Archive for the ‘Eurodollar Options’ Category
Aug 22. Jackson Hole. Anticlimactic before it even starts.
–Yellen and Draghi speak at Jackson Hole today. There is a lot of focus on whether Yellen can be dovish enough to justify current yield levels. But the minutes this week have already acknowledged the idea that dealers are expecting a hike by Q3, and the Fed is discussing operational issues related to rate increases. […]
August 21. Fed minutes from July push yields a bit higher
—Fed minutes sparked a sell off in interest rate futures as discussion about rate normalization and “lift off” caught the market’s attention. Tens rose 2.5 bps to 242.8. On the dollar curve, greens and blues were weakest, -5.625 and -6.125 respectively. Going into the Jackson Hole conference which will emphasize labor markets, this line from […]
Aug 20. Does a flight to quality bid spark a mortgage refi bid?
— US rate futures have been fairly boring for the past couple of sessions, with stocks floating higher and sellers attempting to press treasuries lower on this sign of apparent economic strength (that less astute traders must be missing). Since August 8, when stocks reversed their sell off and soared from 1905 to 1975, tens […]
August 18. Why can’t rates go lower?
–New lows set in near eurodollar calendar spreads on Friday. Red/green pack spread remains under 98 bps. Dec’14/Dec’15, covering next year’s expected tightening, fell 2 bps to a new low of 66, having been at 84 at the end of July. As colleague Todd Colvin notes, maybe the market should be thinking less in terms […]
August 15. $/yen going to 120 by year end
–30 yr bond auction yesterday was bid 2 bps through pre-auction level, coming in at 3.224. Ended the day at 3.205 as demand for US assets (and some type of yield) continues unabated. USU is at the 140 strike with one week to go until Sept option expiration. USU 140^ settled 1’14, just under 8 […]
Aug 14. Bund yield on either side of 1%; San Diego discovered by the Germans
–Yields fell yesterday as Carney dialed back the prospect of tightening, tying policy to wage growth. Then US retail sales disappointed, coming in at 0 vs expectations of +0.2. Tens fell 3 bps to 242.5. Near eurodollar calendar spreads made new lows. The peak one year spread, Dec’15/Dec’16 fell 2 bps to end at 102 […]
August 13. Slight steepening bias to yesterday’s curve
–Fairly quiet in interest rates yesterday, however there were some large trades late in the session, apparently spurred by a Reuters article with this summary: ‘Yellen resolved to avoid raising rates too soon, fearing downturn.’ Large buying out to EDH16 which closed +2.5; last two reds were the strongest part of the curve with the […]
Aug 11. Peace dividend?
–Stocks posted an outside reversal higher Friday, after trading heavy volume at new lows during european hours. Treasuries held up fairly well despite the rebound in stocks, but still closed near lows of the day. Not much change in the curve. Red/green euro$ pack spread closed exactly at 100; peak one year spread is still […]
August 8. The dam could collapse
–The market has reacted negatively to Obama’s announcement of humanitarian air drops in Iraq. Ironic, because Russian troops massing along the Ukraine border are also on a humanitarian mission. –New lows in bond and ten year yields. I last saw tens at 236, fully 11 bps below Wednesday close Stocks are under pressure. SPX was […]
Aug 7. Stocks stabilize but treasuries suggest more trouble ahead
–Yields continue to press slightly lower in the US with tens closing down 1 bp at 247 yesterday, trading 246 today. German schatz (2y) trades 0% and briefly dipped negative in front of the ECB this morning. German bund is 108. Aussie at a two month low against the dollar as unemployment hit a 12 […]
