Archive for the ‘Eurodollar Options’ Category
FOMC today and the ‘transitory’ effects of lower oil
–From last FOMC statement: “…the Committee expects inflation to rise gradually toward 2 percent over the medium term as the labor market improves further and the transitory effects of earlier declines in energy and import prices dissipate. The Committee continues to monitor inflation developments closely.” A few points: the decline in energy prices no longer […]
July 28. Turnaround Tuesday (but only a brief respite)
–There was a decent amount of spillover from the sharp decline in Chinese shares Monday. The sell off continued in the oil market and EM with new lows in EEM (the emerging mkt ETF), and the hi-yield ETFs JNK and HYG. Several corporate bond deals were deferred due to turbulent market conditions. The Russell 2000 […]
July 27. What happens when gov’t support (or CB accommodation) is yanked?
–Chinese stocks down 8% today. No surprise, the gov’t stops buying, stocks fall. What is surprising is that the reaction in US futures is a big yawn (ESU -2.25, as of 5:30 EST). It’s not as if underlying fundamentals in the US are great. From FactSet, released July 24: “For Q2 2015, the blended earnings […]
July 26. Weekly summary – It’s not Greece anymore, it’s EM, energy and metals…and debt
THEMES: Claims on future cash flows vs physical commodities EM in “violent” sell off / hi yield pressured FOMC and Staff leak ————————————————————————————————————————— 7/17/2015 7/24/2015 chg UST 2Y 66.5 67.8 1.3 UST 5Y 166.8 162.0 -4.8 UST 10Y 234.7 227.1 -7.6 UST 30Y 308.0 297.4 -10.6 GERM 2Y -22.0 -22.5 -0.5 GERM 10Y 78.8 69.1 […]
July 24. One US dollar is buying more of EVERYTHING (except AMZN)
–Once again the dollar curve flattened as commodities remain under intense pressure and the USD advances. [Insert your choice of metal, commodity or currency here…] is making multi year lows. New low peso. The Korean Won has been on a one way depreciation since the beginning of May, to a a new low 1164.75. New low […]
July 27. Hellllloooo.
–The curve flattened hard yesterday with red/gold (2nd to 5th year) euro$ pack spread plunging 5 bps to a new low of just 138.62. In treasuries the 2 yr note yield rose 2 bps and the 30yr bond fell 4. Ten year yield eased another 2 bps to 232. Reds to greens (2nd to 3rd […]
July 21. Value the virtual, not the actual
–Monday was generally quiet, but some of the trends from late last week continued. For example, CAD made an intraday high above 130, and MXN closed above 16… (so new low for the peso). Crude oil (CLU5) was down 93 cents late to 50.28, also a new low. Gold and other commodities were crushed. The […]
Weekly summary; Is the Strong USD Tightening for the Fed?
THEMES: Curve flatter; Yellen jawbones for a rate hike Implied vol imploding like the economy of Greece Strong $, Canada in recession, currency wars Crude oil indicates global economic fragility Tech stocks explode ————————————————————————————————————————— 7/10/2015 7/17/2015 chg UST 2Y 64.9 66.5 1.6 UST 5Y 167.3 166.8 -0.5 UST 10Y 241.4 234.7 -6.7 UST 30Y 320.7 […]
July 17. Curve pounded
–Curve flattener as reds close -4 and golds +0.5. 5/30 plunged 4.7 bps to 146.4. On a large block two days ago July 14, the prices were 119-075 in the five year (FVU) and 149-13 on the bond (USU). As of yesterday’s settlement, not much change on the five year at 119-07, but the bond […]
July 16. Yellen endorses a rate hike, yields slip
–Once again Yellen said that a rate increase this year would be appropriate, but yields slipped with tens down 5 bps to 235 and fives down 3.7 to 162.3. This, in spite of higher than expected PPI of +0.3 and +0.8 Core (wholesale egg prices up 84.5% in June). Industrial Production was also slightly […]
