Archive for the ‘Eurodollar Options’ Category
Jan 5, 2015. NEW LOWS in the curve
5/10 is on more aggressive flattening path than in 2004…WHEN THE FED WAS ACTUALLY TIGHTENING…from 1% to 5.25%, July 2004 to June 2006. Without an ACTUAL change in rates, the market is perceiving a TIGHT Fed. Current 5/10 year treasury yield spread is 46.6. Low in 2006 as Fed was in latter stages of hiking […]
Jan 4. Longer term thoughts health care and demographics
Some longer term thoughts on the US economy: 1) In 2013 US health care spending increased 3.6% to reach $2.9 trillion, or $9,255 per person, the fifth consecutive year of slow growth in the range of 3.6 percent and 4.1 percent. The share of the economy devoted to health spending has remained at 17.4 percent […]
Jan 4. Continuing new lows: EUR, Oil, Eurodollar curve
–Friday’s price action featured new lows in crude oil, euro, the US curve, German yields (where the 5 yr fell to a negative yield). On the eurodollar curve, red/gold pack spread fell 3.625 to just over 120 bps, as golds finished up almost 6 bps. Red/green euro$ pack spread fell to 67.75. New lows continuing […]
Jan 2, 2015. Euro starting the year at a new low
–Euro at a new low this morning (120.50) as Draghi said there is increasing risk of the ECB not meeting its price mandate. Additionally, PMI data was weaker than expected in the EU, with France and Italy below 50. France was 47.5 vs expected 47.9 and Italy 48.4 vs 49.6. The FT ran a piece […]
Dec 30. The yield curve indicated high hopes for the start of the year, but ended at its flattest…just like the Chicago Bears
–Some powerful trends continued into the end of the year. The dollar index made a new high yesterday as problems in Greece caused the euro to make a new low, now near 121.50 and nearing a low from late 2012. Crude oil plunged over $1 yesterday and is now nearing 53, the lowest level since […]
Dec 24. Merry Christmas
–Yields jumped yesterday and the curve steepened, with tens rising 9.5 bps to 225.7 while the new two year note was only up 2.5 to 73. Red/gold pack rose just over 5 bps to 129. Near one-year eurodollar calendar spreads are now above 100 bps, with the peak, Sept’15 to Sept’16 at 106.5. However, more […]
Dec 19. Sorry…it’s another post about BUYING CURVE
–Explosive stock rally yesterday, even as oil had a late plunge (Saudi’s “Naimi says global economy slowdown largely behind market problem”). Euro also continues to test new lows. –Yields rose in the face of equity strength, with tens up 8 bps to just under 221. Implied vol in interest rate options has been crushed since […]
Dec 18. Indications that curve flattening has run its course?
Below is 5/10 yield spread. Currently 54 bps. From the low in 2000 (-37.5 bps) to the high in 2011 (144 bps), the 50% retrace is 53 bps. We’re there. From the low in 2006 (- 5bps) to the high in 2011 (144 bps), the 61.8 retrace is 52 bps. Upward sloping line off those […]
Dec 18. Crude oil priced in gold
This one is just sort of interesting because it shows that oil priced in gold is much closer to the crisis low in 2009, than is currently reflected by the price in dollars. Top chart is oil priced in gold, lower chart is oil priced in dollars AM
In: Eurodollar Options
Dec 18. Fed signals slow and steady policy of accommodation removal
–Yields rose Wednesday as the Fed signaled rate increases starting in the latter half of 2015. Belly was weakest, with 5’s up 6.6 bps to 159 and the green euro$ pack -8.375. 5/30 treasury spread notched a new low just under 115. Powerful rallies in high yield debt and small cap stocks. The idea that […]
