Archive for the ‘Eurodollar Options’ Category
July 17. Possible rate hikes, but back end of the curve says “limited”
–The message from the curve is that the economy will have a hard time digesting even relatively small near term rate hikes. While there has been selling pressure out to greens in anticipation of funds “normalization”, tens remain anchored to 2.5% (yield fell 1 yesterday to 253.6). Near euro$ calendar spreads edged to new highs. […]
July 16. Flatter curve after Yellen
–The curve flattened hard late in the day after Yellen’s comments. 5/30 treasury spread notched a new recent low of 167.5 (-2 bps). Red/gold eurodollar pack spread plunged 6.25 to 208, a new low for the year, as the red pack was down 5.0 and golds were +1.25. 2/10 remains at lower end of range […]
July 15. Yellen semi-annual testimony today, risk of a less dovish stance
–In spite of it being a low volume day in ten year futures, there were sev’l interesting aspects of Monday’s trade. There was a buyer of at least 80k Short (red) August 9912p for 2.0. (EDU5 9924.0s). Additionally, there was buying of EDM5 9925 and EDU5 9900 straddle strip up to 49.0. On Friday the […]
July 11. Midcurve euro$ expiration. Fed semi annual testimony next week
–Curve steepened a little bit as Portugal’s Espirito Santo Bank is a reminder that not all is well with the world. Red/gold euro$ pack spread rebounded 2.75 bps to 213. More pronounced moves occurred in the back end of the Fed Funds curve, with contracts from June’15 to Dec’15 up 5 to 6 bps, partially […]
July 10. Fraying at the periphery; say a prayer to the holy ghost…
–Yields ended lower yesterday, with tens down 1.7 bps to 254.6. New low in red/green pack spread to 98.375, -1.625 on the day. There was a brief sell off following a tepid 10 yr auction (259.7 vs w/i 258.5) but buyers came in after Fed minutes and futures closed at the high. I didn’t fully […]
July 9. Fed minutes today…
— Ten year note auction today, followed by Fed minutes. Yellen’s semi-annual testimony to the Fed will be next week on July 15. –Back end of the curve continued to rally with the ten year yield falling over 5 bps to 256.3. Red/gold pack spread made a new low of just 210 bps, also down […]
July 6. Strong headline employment data pulls tightening schedule slightly closer
–Stronger than expected NFP on Thursday of 288k, with rate of 6.1% sent interest rate futures lower, but final net change was modest. Greens were weakest at -5.5 bps. Ten year yield was up only 2.2 to 264.7. The eurodollar curve flattened with red/gold pack spread down nearly 4 bps to 220.25; reds -5.125 and […]
July 2. Put buying in interest rate markets suggest a move toward rate “normalization”
—Yields edged higher on Tuesday with tens up 5 bps to 256.5. The curve steepened, red/gold pack spread up 2.25 bps to 220. At the end of last year both the ten yr treasury yield and red/gold pack spread were a little over 300 bps, so at midyear, tens are about 50 bps lower while […]
June 30. The BIS weighs in on financial stability
–BIS is warning about a disconnect between euphoric financial markets (an echo of irrational exuberance?) and underlying economic trends, Bullard also warned last week that the market doesn’t get it, and neither does the Fed itself, but he’s quite sure that near term rate hikes are are the correct course of action. On the other […]
Midcurve euro$ vol
In the past two weeks EDM6/EDU6 spread has declined 1.5 bps, from 29 to 27.5. 2EU premium has been under constant pressure…two weeks ago the 2EU 9812 straddle was 37, now the 2EU 9825 straddle (next strike higher) is only 30/30.5 ref 9827.0. 2EU 9825c is 16/16.5 and 9837c 9.5/10.5. When people say vol is […]
