Archive for the ‘Eurodollar Options’ Category
Oct 28. Oxi day
–High gamma straddles hit as ECB stress test results lacked drama. TYZ 127 straddle settled 1’40 on Friday and 1’31 yesterday. USZ 142 straddle from 2’60 to 2’42. Green Nov 9825^ from 22.0 to 20.0. However longer dated midcurve straddles maintained a bid. For example there was a new buyer of 2k Green Sept 9775 […]
Oct 27. ECB stress tests over, Fed to announce culmination of taper. It’s all ok now
–Fairly quiet Friday, though implied vol was better bid in front of the weekend’s ECB stress test results. For example, Short (red) March 9900 straddle was sold down to 33 early in the week, but settled 34.5 Friday. Actual stress test results came out Sunday as advertised in leaks through the week, with 25 banks […]
Oct 23. Lesson for the day: Deliverable futures contracts are subject to supplies of the underlying
–Ten year treasury yield rose 2.5 bps to 223. Green and blue eurodollar packs both ended down 3 bps. Premium was under pressure for most of the day in interest rates. TYZ 127.5 straddle went from 145 at the open to 141 settle. –News today includes Job Claims expected 285k. Chgo Fed Nat’l Activity Index, […]
Oct 22. Earnings? Or the prospect of central bank support?
–There is a report this morning that 11 banks are about to fail ECB stress tests: http://www.businessinsider.com/report-11-banks-are-about-to-fail-europes-biggest-ever-stress-tests-2014-10#ixzz3GrdeGHhQ Euro has weakened on this news, and stocks pulled back after yesterday’s scorching rally (Nasdaq gained 105.5, nearly 2.5% while SPX was up 2%). –Ten year treasury yield rose 2.5 bps yesterday to 220.5. Front end of the […]
Oct 21. If stocks continue to rebound, then 5/30 should steepen
–Yesterday’s trade continued a reversion to “normalcy” after last week’s carnage. Stocks continued to rebound after early weakness related to IBM results. Implied vol was lower in interest rates, with TYZ 128 straddle back down to 1’44, around the same absolute level as before the fireworks. For example, on Friday Oct 10, the Dec atm […]
Oct 20, 2014. Negative rates cause economic paralysis, the opposite of stimulus
–Markets have generally settled in for a pause after last week’s wild moves. Implied vol has been coming down since late Wednesday’s spike. Ten year atm straddle (127.5) settled 1’53 Friday; the 129 strike traded as high as 2’49 when it was briefly the atm strike on Wed. Ten year yield rose about 5 bps […]
Oct 17. The initial puke has run its course
–The last two days were a convulsing puke, with stocks and oil spiking lower and fixed income exploding higher, symptomatic of a violent change in perceived forward economic outcomes. European peripheral yields have surged, with Greece now around 9%, having just climbed to 7% yesterday. Japan’s Nikkei has plunged over 11% since the end of […]
Oct 16. Not working anything “with a tick” today !
–Well the Fed’s portfolio is doing pretty nicely. So there’s that. –It was a historic day yesterday where markets became unhinged on record volume. Ten year yield spiked to 1.85 before coming back late in the day to 2.13, and is just above 2% at this writing. Fives ended the day down 11 bps at […]
Oct 15, 2014. C’mon Kryptonite!
–The slide in oil continues this morning, with CL nearing $80/bbl, down over 6% since Monday’s close near $86. From BBG: “Brent traded at $83.98 a barrel in London. Contract prices on the fuel fell 26 percent from June 19 through yesterday.” I think there should be strong support at these levels, but this move […]
Oct 14, 2014. And….it’s gone
–From The Center for Infectious Disease Research and Policy, “We believe there is scientific evidence ebola has the potential to be airborne.” http://www.americanthinker.com/blog/2014/10/experts_defy_the_cdc_on_ebola.html –If that’s true, it changes everything. Gonna be a lot of people inside watching reruns of the Andy Griffith show and eating cheetos (not just me) rather than going out. Could be […]
