Archive for the ‘Eurodollar Options’ Category
Dec 3. Dollar continues to strenghten, pressure on Thursday’s ECB meeting for QE
–US yields rose yesterday with tens up 6.5 bps to 228.2 and 30-yr rising to just over 3%. Slight steepening of dollar curve with red/gold pack spread up 2.25 to 174. Stocks rebounded yesterday, though negative divergences are still evident, for example the Emerging Mkt ETF (EEM) closed lower on the day. –Eurozone composite Purchasing […]
Dec 1. The deflation cloud darkens
When black Friday comes, I’ll stand down by the door And catch the gray men when they dive from the fourteenth floor– Steely Dan Dec 1. It was a black Friday for black gold as oil plunged after Thursday’s OPEC decision not to cut production ($74 bbl to $64 at the low, in two days). […]
Nov 27/28. Oil crashing.
–Significant new lows in Crude Oil in front of OPEC decision with CLF now 72.22 (Thursday morning). On Wednesday, interest rate futures pressed to new highs and are firmer today. 2/10 treasury spread fell another 2.5 bps to 172. Ten year yield eased 3 to 223.2. Nearly all eurodollar calendar spreads made new lows, with […]
Nov 26. Happy Thanksgiving
Old Turkey would cock his head to one side, contemplate his fellow customer with a fatherly smile, and finally he would say very impressively, “You know, it’s a bull market!” –Reminiscences of a Stock Operator –Interest rate futures continue to form a rounded bottom following mid October’s upside spike. Yesterday’s close was the highest of […]
Nov 25. While implied vols ease in interest rates, more warnings about high yield are issued
–Oil retreated from early strength and was down 90 cents late to 75.61 (CLF5). OPEC meeting at the end of the week with the question of agreement on production cuts still up in the air. –Interest rate futures started lower, but firmed during the day, notably after the strong two year auction. Ten year yield […]
Nov 23. Tight ranges in fixed income, but curve appears ready to flatten further
–Groundhog day. For the past three Fridays the settlements in TYZ have been 126-21, 126-22 and 126-22. The last two Sunday evenings marked highs for the week, 127-005 on Nov 9 and 127-00 on Nov 16. I am sending this out on Sunday Nov 23, half an hour prior to the open, and my guess […]
Nov 20. Fed minutes passingly reference overseas risks; Eurozone and China PMI’s underscore the danger
–Yesterday’s FOMC minutes were pretty much of a non-event. TYZ was trading 126-125 just prior to release, and, after a brief swing up and down, settled there. Yields were slightly higher on the day with the ten year up 2.5 to 234.9. Once again, ten year note to tip spread, an inflation indicator, made a […]
Nov 19. Yen making new lows. Fed minutes today
–A few quick thoughts this morning. First there are a lot of odd changes in open interest, especially in ten year options, will summarize below. There was a big jump in Feb treasury option trading yesterday, notably a new scaled buyer of 10-12k TYG 126.5 straddle from 207 down to 204. Feb options expire Jan […]
Nov 18. Inflation measures are low, but high yield spreads may start to expand
–Light volume Monday which featured a steepening curve. Red/gold pack spread rose nearly 5 bps to 180.5. Ten year yield was up 2 to 233.6. Two year yield was lower by 1/2 bp. — Gold is a star performer this morning up nearly $20 and over $1200, EUR has also rebounded to above 125, and […]
Nov 17. If things are great then why is the treasury curve flattening?
–Japan again in recession as GDP falls 1.6% with the Nikkei falling 3% and the possibility of snap elections. Japan equity weakness has spilled over into other markets, with SP’s lower and treasuries higher. However, there seems to be some “sell the fact” profit taking in $/yen near 117… now 116.26. –Yields fell Friday with […]
