Archive for the ‘Eurodollar Options’ Category
Aug 6. Flight to quality could really take off, as dollar and long bonds make new highs
–Weakness in equities is spurring a bid in longer dated treasuries this morning with USU near a new high at 138-30. Late yesterday stocks finally took notice of the Russia/Ukraine situation as Poland’s Sikorski said that Russia’s troop build-up at the border may portend an invasion. The immediate drop in stocks is a signal of […]
Aug 5. Subdued activity Monday as stocks rebound
–Quiet day Monday with continued outperformance to the upside by green euro$’s (+4.0 on the day while golds were +1.375). Ten year yield edged lower by 1.5 bps to 249. Stocks rebounded modestly, though Nikkei had also bounced on Monday, but has resumed lower today (-150). A couple of notable put sales in dollars. EDM5 […]
Aug 4. Friday summary
—Interest rate futures exploded higher after the employment report, apparently due to the average hourly earnings number of 0.0%. The thought seems to be that Yellen will be very hesitant to pull the trigger on raising rates unless wage growth is on much firmer footing. –The ten year yield fell 5.6 bps to 250.3; tens […]
August 1. Weak stocks to kick off August dog days
—Unemployment today with NFP expected 230k, rate of 6.1. –Stocks took center stage yesterday as SPX and Nasdaq both dropped 2%. Some pointed to the ECI print of +0.7 yesterday as a catalyst, along with, of course, Argentina’s default. There are numerous reasons for stocks to pull back from record highs, including all of the […]
July 29. FOMC tomorrow
Just a few notes from yesterday’s trade. In interest rate futures, the near one year spreads notched new highs. For example, EDH15/EDH16 was up 2.5 to 96.0. In tens, there was a buyer of about 10k TYU 125.5/TYV 125^ spread for 44 (settled 46), appears new on both sides. The two year swap spread made […]
July 27. The thrill is gone (in high yield)
The thrill is gone It’s gone away for good The thrill is gone, baby It’s gone away for good B.B. King – The Thrill Is Gone –Once again on Friday, the curve flattened with 5/30 treasury spread at a new low of just under 157 bps. Red/gold euro$ pack spread settled just above its recent […]
July 25. Market continues to place bets on tightening onset for Q2
–Ten year yield climbed 4.5 bps yesterday to just above 2 1/2%, as Jobless Claims fell below 300k (284k). Trade continues to be focused on EDM5 puts as the market places bets on Fed tightening in the first half of next year. Once again, EDM5 9950/9925p 1×2 were heavily bought, for 1.0. However, late in […]
July 23. Wait until next year…for rate hikes that is
–Yields slipped as CPI was slightly lower than expected. Green pack was +3.25. Ten year yield ended at 246.4, almost 1 bp lower. EUR made a new low for the year and is now around 134.60. In related news the NY Fed is targeting Deutsche Bank for poor risk management. –The big trade yesterday was […]
July 22. Flattening continues. Sept 30 yr bond contract at new high
–The biggest aspect of yesterday’s trade was continued flattening to new lows. Red/gold pack spread was down nearly 4 bps to 197, though it was below 195 during the day. 5/30 treasury spread fell 4.8 bps to 158 as the USU (30 yr contract made a new high). Near eurodollar one-year spreads notched new highs, […]
July 18. Geopolitical concerns rising to the forefront
–The downing of a Malaysian Airline jet over Ukraine, and Israel sending ground troops into Gaza spurred a safe haven trade, with the US ten year yield falling over 6 bps to 247. 30 yr bond yield made a new low for 2014, 329 at the futures close and 327.5 shortly afterwards. The curve flattened, […]
