Archive for the ‘Eurodollar Options’ Category
Dec 17. FOMC announcement and press conference today
–Once again yields fell in the US with tens ending -4.5 bps to 207, and the 30 yr bond down just over 4 bps to 270. Extraordinary volatility in several markets as the ruble plunged and crude oil continued lower. However, treasury implied vol marked the high of the day early in the morning and […]
Dec 16. Russia hikes rates by 6.5%. US might, just might, go 0.25% next year
–It’s sort of amazing that US traders are wringing their hands over whether or not the Fed removes “considerable time” from its statement tomorrow, leading to a possible 1/4% rate hike SOMETIME NEXT YEAR, while Russia raised its rate from 10.5 to 17.0 late yesterday to stop the ruble’s decline. (It didn’t). Indonesia intervened to […]
Dec 14, 2014. Sliding into year end
What a mess this town’s in tatters I’ve been shattered My brain’s been battered, splattered all over Manhattan Uh-huh, this town’s full of money grabbers — Rolling Stones The theme now has become higher quality credits vs lower quality, and uneasiness with the latter is becoming pervasive. One look at the treasury market reflects demand […]
Dec 12. It’s all about oil…
–Robust retail sales data caused an early pullback in interest rate futures, but the continued sell off in oil erased those losses in the long end of the curve, with weakness concentrated in the belly. Green eurodollar pack was the underperformer, closing -5.0 bps on the day, while the 30 year bond yield was actually […]
Dec 11. US rates and curve probe lower as oil plunges
–ECB’s LTRO today, with Reuters expecting a take up of about €130 billion. It just doesn’t seem like that much as compared the last QE program by the Fed, which was $80b per month. EUR is pretty much unchanged from late yesterday, but might be trying to put in a bottom as the ECB appears […]
Dec 10. Long liquidation of front euro$ contracts; curve flatter in front of ten year auction
–US treasury auctions 10’s today and 30 yr bonds tomorrow, yet yields continue to press lower and the back end of the curve flattens. Ten year w/i fell 4 bps to 222.5. Red to green dollar pack spread closed at a new low just under 84 bps. There was huge selling volume in EDH5 […]
Dec 7. Curve has flattened all year, will it change by Dec 31?
–Friday’s strong employment report sent the two year note yield to the highest level of the year at 64 bps, the highest since early 2011. While 2’s and 5’s both jumped about 10 bps, the 30 year bond was up only one bp to 296.5 and tens only 5 bps to 230.2. The curve flattened […]
Dec 5. Unemployment report; curve edges to new low in front
–Employment report today with NFP expected around 225k with rate of 5.8%. Crude oil is lower this morning by 40 cents (66.39) and is nearing the lowest settlement of the move down, which was just above 66.00. –The curve flattened to new recent lows going into the close, with 5/30 edging to 137 and red/gold […]
Dec 4. ECB today
–Ten year yield was unchanged yesterday, 30 yr bond fell 2 bps to just under 3%, 2.982. –As Dudley and Fischer hint at normalization, perceptions have once again shifted forward somewhat for the idea of rates hikes beginning earlier in 2015. There was quite a bit of put buying in June15 euro$ puts, for example, […]
Dec 3. Junk Bond etf vs front month Crude Oil future
Red line is front month Crude Oil contract. White bar chart is JNK…junk bond ETF. Looks as if lower oil prices are associated with deterioration in bonds… as Goldman noted the other day, “The Energy sector accounts for roughly one-third of S&P 500 capex and nearly 25% of combined capex and R&D spending,”. I don’t […]
