Archive for the ‘Eurodollar Options’ Category
May 4. Bearish sentiment shift in bonds/curve
–Friday capped a big week in interest rate markets, with the curve steepening to new recent highs and implied volatility surging. Almost all eurodollar calendar spreads made new highs. For example, the red/gold euro$ pack spread rose 4.375 Friday to 131.375, up nearly 12 bps from the previous Friday. 2/10 treasury spread ended the week […]
May 1. Raising cash
–Yields pushed a bit higher yesterday, led by the five year (+1.3 to 143.5) and green euro$ pack which fell 4.25 bps. There were some large trades which indicate a sentiment change regarding both interest rates and risk in general. And by risk, I am not specifically talking about ‘risk assets’ which might have a […]
April 30. BoJ downgrades outlook, Nikkei -2.7%. Can’t happen here?
–Well at least ONE of the Fed’s models seems to be working: Atlanta Fed’s GDP Now had a forecast of Q1 GDP of +0.1 and it actually came out at +0.2 (rather than the consensus expectation of 1.0%). As an aside, the Fed’s Econ Projection at the March FOMC for 2015 GDP growth is 2.3 […]
April 29. A steeper curve as the Fed whiffs?
–Though it was a light volume day, there were a couple of significant notes about yesterday’s session. The curve steepened. While 2/10 and 5/30 didn’t make new highs, they are at the tops of their respective ranges. The ten year note rose 5 bps to 197.4, in spite of a strong five year auction. New […]
April 28. Things rather than paper?
–Ten year yield was up less than 1 bp yesterday to 1.923, however, real yields as indicated by the 10 yr inflation indexed note continue to fall with a barely positive close of just 3 bps. The spread between the two (10yr -10yr tip) closed at the highest level of the year, 192, so inflation […]
April 27. Bad Durables data….still a transitory slowdown?
–Another in a string of disappointing economic releases Friday, Durable Goods. Year over year ex-transportation was -1.9%. That’s a bad number. And so…yields went down, led by the reds in eurodollars, (red pack +3.75 bps), and by the five year on the treasury curve, -3.3 bps to 1.322. The ten year note fell nearly 3 […]
April 23. Liquidity, or…more debt for old debt
-Yields rose yesterday as the ECB threw a lifeline to Greek banks with a 1.5b increase in the ELA, which stand for Emergency Liquidity Assistance. US ten year note moved in sympathy with bunds, threatening 2%; closed at 197.3, up 6 bps. The curve steepened with 2/10 posting a modest new high of 142.8 (+3.8) […]
April 20. Chicago baseball
–US stock averages pulled back between 1.2 and 1.6% on Friday. The curve ended a bit flatter on the day, with the ten year yield DOWN 3 bps to 184.5 and 2’s UP 2 bps to 50. So 2/10 was down 5 bps to 134.5 while red/gold pack spread fell over 3.5 to close just […]
April 17. Tapping Credit Lines??
“Data available for the first quarter of this year have been notably weak” Atlanta Fed’s Lockhart said yesterday. The Atlanta Fed’s GDP-Now model had an estimate of Q1 GDP at 2.3% in the middle of February, which was down to +0.3% just one month later and is now +0.1. That’s a remarkable slide. So the […]
April 16. Breakout in crude oil and CAD
–Yesterday crude oil closed at the highest level so far for 2015, over $56/bbl. The Canadian dollar has pretty much the same pattern and broke out of a long term base (in futures terms). USDCAD at 122.82…looks like it could easily visit 120. –US yields eased slightly lower with tens down 1/2 bp to 189.8 […]
