Archive for the ‘Eurodollar Options’ Category
March 31. Japanese year end. JGB yield bottoming? 5/30 in US bottoming?
Not sure if this chart has much value…just that both JGB’s and 5/30 in the US appear to be putting in base patterns. 5/30 especially, looks sort of like the bottom JPY made in late in 2011. Of course, there was more than one false start for the yen, and the catalyst of central bank […]
March 30. Ending the quarter with diminished tightening expectations
–Ten year treasury yield fell 6.4 bps Friday to 194.6, reversing a large part of Thursday’s jump to over 2%. Not much change in the curve, as reds, greens, blues and golds (eurodollars) were all up between 6 and 7 bps. EDM’15/EDU’15 (Front June/Sept) euro$ spread posted a new recent low of just 15.5 bps […]
March 27. Risk reduction Friday
–Ten year yield jumped 9.4 bps to 201.0. Curve steepened with 2/10 up 7 to 139.2. Red/gold pack spread also up just over 7 bps to 113.37 with reds -4.0 and golds -11.125. On relatively light volume the weakness in the back end of the curve was somewhat surprising. There was decent early selling in […]
March 26. Mideast hostilities help oil, hurt stocks
–Saudis launch airstrikes in Yemen. Hostilities in the Middle East. Who could have seen that coming? –May Crude surged over $52 and is now holding over 51, up more than $2. US equity markets are bleeding, with Nasdaq through the mid-March low and ESM testing those lows, however, crude oil has NOT yet neared its […]
March 25. Real time pricing
http://www.pricestats.com/us-series –A WSJ front page clip says ‘Inflation Pickup, New Home Sales point to firming economy’. If the market has the same interpretation, then why did all eurodollar calendar spreads again make new lows, and why did the ten year note yield fall another 4.3 bps to 187.3? I think what more appropriately captures market […]
March 24. Curve grinds lower in a world of financial instability
–Another day, another move to new lows in eurodollar calendar spreads. For example, red/green pack spread (2nd to 3rd year) fell 2.375 bps to a new low of just under 52. Red/gold (2nd to 5th) was down over 2 bps to a new low of 105.5. These are both new lows for 2015. 2/10 treasury […]
March 23. “How did you go bankrupt?” Two ways. Gradually, then suddenly.”
–Having absorbed the heavy selling in the front end Thursday, interest rate futures resumed their rally Friday. Ten year note yield fell further below 2%, falling 4.5 bps to 193. The peak one-year eurodollar spread, Sept’15 to Sept’16, fell 4 bps to a new low of 76.5, having settled as high as 95 on the […]
March 20. “To the celestial and my soul’s idol, the most beautified Ophelia”
Which means that the people who own the pork belly contracts are saying, “Hey, we’re losing all our damn money, and Christmas is around the corner, and I ain’t gonna have no money to buy my son the G.I. Joe with the kung-fu grip! And my wife ain’t gonna f… my wife ain’t gonna make […]
March 19. Pointing out the obvious?
Below is a chart of 5/10 treasury yield spread (white line) with the Fed Fund target rate (orange stair-step). As you can see, the 5/10 flattened hard during the 2004 hiking cycle, as the Fed Funds went from 1% to 5.25%. Then of course, the curve steepened in 2007 as the Fed eased (yields in […]
March 19. The Fed cuts rates
–The Fed followed the Riksbank’s lead and eased yesterday, sending the ten year yield plunging 13 bps and the 2 yr note down 12 [2pm mark in tens was 194.2, down 11.6]. Stocks ripped higher and the euro had a five handle run, trading above 110 having started the week flirting with 105. One year […]
