Archive for the ‘Eurodollar Options’ Category
July 26. Negotiations stall, leading to an economic disaster? Yup, that’s Chicago…
–Yields closed the day a bit higher with tens up 2 bps to 239, even as Greek and Chicago Teacher’s Union talks stalled. Twin economic disasters, but I’d rather negotiate with the Greeks. Perhaps more importantly, US equities are starting to slip. Though there was a lot of coverage given to the surge in healthcare […]
June 23. Copper and the curve
–The euro is down 116 this morning to 1.1234 as the realization sinks in that europe is stuck with Greece. Monday’s trade was mostly related to an unwind of positions associated with the possibility of a Greek accident. 2/10 spread jumped a whopping 5.7 bps as tens completely erased Friday’s move, rising 9.3 bps to 235.8, […]
June 21. Kruger Industrial Smoothing
KRUGER INDUSTRIAL SMOOTHING Themes 1) Fed’s fear of commitment 2) Greece 3) Eurostox/VIX, Global stocks 4) Bond Street Week to week changes on selected prices: 6/12/2015 6/19/2015 chg UST 2Y 72.2 61.7 -10.5 UST 5Y 173.3 157.4 -15.9 UST 10Y 238.5 226.5 -12.0 UST 30Y 309.5 305.7 -3.8 GERM 2Y -18.4 -20.4 -2.0 GERM […]
June 18. Fed aftermath
–It was fairly uneventful going into the Fed meeting, though the long end of the treasury curve traded on the weak side. As it turned out the Fed was relatively dovish. Both TYU and USU had outside days, but the tens closed higher on the day and bonds lower. According to the marks at floor […]
June 17. FOMC meeting and a few notes on start-up tech companies
–Fed meeting this afternoon with its Summary of Economic Projections. Almost certainly the dots will move slightly lower and the 2015 economic growth forecast will be trimmed as well. Yields yesterday drifted lower, with tens down another 4.5 bps to 231.3. 2/10 flattened by 3.2 to 162.8. –At the last SEP, the difference between the […]
June 16. Heavy put selling (liquidation) in US tens
–Yields declined and stocks fell as the situation in Greece doesn’t appear any closer to resolution. Additionally, economic data released Monday was soft, with Industrial Production -0.2 vs expected +0.2 and Empire State survey at -2 vs expected +6. The ten year yield dropped 2.7 bps to 235.8. Green and blue eurodollar packs closed +3.5 […]
June 14. Marking time to the FOMC
Themes US Treasuries hit important levels and hold Continued improvement in labor Flow of funds Z.1 report; strong corporate debt growth FOMC projections and dots —————————————- Week to week changes on selected prices: 6/5/2015 6/12/2015 chg UST 2Y 71.7 72.2 0.5 UST 5Y 173.7 173.3 -0.4 UST 10Y 240.0 238.5 -1.5 UST 30Y 311.1 309.5 […]
June 11. Red/gold euro$ pack spread points to a steeper curve
Above is red/gold euro$ pack spread, which closed at a new recent high of 159. (reds -3.25, golds -8.375). As you can see, the high in the beginning of 2014 was 305.75 (when the ten year treasury yield hit 303), and the […]
June 10. Yield reflation
–Tens again closed lower on the day, at a new high of 241.7, up 3.5 on the day, and pushed as high as 243 shortly after the close of the floor. This morning the sell off has continued as bunds traded above 1% and US tens (247 as of this writing) are flirting with the […]
June 8. Strong Consumer Credit report Friday afternoon
–Consumer credit was up another $20.6 billion in April (data released Friday), but the interesting part is the surge in revolving credit which had been sluggish…it was up at a rate of 11.6%. (Doesn’t really square with the weak retails sales report that came out in April, but perhaps Thursday’s report will be a […]
