Archive for the ‘Eurodollar Options’ Category
Oct 25. Q: Low to negative rates not working? A: More
Some free-flowing thoughts this weekend, covering the PBoC and ECB easing, Valeant and stocks in general, the FOMC meeting, Business Insider’s most important charts, Illinois/pension problems. ——————————————————————————————————————————- What accentuated the fall of stocks in August? It was the Chinese devaluation and the fear of a new wave of disinflationary pressure. The world has seen rolling […]
Oct 23. If negative rates aren’t working, let’s make them MORE negative
–It’s all about liquidity, or about central banks boosting asset prices and depreciating currencies. Yesterday’s ECB press conference featured a very dovish outlook “…a rich discussion about all monetary policy tools …will reexamine degree of stimulus in December…discussed depo cut.” So the Schatz went to a new low yield under -30 bps. Italy and Spain […]
Oct 22. Stocks show signs of a turn
–ECB this morning; more accommodation on the way, though probably not at this meeting, more likely in December. Yesterday was a flattener in the US with twos down less than 1 bp in yield and tens down 4.1 to just 202.8. Similar move in euro$’s with red/gold pack spread -2.625 to just under 125 bps. […]
October 20. The poster child market
–Once again a quiet day with little movement in yields. Curve was marginally steeper as stocks maintained a bid; red/gold euro$ pack spread was up 2.75. Relatively large sell off in crude oil with Dec -144 to 4628. Mixed messages from the Fed, with early comments attributed to Dudley that a rate increase might be […]
Oct 19. 5/30 treasury spread as leading indicator…
Attached are charts showing comparison of 5/30 treasury spread vs USD and Commodities (GSCI), and below that, 5/30 vs 2/10 and red/gold euro$ pack. The top chart indicates that 5/30 peaked well before the dollar and also before the commodity rally. USD and GSCI moves were essentially simultaneous initially, though the dollar topped prior to […]
Oct 18. Monetary Lags
There’s a famous Milton Friedman paper about monetary lags, which he cited as “long and variable.” Policy makers have to first, identify the problem, second, respond to the problem with policy, and third, wait for the policy to take effect. Every one of those steps has a lag associated with it. This week there was […]
Oct 16. All about liquidity
–Ten year yield rose 4 bps to 202. The market is comfortable around the 2% level, near the halfway mark of the year’s range. There was a new buyer of 15k TYZ 128/130.5 combo yesterday, paying 1 to 3 for the put around 129-05, 06 (settled 4 vs 129-025). However, downside appears limited and market […]
Oct 15. Bowl a few frames this afternoon, beat the hike
–Wednesday started with weaker than expected economic data, with retail sales (ex-auto and gas) at 0.0 vs expected +0.3. Core PPI was -0.3 vs expected +0.1. And there was more bad news. Walmart was hit over 10% (evaporation of $21 billion of market cap) as the company slashed its outlook. The Beige Book was downbeat on manufacturing. Electricity output […]
Oct 14. Black swans and fluttering red flags
–SPX down to 1400 by the end of the year? That would be a ‘black swan’ event. That’s so unlikely it would be like the Cubs going to the World Series. That would be like Playboy no longer showing naked women. Inconceivable! –If there is one thing becoming clear to me it’s that US equity […]
Oct 13. Oil hit / Brainard dovish
–Cubs win –Thin trade Monday. The biggest change was crude oil which slumped around 4.5% (CLZ5 -221 late to 4794) in a delayed response to an increase in OPEC production numbers. Stocks were marginally better bid though HYG and JNK closed lower on the day. The curve flattened with red/gold eurodollar pack spread -3.875 to […]
