Archive for the ‘Eurodollar Options’ Category
March 3. Yields jump Monday as Friday’s payroll data looms
–Yields jumped yesterday with tens up 8 bps to 208 (the high from the middle of last month was 214). Stocks made a new high as did the dollar index. The peak one-year euro$ calendar spread, Sept’15 to Sept’16 rose 4.5 bps to 91, still below last month’s high of 92.5. Interestingly, open interest in […]
March 2. Corporate buybacks funded with debt boost stocks, but increase risk
–Yields eased Friday with tens down 1.7 bps to close at exactly 200 bps at the futures settlement. Back month eurodollars were up 3-3.5 bps. Somewhat interesting to note that USDCNY had made a new high Friday over 6.27, and on Saturday the PBoC cut rates for the second time in three months, (not that […]
Feb 27. Dudley and Fischer today
–The voices on the Fed that really matter are Yellen, Dudley and Fischer. Yellen testified this week, now Dudley and Fischer can provide fine tuning. –Treasuries opened higher Thursday, but had an outside day and closed near the lows as the week’s treasury auctions ended with a tepid 7 yr. Though price action was bearish, […]
Feb 26. The tree of the FF target vs the forest of global bond buying
(Reuters) – German seven-year bond yields fell below zero for the first time ever on Thursday, as investors positioned themselves for an extended era of cheap money ahead of the European Central Bank’s looming bond-buying scheme. Bloomberg reports that Portugal’s tens are below 2%. –In the US, the ten year yield fell again yesterday by […]
Feb 25. Fed rate hikes? Not so fast…
–“Yellen puts Fed on path to lift rates” is a headline from today’s WSJ. Ordinarily, one might think that yields would have risen given that ‘news’ in the wake of Yellen’s semi-annual testimony before the Senate. However, yields dropped, with the ten year note now back below 2%, at 198.8 late yesterday, down 6.6 bps. […]
Feb 24. Yellen in front of Senate banking Committee
–The curve flattened Monday with tens down over 7 bps to 265. Red/gold euro$ pack spread fell 4.875 bps to just over 125, with reds +4.25 and golds outperforming +9.125. Treasury implieds were little changed in front of Yellen’s testimony today, although there continues to be call accumulation, moving down a strike to TYM 129.5c […]
Feb 23. Yellen tomorrow. Bonds trade long and heavy.
–The early part of Friday’s trade saw buying of US treasuries and calls as a deal with Greece looked shaky. Ultimately of course, an agreement was struck for a four month bailout extension, and the TY April 130 call buyer reversed course. Ten year yields rose just over 1 bp to 212.5. Eurodollar calendar spreads […]
Feb 20. Markets position for today’s Greek/German negotiation and next week’s testimony by Yellen
–The standoff between Greece and Germany continues today with a meeting at 9 EST (that will probably lead to an extension into next week). The dollar was generally firmer yesterday, EM currencies are still under pressure, with Brazil for example, nearing a new low. –In US rates yesterday, implied vol continued to press higher. Buyer […]
Feb 19. Is the Fed afraid of losing ‘control’ ?
–Wednesday began with a test of the 217 yield, the 38% retracement of the move from the end of 2013 to January of 2015, from 303 to 164. There were technical bids at that level that held. The day was fairly quiet going into the FOMC minutes, but the headline blaring “Many Fed officials inclined […]
Feb 18. US Yields SURGE! Big Trouble in Little China
First, here’s a link to my favorite compilation of economic charts from Business Insider: http://www.businessinsider.com/bi-most-important-charts-in-the-world-2015-2# Interesting themes are: the onset of US wage increases, budding growth in the EU, problems in CHINA –Yesterday yields exploded higher, with tens up 12.6 bps (from Friday) to 214.3. The 38% retracement from the high of 303 at the […]
