Archive for the ‘Eurodollar Options’ Category
July 14. A stronger dollar and weaker oil
–Yields edged slightly higher on the back of the Greek deal with tens up 1 to 242.5. EUR closed on its low near 110. It looks like what Germany “won” will be a lower currency to keep its export machine humming, with Draghi having to continue the ECB’s un-austere policies to counter fiscal headwinds. Stocks […]
WEEKLY SUMMARY: China Greece and Oil
THEMES: SPX closed just below 200 day ma both Wed and Thursday, but bounced on the deal Friday. SHCOMP also hit its 200 day and rebounded. Fixed income closes on lows of the week; curve steepens Crude oil indicates global economic fragility Yellen signals rate hike but doesn’t mention China Back month vol bid […]
July 9. Where do I go for safety?
–Weakness in Asian stocks spilled over into the US yesterday, as troubles in Greece, continued sell off in Shanghai, and renewed concerns about energy markets were simply too much for US stocks to fight against. This morning there’s been a rebound, as China banned shareholders with large stakes from selling. No gentle nudging into risky […]
July 8. Shanghaied
–China down another 6% this morning, Nikkei down 3%. Remember when we thought Greece was the big problem? –Though treasury futures closed well off their highs yesterday, yields were still lower on the day, with tens down 4.7 bps to 224, and 30 yr bonds -5.6 to 302.7. Ten year auction today, followed by 30’s […]
July 7. Eurodollar curve continues to extend the timing, and compress the trajectory of rate hikes
–It’s a “risk-off” environment due to Greece and China. I know it, you know it. The treasury market knows it, with the ten year yield sinking below 230. Crude oil knows it, having plunged over $4 bbl yesterday. As do junk bond etfs, copper, iron ore, the Mexican peso, etc. The only market that doesn’t […]
July 3. Risk on?
–Weaker than expected payroll report sent yields lower, with tens falling 2.6 bps to 239. the curve steepened, with the five year note yield -5.7 to 164.3, but the 30 year bond down only a fraction of a bp from 319.5 to 319.2. Thus, 5/30 yield spread made a new high of 155 as the […]
July 2. Employment data today; risk skewed to higher rates at the long end of the curve
–A substantial amount of the Greek referendum and bank holiday rally in treasuries had evaporated by late Wednesday. The ten year yield was up 8 bps to 241.6 yesterday, right where it was last Thursday (the high Friday was just under 249). Implied vol pulled back as interest rate futures sold off. The market now […]
July 1. Worry beads
–Not much change in interest rate futures as Greece missed the IMF payment. Various news headlines were flying around throughout the day about possible deals, making it seem as if even the weekend referendum isn’t etched in stone. –On Monday, some of the financials were hit, for example DB fell from around 32 to 30, […]
June 30. Just one hike…
–Even as the Euro rebounded to close up on the day at 112.41, from a low of 109.55, US stocks sold off. The curve bull flattened, with the ten year yield down 14.4 bps at 233, while 2’s fell 7.5 to 63.3 and 5’s down 13 to 162.3. There was a heavy buyer of 30k […]
June 28. Complacency meets reality
COMPLACENCY MEETS REALITY Themes Greece Plan B Bear Steepening last week, bull flattener this week? China cuts Employment data (payrolls this week, FOMC minutes next, HH July 15) Everything hinges on theme #1 —————————————————————————————————————————————– Week to week changes in selected prices: 6/19/2015 6/26/2015 chg UST 2Y 61.7 70.8 9.1 UST 5Y 157.4 175.3 17.9 […]
