Archive for the ‘Eurodollar Options’ Category
Nov 14. Oil plunges. Yields edge lower in spite of firm equities.
–Yields eased yesterday as oil plunged $2/bbl. Certainly the dropping price of energy is good for the consumer, but DB notes a more insidious aspect on junk bond default rates if oil price weakness persists. However, junk spreads are quite stable since the October scare. –Ten year yield fell nearly 2 bps to 234.5 as […]
Nov 12. Markets are circling central banks like a pack of hyenas
–Slow day Tuesday as it was a US bank holiday. Yields edged slightly higher…eurodollars were down 1-1.5 bps across the strip. Most notable was early weakness in yen as $/yen surpassed 116 early. However, the dollar weakened as the day went on. EUR/JPY closed over 144, a new high. –This morning however, we are seeing […]
Abe postpones sales tax; JGB yield poised to jump
Below is chart of $/yen (orange line) and JGB yield (white). Also included is NKY (Nikkei in green) although it trades very closely with the currency. Today it was announced Abe is considering delaying implementation of the sales tax, causing $/yen to trade above 116. In late 2012, the yen started to depreciate in earnest […]
Nov 11. Another October 15 day possible going into year-end? YES
–New high in $/yen this morning over 116.00 as Abe might delay implementation of a sales tax increase. Early yesterday it was trading 114.30 and the dollar appeared to have finally run out of steam. However, dollar strength has reasserted itself, with the euro now pressing near 124. Crude oil was up $1 yesterday morning, […]
Nov 10. Friday’s payroll data stopped the move toward higher rates
–Friday’s disappointing wage growth and lower than expected non-farm payroll data caused a trend reversal in treasuries, as all futures contracts had an outside day and settled on the high, having been under moderate selling pressure for the past few weeks. Gold also arrested its drop with a new low, outside day, and higher close. […]
Nov 7. Ruble plunges. US awaits Payroll report
–Today brings the employment report, with NFP estimated 235-250k at 5.9%. Yields continued to grind higher across the curve, with tens up 2.5 to 237.7. Treasuries trade weak going into the data, at the low end of the recent range, indicating the chance of a stronger than expected release, with some estimates of 300k. However, […]
Nov 4. Election day and instability
–Yields in the US edged slightly higher yesterday as ISM was stronger than expected at 59.0. Tens were up 1.4 bps to 234.5. Curve was slightly flatter with 5/30 at 143.7. Red/gold euro$ pack spread fell 1.875 to 180.5 as the gold pack settled unchanged on the day. –The big story of course, is not […]
Oct 31. BoJ gives dollar bulls a surprise treat
–The BoJ gave dollar bulls a treat with massive expansion of QE, sending dollar/yen above 111 (from 108 yesterday) and lifting the Nikkei nearly 5%. Japan’s gov’t pension fund has also decided to increase its allocation into stocks. Gold is down another $25, oil down $0.60 and S&Ps have soared to a new high above […]
Oct 30. Aftermath of FOMC hawkish tilt. Stronger dollar. Lower stocks?
–Back in the old days of telephones and trading floors there were some amusing stories regarding trading errors. The floors were pretty loud back then, and international phone connections sometimes weren’t that clear. In any case, a clerk in the S&P’s gets a call from his Chinese customer in a busy, rallying market and gets […]
Oct 29. Of QE and burn rates
–FOMC announcement this afternoon. First, a couple of notes about yesterday’s action. Back end of the dollar curve was relatively weak, with red/gold pack spread posting a new recent high of just under 188 bps, +2.375 on the day. Ten year yield rose 3 bps to 228.5. For the three months prior to October, tens […]
