Archive for the ‘Eurodollar Options’ Category
March 18. FOMC loses patience
–HARD flattener Tuesday in front of the FOMC announcement today. Red/gold eurodollar pack spread dropped a whopping 8.625 bps with Reds -1.625 and Golds +7. The lowest I have marked red/gold this year (on a rolling basis) is 105.25, in early January. This is the second lowest of the year at just 1 bp higher, […]
March 17. Green beer
–Quiet day Monday with underlying bid in treasuries despite stronger stocks. Crude oil is the big mover, down over $1/bbl late to 43.80, and off another 50 cents this morning. Ten year yield fell a couple of bps to 209.5. Trade in eurodollars was generally biased toward a less aggressive Fed, with some large midcurve […]
March 16. Ten year yields are comfortable between 2-2.25%
–Rates rose slightly Friday even as oil plunged over $2 bbl to 45, near the low of the move [new low last night into the 43 handle]. Ten year yield closed 211.7. Stocks also gave back a substantial portion of Thursday’s rally. And the euro traded below 105 as the Fed meeting this Wednesday centers […]
March 12. Honking the horn
–Eurodollars were mostly unchanged Wednesday, but treasury yields dipped, going into and coming out of the ten year auction. Ten year yield fell almost 2 bps to 211. –There’s a story in the FT noting that dollar strength is creating a dilemma for the Fed as it prepares to hike. The dollar index is going […]
March 11. EM weakness to forestall a June rate hike?
–Once again, yields are dropping as we go into the ten year note auction. Yesterday tens fell around 6.5 bps to 213 on the w/i. The curve flattened with red/gold eurodollar pack spread declining 4.375 bps to 127. Stocks, oil and the Euro were pounded yesterday (SPX -1.7% and CL down 134 late to 4866). […]
March 10. Monday’s bounce in stocks is over as the dollar soars
–Both bonds and stocks staged modest bounces from Friday’s sell off. However, the dollar index edged to a new high with the euro essentially unchanged on the day. Ten year yield eased 4 bps to 219.5. The curve flattened slightly with 2/10 down 1.5 bps to 150. Volume was quite light. –This morning the dollar has […]
March 9. Friday’s payroll data caused yields to move higher, but the overall theme is still one of restraint
–Friday’s employment data (NFP 295k, rate 5.5%) sparked a large sell off in interest rate futures. TYM5 closed down exactly 1 point at 126-020, and the current ten year jumped 12.9 bps in yield to 223.4. Nearly all euro$ calendar spreads made new highs, however there is still no one-year calendar spread that’s over 100 […]
March 6. Coincidence? Factory Orders down six months in a row, shortly after oil and EUR topped
–US interest rates edged slightly lower in front of today’s employment report. NFP expected 235k with a rate of 5.6%. Ten year yield yesterday fell 1.5 bps to 210.5. Green euro$ pack was the strongest part of the curve, +3.875. One year calendar spreads from greens back made new recent highs. –Factory orders came out […]
March 5. Oil and the US long bond
“The downward pressure on China’s economy is intensifying,” Li told around 3,000 delegates gathered at the Great Hall of the People to the west of Beijing’s Tiananmen Square. –It’s all about China today, as Li shaved the growth target to around 7% and signaled a wider budget deficit. In Yellen’s semi-annual testimony last month, China […]
March 4. US looks ok, but the rest of the world is giving off bad vibes
–Yields rose Tuesday (perhaps unsurprisingly as Activas sold $21b in bonds) with the ten year note up just over 4 bps to 212.1. Some of the near eurodollar calendar spreads edged to new highs, for example Dec’15/Dec’16 one-yr spread rose 2 bps to 90. –While the situation in the US reflects continued recovery (ignoring yesterday’s […]
