Archive for the ‘Eurodollar Options’ Category
October 12. QE lag times
–Just a few quick broad notes as I missed most of the action last week. First, from Reuters: A report by the Group of Thirty, an international body led by former European Central Bank chief Jean-Claude Trichet, warned on Saturday that zero rates and money printing were not sufficient to revive economic growth and risked […]
Oct 2. Flat curve going into payrolls. Demand for physical.
–Employment report today with NFP expected 200k. Going into the data many curve spreads are at or near their lows. For example 2/10 treasury made a slight new low just below 140 bps. Euro$ one-year calendar spreads are all right at their lows, with a peak of only 55.5 bps. Many argue that these spreads […]
Sept 29. US rate markets forecast Ice Age. India cuts 50 bps to 6.75%
–Though it wasn’t a large volume day in interest rate futures, there were a number of notable features. The ten year yield dropped just over 7 bps to 209.5 as SPX fell 2.6% and Nasdaq fell 3%. All euro$ one-year calendar spreads flattened to new lows, for example the peak one-yr spread is EDH16/EDH17, now […]
In: Eurodollar Options
Sept 27. Stress tests
There’s a classic definition of stress that I have often felt: “The confusion caused when one’s mind overrides the body’s natural desire to choke the living sh*t out of some a**hole that desperately deserves it.” By now, people are aware of Janet Yellen’s speech last Thursday where she seemed confused and began to choke, […]
In: Eurodollar Options
Does this look like the Fed’s behind the inflation curve?
In: Eurodollar Options
Sept 24. Falling knives
–Quiet day in interest rate futures with little net change. US equities were also nearly unchanged, churning in a tight range. However, other markets did move. For example, in emerging market currencies the Brazilian real continues to plunge, ending yesterday at 4.16. (more below). New low as well in the Indonesian Rupiah and Thai Baht […]
In: Eurodollar Options
Sept 23. It’s deja vu all over again
–Yields have resumed their downside trend, with tens falling 8.5 bps yesterday to 212.3. Near one-year eurodollar calendars made new lows, with the peak one-year spread, now June’16/June’17, at just 62 bps, down 3 on the day. Red/green euro$ pack spread (2nd to 3rd years) is sitting right on its low, just over 50 bps. […]
In: Eurodollar Options
Sept 22. Of zero rates and caipirinhas
–We’re in a bout of ‘risk-off’ this morning with ESZ -30 (1933…a good year) as of this writing. New low in Brazil real (3.985). Other EM currencies also weak, as is copper. –US yields rose yesterday with considerable emphasis given to Bullard, Lockhart and Williams expressing the need for a rate increase. Yellen has a […]
In: Eurodollar Options
Sept 21. Euro$ calendar spreads suggest a subdued economy in spite of strong corporate debt growth
–The dollar, even without the benefit of a Fed hike, is firming against other currencies this morning. Central bank economists at the ECB (Peter Praet) and BoE (Andy Haldane) have warned that weakness in the global economy could spur the need for additional accommodation. France was downgraded by Moody’s. In eurodollars, the calendar spreads continue […]
In: Eurodollar Options
Sept 20. This is what it sounds like, when doves cry…
This is what it sounds like, when doves cry… Prince/The Revolution Prince wasn’t singing about Central Bank Economists, but it’s clearer than ever that they are addicted to monetary drugs to keep asset prices aloft, in an attempt to force forward progress in the global economy, and it’s no longer working. The equity markets […]
In: Eurodollar Options
