Archive for the ‘Eurodollar Options’ Category
May 15. Every day I have the blues. BB King
–Quiet session Thursday with another data miss as PPI was expected +0.2 and actually came in at -0.4, with yoy Core PPI at just 0.8%. However, Jobless Claims were only 264k, near the lowest levels since the early 1970’s according to my BBG. I can’t even believe it tracks back that far… –Yields declined on […]
May 14. Dancing with the bond bear
–In spite of a mediocre employment report Friday, soft retail sales data yesterday, and solid demand for the US ten year auction, bonds continue to move lower. Bonds trade bearishly, not because of impending Fed hikes, but because the Fed is data dependent and the data is soft and the Fed may delay tightening. Stagflation. […]
May 13. 50% retrace levels in tens and bonds (yields) hold, for now
–Tuesday started with bond weakness across the globe, but as both tens and 30’s hit (and slightly surpassed) 50% retracement levels from the high yields of 2014 to the lows this year, the market found support and bounced. 50% levels are 233.5 in tens and 309.5 in bonds. (Tens ended at 225.8). Implied vol opened […]
May 12. WARNING. Faith in central banks beginning to crumble
–I guess the guy who paid a record price for Picasso’s “Les Femmes d’Alger”had to liquidate the bond portfolio to pay for it, sending global bond markets into a tailspin. The thirty year bond yield surged 13 bps to close over 3% (302.4). The ten year yield also jumped 11.5 to 226, taking out the […]
May 11. Fed to tighten this year? Dunno
–The employment report was disappointing to bond bears, with nonfarm payrolls up 223k and average hourly earnings only +0.1%. Though the data wasn’t far from published expectations, the market was obviously leaning short and there was immediate short covering. Yields were lower across the board with tens dropping 3 bps to 214.4. Open interest in […]
May 8. Selling exhaustion Thursday; payrolls today
–After the rate surge early yesterday morning, the rest of the day was mostly about squaring positions. Call it selling exhaustion in rate futures. For example, the bond contract had an outside day reversal, lower low for the move, higher high than previous day and higher close. Blue eurodollars had a range of 15 bps […]
May 7. US bonds and stocks lower this morning…
From a Reuters article: “I would highlight that equity market valuations at this point generally are quite high,” Yellen said. “There are potential dangers there.” “We’ve also seen the compression of spreads on high-yield debt, which certainly looks like a reach for yield type of behavior,” Yellen said. From another Reuters piece this morning: The […]
RELATIVE BOND MOVES…
hTOP CHART is USZ 1987 contract. The sell off started in March 1987, and went over 20 points (from just below PAR to around 77)…until the October 1987 STOCK CRASH! Of course, the contract at that time had an 8% coupon. The YIELD move during that time went from 7.5% in March 1987 to just […]
May 6. Bonds still heavy
–US rates continued to rise yesterday with the ten year yield up 4 bps to 217.3, having reached around 220 during the day. While that’s still below the high of the year set on the March employment release of 224, the long bond made a new high for the year at 290.5. Many eurodollar calendar […]
May 5. 30 yr bond yield breaking out
–It wasn’t a particularly busy day Monday, but the US 30 year bond took its cue from the sell off in the German bund, and closed at the highest yield of the year, 287. The previous high of 284 was made on the employment release in March. (Same relative levels in the ten year are […]
