Archive for the ‘Eurodollar Options’ Category
Sept 15, 2014. The soft underbelly of central bank “control” is about to be exposed
–It was a fairly big day Friday as the back end of the US treasury curve slid to new lows. US 30 year bond rose nearly 10 bps in yield to end near 335. The five year note jumped over 3.5 bps to close at 181.5. This was the highest close in fives in over […]
In: Eurodollar Options
Sept 12. 5/10 flattening this year…run its course?
–Nearly all interest rate futures contracts settled unchanged yesterday, though in spite of a well received 30 yr auction, the bond future slid lower just after the floor close. Weakness has been concentrated in green euro$ pack and the 5 yr note as the market anticipates “lift off”. At the end of last year when […]
In: Eurodollar Options
Sept 10. Obama to outline ISIS strategy on eve of 9/11
–All near euro$ calendar spreads made new highs yesterday as the market continues to trade heavy in anticipation of rate hikes somewhat sooner than previously expected. The peak one-year spread continues to be EDZ15/EDZ16 which rose 3 to 107. (Reminder, last year the peak 1-yr spread hit 124 as tens were around 3.0%). Ten year […]
In: Eurodollar Options
Sept 9. Dollar is surging, yields edge higher
–Yields ticked higher yesterday with Green euro$ pack -4.0 and Blues -4.125. Treasury curve weakness in the belly, with both 5/10 and 5/30 slightly flatter. Another 40k new positions in EDH5 9962p, bringing total open interest to 312k on a payer of 5.5 and 6.0. EDH5 futures settled 9964 with total open interest of 1.2 […]
Sept 3. Put buyers in tens
–Yields jumped yesterday on a strong ISM number of 59.0 and robust Construction Spending. Aside from mid-2011 this is the strongest ISM since 2004. And it comes on a string of other powerful data, including last month’s 22% rise in Durables. Of course that was mainly due to aircraft orders (which might actually show sustained […]
Sept 1. Labor Day. Guns and Butter
–Just a few quick notes about labor and the markets. I saw a note where Marc Faber cited a report from the US military that 71% of the US population that is eligible for military service would fail to qualify. That’s ALMOST HALF. (Just kidding, but I couldn’t believe that figure and thought he was […]
Aug 29. Excuse me stewardess, is there a movie on this flight?
–Once again the curve flattened with marginal new lows in 2/10 at just over 183, and 5/30 at 144, both down around 1.5 bp on the day. Same with red/gold euro$ pack spread at 190.75, which fell 1.125. As the back end of the treasury market presses higher in price, straddle premiums expand. For example, […]
Aug 28. Watch out for falling rates
–New lows in the curve. Red/gold pack spread fell another 2.375 to just under 192. 2/10 treasury spread 184.7, also down 2 bps as the ten year yield fell 3 to 236. The peak one-year eurodollar calendar spread is still EDZ15/EDZ16 but it’s now only 101.5, falling 1.5 yesterday. German ten year yield is down […]
Aug 27. Equity market cult as yields drop and curves flatten
–Ten year yield unchanged yesterday at 239 though the 30 year bond rose 1.4 to just over 315. New low yesterday in EUR at 131.71. New low as well in red/gold pack spread at 194.25, down 1.375 on the day. The spread hasn’t been this low since June of last year, when it was on […]
Aug 26. Relentless flattening of US dollar curve
— New low 5/30 and 2/10 treasury spreads, at 145 and 186 respectively using w/i 2’s and 5’s. Ten year yield fell a bit over 1 bp to 239. In euroollars, blue /gold (4th to 5th year) pack spread is flattening like crazy, down another 1.5 to just over 31. This spread started the year […]
