeseburger
–On Monday March Euribor settled +2 at 100.15. March Euroswiss +3 at 101.00. March Eurodollar +1 at 9938.5. The US is looking for a rate hike while negative rates prevail elsewhere. I have attached a chart of the CRB and the Baltic Dry Freight Index, both plunging. December Copper yesterday settled 223.0, the lowest settlement […]
Nov 9. Revisit the ‘conundrum”?
–Friday’s strong payroll data (+271k) solidified the prospects for December liftoff. Euro$ calendar spreads made new highs, however, there is not a single 3 month calendar above 25 bps; the peak is Sept16 to Dec16 which settled 18.5. (Large buying in EDH16/EDM16 at 17.5 Friday). The peak one year is Dec15/Dec16 at 71.5 bps, which […]
November 5. Yellen tilts toward December but doesn’t commit
–Yellen gently reinforced the idea of a December rate hike, “…moving in a timely fashion would be a prudent thing to do; will help the Fed move at a gradual pace.” Dudley didn’t really talk about policy aside from saying he agrees with Yellen. Fischer’s speech was mostly about central bank independence, but included this […]
Nov 4. Strong rate hike signals for “the next meeting”?
–Yellen speaks at 10:00 EST, followed by Dudley at 2:30, with Fischer giving a speech after the US day session. With stocks experiencing a new round of “risk-on” behavior, and oil jumping $4/bbl to over 48 in the past week, the most important voices on the FOMC have the chance to solidify rate hike expectations […]
Nov 2. South Korea exports (and imports) continue to telegraph weak global trade
–Friday saw steepening at the front end of the curve and flattening from the reds back. Near one-year eurodollar calendar spreads posted new highs, with March’16/March’17 for example, closing +1.5 to a new recent high of 61 (peak one-year spread). However, red/gold pack spread (2nd to 5th year), closed at a new low just over […]
Nov 1. Fed has the chance to get communication back on track
With the Fed specifically mentioning the “next meeting” in its deliberations on whether to begin lift off, the market raised the odds of an actual hike in the funds target. However, the odds still don’t reflect more than a 50/50 chance of a December move. For example, January Fed Funds settled Friday at 9975, exactly […]
Oct 30. Rates pushing higher in US, but the move will likely stall
–In spite of Q3 coming in at only 1.5% with prices +1.2%, interest rate futures continued to sell off. Ten year yield jumped 8.4 bps to 217.4. Interestingly, the curve was a bit steeper as 2 yrs only rose 2.2 bps to 72.5. Red/gold pack spread gained 1.75 bps to 122.625. There was a large […]
Oct 29. Market still can’t fully believe a hike is coming
–In the old days, a statement with a specific mention of tightening “…at its next meeting” would have taken the odds for a hike at that meeting to 60 or 70%. Yesterday, January Fed Funds settled 9975.5 and EDZ5 at 9959.0. With the expiring October FF at 9987.5, and Jan just 13 bps lower, the […]
Oct 28. FOMC today
–I received this text from a friend in the ED option pit yesterday: “At 1:01 tomorrow there will be a huge exchange of funds between the pit and the short put buyer.” –At 1:00 PM Chicago time the Fed announces its interest rate statement. Yesterday, Short Dec (0EZ) 9900 puts were bought in size of […]
Oct 27. Animal spirits
–Biggest moves yesterday were in energy, where NatGas made significant new lows and Dec Crude was also under continued pressure, (down 57 cents late to 4403, and lower yet this morning). Nov Nat Gas is around 2.00 while Dec is 2.34, a huge discount for one month, which indicates a lack of available storage/oversupply. EUR […]
