Archive for the ‘Eurodollar Options’ Category
Aug 25. One hike by….April?
–Wild intraday swings Monday; final outcome SPX -3.9%, Nasdaq -3.8% and DJIA -3.6%. News sources this morning are mostly finding a positive spin, saying that it’s just because of China, that US growth continues to look stable, that we can shrug it off because it’s not the real economy. I am not saying that’s all […]
August 24. Change in the trend of risk
–On Friday, all near eurodollar calendar spreads made new lows as stocks tumbled and the Fed quietly exited through the side door. With global carnage continuing early Monday, the prospect of a Fed hike this year is evaporating. The peak one year calendar spread is March’16/March’17, now only 68.5, down 4 on Friday’s session and […]
August 23, 2015. Financial Stability vs Inflation – weekly summary
THEMES: Last week’s note: The Price of Risk Trend changes? A Fed on hold leads to weaker dollar/steeper curve Seven year cycle ————————————————————————————————————————- 8/14/2015 8/21/2015 chg UST 2Y 72.6 62.5 -10.1 UST 5Y 159.4 143.6 -15.8 UST 10Y 219.4 205.0 -14.4 UST 30Y 284.0 274.4 -9.6 GERM 2Y -27.0 -25.4 1.6 GERM 10Y 66.0 56.4 […]
August 21. “Funny how?”
–Global stock markets the world over tumbled as one of the world’s keenest financial strategists, Alexis Tsipras, resigned. Well, maybe it wasn’t exactly for that reason, but US indices fell over 2%, as weak equity market action dominated yesterday’s trade. With China’s dismal Caixin/Markit Mfg PMI of just 47.1, the lowest since 2009, ESU fell […]
August 20. Even the Fed’s starting to notice…
–From the FOMC minutes: “Some participants also discussed the risk that a possible divergence in interest rates in the United States and abroad might lead to further appreciation of the dollar, extending the downward pressure on commodity prices and the weakness in net exports.” –The clues are piling up so fast that even some participants […]
August 19. A hard rain’s a-gonna fall
–Tuesday again featured new lows in copper, though oil staged a modest bounce. US yields bounced as well, with tens erasing Monday’s rally and ending up at Friday’s close of 219.6, up 4.8 on the day. Volume was sparse. Though oil was up, both RBOB gas and natgas closed lower on the day. Late comments […]
August 18. Recession in 2016?
–Monday featured consistent buying in the front end of the curve. EDZ5 open interest gained 22k and EDZ6 was up 10k according to prelim open interest data. Ten year yield fell 4.6 bps to 214.8. New lows posted in several measures of the curve. For example red/green euro$ pack spread closed at 55.75 and red/blue […]
August 17. The price of risk
THEMES: Painful trends continue, stocks are the notable exception Corporate bond spreads widening Rolling devaluations, punctuated by China this week ————————————————————————————————————————— 8/7/2015 8/14/2015 chg UST 2Y 72.1 72.6 0.5 UST 5Y 158.2 159.4 1.2 UST 10Y 217.3 219.4 2.1 UST 30Y 282.8 284.0 1.2 GERM 2Y -26.2 -27.0 -0.8 GERM 10Y 66.1 66.0 -0.1 EURO$ […]
Aug 14. The global markets have already tightened for the Fed
-Quiet day yesterday with yields continuing to back up after the rally associated with China’s revaluing of the yuan. Tens rose 5.9 bps to 219.1. 5/30 flattened 3.4 bps to 128.3, even though the 30 yr auction was a bit soft. Oil traded into the 41 handle to new 6.5 year lows. EM currencies making […]
Fed going to tighten given inflation expectations? Oxi
In this morning’s note I mentioned the spread between ten yr treasury and inflation index yield. Other people are also talking about this. Lower graph is the spread, near new lows. Below is the 5y, five year forward inflation swap….same idea. Lower inflation expectations. […]
