Archive for the ‘Eurodollar Options’ Category
Feb 16. Bonds ‘smarter’ than stocks?
–Yields edged higher Friday, with the ten year note closing over 2% at 2.017, up 3.7 bps on the day. Large trades on the day were a seller of about 70k EDM5/EDU5 calendar spreads from 19.5 to 18.5 (settled 19) and a buyer of 60k 0EM 9862/9837p 1×2 for 1.0 bp, (settled 0.75). The […]
Feb 10. China’s debt and deflation and the US bond contract
–Interest rate futures continue to trade under pressure in follow through from Friday’s jobs data. Today we get NFIB (small business optimism, which has been steadily rising), expected 101 from 100.4. Also JOLTS data which could show more strength in the labor markets. –Implied vol was generally bid as futures moved lower. Large buyer of […]
Feb 9. “Hey, are you guys playing cards?”
–Unambiguously strong employment data caused yields to jump Friday, with tens up 12.6 bps to 194. Belly was weakest with fives up 16.8 bps to 146.5 and the green euro$ pack down over 21 bps. The peak one-year euro$ calendar moved forward to June’15/June’16 at 85.5 bps, up 14 bps on the day. Still well […]
January 31. New lows in yields but implied vol tame.
–Friday featured new lows in yields, with tens down 8.2 bps to 167.3, having tested the low yield level from 2013, at 163. 30 year bond also hit a record low yield just below 225. Many yield curve spreads made new lows, for example 2/10 closed 120.4 (vs 128.5 the previous Friday). The peak one-yr […]
Jan 29. FOMC aftermath. Oil price drop may be “transitory” but strength in the dollar isn’t
–Yields plunged after yesterday’s FOMC announcement with tens down over 10 bps to 172.2. 2/10 treasury spread made a new low of 122, down over 6 bps. Red/green euro$ pack spread fell 4 to just 55.75, another new low. The peak one-yr euro$ calendar spread is still EDU15/EDU16, but it has fallen to 75.5, down […]
Jan 27. “…survey-based measures of longer-term inflation expectations have remained stable”?
–Shorter maturities led US interest rate futures marginally lower yesterday. Ten year note yield was up 1.3 to 182.3, red eurodollar pack was -2.625. 2 and 5 year note auctions were re-scheduled to Wednesday and Thursday. Market action suggests sporadic profit taking; bonds trade a bit long as the Greek election passed and associated price […]
Jan 26. Deflation pressure only intensifying
–After initial spikes related to Syriza’s victory in the Greek elections, markets have pretty much reverted to previous levels. Euro went as low as 111.02 now 112.50. ESH to 2025, now 2038. TYH to 130-06 and now 129-24. However, in what is perhaps a more significant move, the Chinese yuan is weakening, now 6.2556, nearing […]
Jan 23. FX adjustments continue; look for DXY 95.86
–The big move yesterday related to the ECB meeting was, of course, in the currency, where the euro fell from 116 to a low of 113.16 vs USD, and this morning at 112.40, while EURJPY was down 240 to 134.56, just barely holding the spike low from Oct 16 at 134.14…and this morning well through […]
Jan 21. The IBM financial model for Central Banks….
Note: changes referenced are Friday to Tuesday close. Curve flattened as the ten year yield edged down 1 bp to 180, and 30 yr bond fell 4.4 bps to 239.3. 2/10 treasury spread made a new low just below 132 bps. 5/30 fell 5 bps to 110.5 (down to 109 after floor close) but is […]
Jan 18. Strong bid in UST implied vol. Japan’s free ride is coming to an end.
–The new year’s bond rally finally sputtered, with the ten year note yield rising 3.6 bps to just over 181. In TYH, 13 of the past 14 sessions prior to Friday had a higher close (since late December), making a pullback overdue. In spite of the price correction, implied vol in treasuries remains extremely well […]
