Archive for the ‘Eurodollar Options’ Category
Oct 12. Friday summary. Hi yield portends lower stocks.
–In spite of continued weakness in equity markets, interest rate futures were little changed. Five year yield fell 1 bp to 156. Tens were essentially unchanged at 230. In terms of the eurodollar curve, calendar spreads edged a bit lower. The near one-year calendars that had made new highs in early October (associated with the […]
Oct 12. High yield breakout
Top chart is a spread of hi yield index, (Barclay’s US Corp Hi Yld to Worst), vs 5 year treasury yield. This chart broke a long term trendline in the middle of the year and has been rallying ever since. Bottom chart shorts Hi Yield ETF, JNK, which made a new low today (Friday) on […]
Oct 10. “Everybody has a plan until they get punched in the mouth.” Mike Tyson
–Going into the Columbus Day weekend, equity market turmoil is becoming the dominant theme. Russell 2000 and German DAX have traced similar patterns, with small caps in the US leading the downside, and DAX having decisively cracked through several old lows around 9000 (now at 8825) to define a top. While HYG did not make […]
Oct 9. The Fed put. Preserve the “wealth effect” at all costs
–FOMC minutes sparked a huge burst of buy orders, without apparent concern for product code, as interest rate futures, stocks, gold and currencies surged. Green eurodollar pack was the star performer, up nearly 12 bps. 5 yr treasury yield fell about 9 bps to 155, and tens were down a couple as the curve steepened […]
Oct 8. I don’t want the cheese anymore, just help me get my head out of this trap
–Stocks tried to hold up but then broke down into the end of the day with major indices -1.5 to 1.7%. New low for the year in Russell 2000. Nov Crude fell 1.75 to 88.58, the lowest settle for the first position contract on the year (and it’s now down another $1, below 88). There […]
Oct 7. Long liquidation in red eurodollars over?
–Yields eased yesterday with US tens down 2 bps to 242. Red/green eurodollar pack spread made a new low of 93.25, also down 2 bps on the day. While some commentators continue to look for aggressive tightening, one-yr calendar spreads below 100 bps suggest differently. Interesting piece from JPM on ZH saying QE has made […]
Oct 5. Financial and physical transactions under a cloud
–Somewhat stronger non-farm payrolls than expected on Friday, with a rate of 5.9%, caused some selling pressure in shorter maturities. Peak one year eurodollar calendar shifted from EDZ15/Z16 to EDU15/U16, so one might conclude that the market is pushing the timing of rate hikes slightly forward. EDU15/16 closed at 113, a new high, +3.5 on […]
Oct 2. Of gods and central banks
–“And just like Hercules confronting the Hydra, it sometimes seems as though just as we defeat one challenge, such as the sovereign debt crisis, two new challenges spring up, such as low inflation and a weak recovery,” [Draghi] said. ECB meeting this morning, and I think Draghi could have cited a few more heads on […]
Oct 1. Start of Q4. Feeling confident and secure?
–In eurodollars, long liquidation related to Pimco continues. Associated with large sell orders yesterday, open interest in EDZ5 fell 63k, H6 -27k, H7 -32k. Total open interest in dollars was -124k. Because of this outright selling, some of the near one-yr calendar spreads made new highs, for example EDH5/EDH6 rose 2.5 to 105. Ordinarily […]
Sept 30. And that’s when I kicked his ass…
—Curve continues to bull flatten as near eurodollar contracts like EDZ15 see long liquidation, perhaps related to Pimco. Red pack to everything behind it made a new low. For example, red/gold pack spread dropped 4.5 bps to 176. Red/green pack spread fell almost 2 to close 97.5. Ten year yield fell over 4 bps to […]
In: Eurodollar Options
