Archive for the ‘Eurodollar Options’ Category
Sept 18. The Fed takes a pass
–Not only did the Fed pass on a rate hike, but the press conference was quite dovish, with Yellen at one point saying it might take years to reach the inflation target. From the statement, “The Committee continues to see the risks to the outlook for economic activity and the labor market as nearly balanced […]
In: Eurodollar Options
Sept 11. Treasury auctions over. Risk off day
–Curve steepened a bit as the treasury wrapped up auctions with the 30 year bond. The ten year yield was up 3.2 to 222.4, while 2/10 treasury spread rose 4 to 149. Red/gold euro$ pack spread up 3.75 to 134.625. September midcurve euro$ options expire today. –US stocks were weak early yesterday as Appaloosa’s David […]
In: Eurodollar Options
Sept 10. One week until FOMC announcement
–JOLTS data was higher than expected, showing impressive job openings of 5.75m, however, the ratio of hires to openings continues to make new lows. There was a lot of press coverage on Chipotle’s plan to hire 4000 workers in a day, but colleague Tim Dibadj noted that Lockheed Martin is cutting 500 information service jobs. […]
In: Eurodollar Options
Sept 6, 2015. Does the Fed want to re-live the 1997/98 Asian crisis?
THEMES: Employment report, something for everyone USD strength against all EM; Fed hikes into that environment? China. Sell reserves or devalue. My money’s on the latter Risk aversion ______________________________________________________ 8/28/2015 9/4/2015 chg UST 2Y 72.8 70.1 -2.7 UST 5Y 152.6 146.3 -6.3 UST 10Y 218.8 212.6 -6.2 UST 30Y 291.0 288.8 -2.2 GERM 2Y -20.8 […]
September 4. Set the cat amongst the pigeons
–Aussie at new low. Nikkei at new low. Hong Kong PMI dismal at 44.4. –Draghi was dovish yesterday and said inflation risks were to the downside. There was heavy buying of FVZ prior to the press conference, which appears to be new positioning, as total FV open interest rose by 27k. In eurodollars some of […]
Sept 2. Quantitative Tightening and Risk Parity
-Ten year yield fell just 2.8 bps to 217.2 as oil and stocks tumbled. Curve was slightly steeper as 5’s led the move to lower yields, -3.8 bps to 150.2. –Bonds have been trading poorly, without much of a ‘flight to quality’ bid as stocks have shown increasing vulnerability. A BBG piece this morning cites […]
Sept 1. POTENTIAL effects from China…
At this moment, we are following developments in the Chinese economy and their actual and potential effects on other economies even more closely than usual. Stanley Fischer, from his Jackson Hole speech. –What are some of the potential effects? As an example consider that S Korea’s exports in August, (often considered a canary in a […]
August 31. Fischer and the China Shock
THEMES: Inflation transitory but China is a new potential shock Even observers in China think the devaluation might be underestimated The one constant Fed theme is that of GRADUAL tightening ______________________________________________________ 8/21/2015 8/28/2015 chg UST 2Y*new 62.5 72.8 10.3 UST 5Y*new 143.6 152.6 9.0 UST 10Y 205.0 218.8 13.8 UST 30Y 274.4 291.0 16.6 GERM […]
August 28. China selling treasury reserves = reverse QE >>>bond yields should FALL
–US interest rates were almost unchanged yesterday despite a 10% jump in oil and a related bounce in stocks (SPX +2.4%). Q2 GDP was much stronger than expected at 3.7%, though Atl Fed GDP now is tracking Q3 currently at just 1.4%. Today’s new includes Personal Income and Spending (both expected +0.4) with Core PCE […]
August 27. Volatility and risk priced more appropriately
–Yesterday featured a much steeper curve, in follow through from Tuesday, as NY Fed President Dudley walked the market back from the edge of the cliff, saying that a rate hike was “less compelling”. (Actually, a 25 bp hike should be more like stepping off a curb, but such is the fragility of the global […]
