Archive for the ‘Eurodollar Options’ Category
Indications of inflation are slipping away as the Fed nears the end of the taper
“In the next few meetings, we could take a step down in our pace of purchase,” Bernanke said in a question-and-answer session with the Joint Economic Committee….on May 22, 2013. On the charts below, May 22, 2013 is circled. Just comparing the level on that day with current levels, as tapering nears its end. The […]
In: Eurodollar Options
Sept 29. Things are getting shaky as we move into the fall
–Friday features were straddle buying and weakness in the red pack eurodollars, which closed -5.875 (hardest hit on the curve). The theme was either position adjustment by Pimco, or others trying to front run expected changes as Bill Gross exited the firm. New highs were made in the near one-year eurodollar calendars, again due to […]
In: Eurodollar Options
Sept 26. Credit conditions tightening
–Stocks continue to trade heavy, with SPX -1.6%, Nasdaq -1.9% and EEM, the emerging market ETF, down 2.2%. Treasuries were bid, as auctions wrapped up with the 7yr; tens fell 6 bps to 251. New low in the red/gold euro$ pack spread to 185, -3.5 on the day. In the beginning of 2013, red/gold was […]
In: Eurodollar Options
Sept 24. Curve continues to flatten
–The curve continues to flatten after last week’s Fed meeting. Red/gold pack spread closed -2.25 bps to near 185. This is the lowest red/gold has been since June of 2013, when it was in its incipient climb to over 300 as Bernanke first hinted at the taper in May 2013. Once again, there was some […]
In: Eurodollar Options
Sept 23. The market’s fine here, trust me…
–Ten year yield dropped 2 bps to 256.5. Red/gold pack spread fell 2.5 to a new low just under 188. Implied vol was under pressure as futures prices rose and long put positions were exited. For example, there had been accumulation over the past month of at least 80k EDZ5 9900/9850/9800 put flies, yesterday about […]
In: Eurodollar Options
Sept 22. Selling pressure in treasuries reverses as commodities plunge
–Friday was a huge day in terms of market action. Early in the morning yields pushed to new highs and tested resistance, only to reject those levels and end the day significantly lower. For example, early Friday morning the 5 yr note traded 187.5, just surpassing the high of 2013 (185) and then collapsed below […]
In: Eurodollar Options
Sept 19. On the Ali BABA IPO….
…Gold/silver ratio is breaking out to the upside at 67.7. Next target 70. At the height of the crisis in late 2008, gold/silver ratio hit 84. Silver is being whacked, now below 2013 low. Crude oil has turned down. The spread between Brent Dec14 and Dec15 contracts is at a new low of 1.80 (near […]
In: Eurodollar Options
Sept 18. Fed dots hawkish; Scotland vote today
—The slope of the dots in the Fed’s SEP steepened, so all near euro$ calendar spreads made new highs. EDZ15/EDZ16 is still the peak, and it rose 2.5 to 111.5, just under the 112.5 strike of the put spread spreads done a week or so ago. (Sold OEX 85/87ps and bought 2EX 73/76ps). The green […]
In: Eurodollar Options
Sept 17. FOMC… Going to be a considerably long day
–FOMC today. My thought is that “considerable period” remains in the statement, as global deflationary forces continue. The fact that China is injecting $81B into its banking system is evidence of a slowdown. The immediate result was a rally in Aussie, and in copper, etc. But the initial moves may not hold. The fact that […]
In: Eurodollar Options
Sept 16 FUBAR is the US translation
–US interest rate futures had a modest bounce Monday, with most eurodollar contracts up 2 -2.5 bps. The action yesterday was in Nasdaq as the index fell around 1%. Tesla sank 9%, a loss of about $3 billion in market cap. While some of the selling is likely making room for the Alibaba IPO, which […]
In: Eurodollar Options
