Archive for the ‘Eurodollar Options’ Category
June 7. Weekly summation
WEEKLY COMMENT Themes: Employment/wage data improving, supporting the idea of somewhat higher inflation going forward. Lift off priced for September. Global bond yields breaking out to the upside; UST, bunds, jgb Change in stance from Fed and ECB on bouts of volatility Dollar strength v EM Greece Market panic in short rates? Week to week […]
June 4, 2015. Greenspan put RIP
–Rates continued their march higher, with tens up another 10 bps to 236 (239 this morning). Moves from Friday’s close have been eye-popping: US Tens up nearly 1/4% from 212 to 236. Bunds up a whopping 39 bps from 49 to 88 (and 99 this morning!). Same story in back month euro$’s, for example EDU8 […]
June 3. Beware the bond bear
–Bond markets were hammered yesterday as eurozone inflation increased more than expected with yoy Core CPI +0.9. US ten year yield jumped another 7.4 bps to 226.4. Curve was again steeper on the dollar curve, with red/gold euro$ pack spread up 7.375 to just under 145 bps. Heavy buying in EDZ6/EDZ7 one year spread, […]
June 2. Paper claims…wealth, until a spark starts a fire
–Rate futures came under heavy selling pressure Monday though volume was light. Active corporate issuance schedule combined with better than expected ISM was the main factor. Though Core PCE deflator was just +1.2% yoy, ISM prices were 49.5 vs expected 43. In addition Fischer’s speech about lessons learned in financial crises had this snippet, “…it […]
June 1. Black sea, black swan
–Friday’s revision of GDP to -0.7 wasn’t much of a surprise, and was actually slightly better than expected. However, Chicago PMI of just 46.2 was much lower than expected. Could it be that Illinois/Chicago fiscal troubles are beginning to take their toll? From BBG: “Chicago won a partial reprieve from its pension burden Sunday, as […]
BIG DIVERGENCE BETWEEN TRANSPORTS AND SPX
Some people are suggesting that today’s softness in stocks is a result of month end rebalancing. Transports seem to suggest something more. As one of my smart clients said “When one index related is going sideways, and the other is showing a clear direction, the one showing the clear direction is the true signal”
May 29. Sugar and oil
–Revision to Q1 GDP will be released this morning, expected -0.8 to -1.0. The latest Atlanta Fed GDP Now estimate for Q2 is +0.8. Looks like we’re running just about flat. –Japan unemployment is just 3.3%, a new pre-crisis low. Ten year JGB is 38 bps. How does that fit with the text books? –Trade in US rate futures remains quiet. Ten year yield fell from 213.7 to 213. The […]
May 25. We’re at the point of absurdity
–Interesting quote from Lawrence Lindsey at last week’s Peterson Econ Conference: “We’re at the point of absurdity. Maybe it made sense [ZIRP] when you had a crisis. It does not make sense now. At some point what is going to happen – and this gets to my eight or nine cataclysmic number [on a scale […]
May 22. I need more cowbell
–Ten year yield dropped 6.3 bps to 218.5 yesterday. Heavy new call buying with another 12k added to open interest in TYU 129c, now up to 70k (biggest strike). New buyer of 6k TYU 128.5/130.5 call spread and 20k TY5K (next Friday) 127.5/128.5 cs for 8. In dollars there was a new buyer of 80k […]
May 15. Mirror image
Nothing earth-shattering here, but chart below is Consumer Sentiment in white vs Crude Oil in red. Mirror image. So all the prognostications about how consumer sentiment levels relate to future consumption should probably be taken with a grain of salt. It’s all about how much it costs to fill up the Ford F-150.
