Archive for the ‘Eurodollar Options’ Category
June 27. Asset allocation trades today
I may be going to hell in a bucket, babe But at least I’m enjoying the ride, at least I’ll enjoy the ride. The Grateful Dead –New low 2/10 yesterday to 206 bps, down 2. Ten year yield fell 3.5 to 252.3. An early swoon in stocks was short lived, with some citing asset re-allocation […]
June 26. Circle jerk
–Q1 GDP revised much lower to -2.9%, the worst since the crisis. Because it was cold. Yields fell, with tens down 3 bps to just under 255. –In the last couple of quarterly cycles Green midcurve puts were bought heavily, mostly 9812 and 9825 puts. Late yesterday there was a sale of 20k Green Sept […]
June 24. Continued low vol
–There’s very little comment to make regarding Monday’s price action apart from noting its absence. Option premium continues to erode, with most midcurve euro$ straddles settling 0.5 to 1.0 bp lower. For example, Green Sept 9812.5 straddle which was 37.0 one week ago and dwindled to 32.5 by Friday, closed at 31.5. Miniscule price range […]
Strength in upper echelon masking weakness for the masses?
Two recent articles point up the same theme. First, ZeroHedge post notes the stark disparity in Nat’l Ass’n of Realtors data on existing home sales. Lower priced homes are seeing outright declines in sales activity, while sales of homes over $1m are seeing strong growth. This table is from the NAR: Regional Sales by […]
June 23. Inflationary impulses could translate into steeper curve
–Long end weakness early Friday, but then bonds rallied back to leave the curve only marginally steeper. Red/gold euro$ pack spread closed up 1.25 bps to 223. As inflation concerns (or at least stiflingly high prices for necessities) creep back, it’s perhaps worth noting that ten yr tip/note spread is at its highest since early […]
June 20. Summer solstice….bonds always go down at this time of year, right?
–When I walked onto the old CBOT trading floor as a kid, the 30 year bond futures pit was IT, crammed with people for the 8 o’clock open. 8% notional coupon and traded well below par. Five year options pit had a few guys from Beverly that barely knew the difference between a put and […]
June 19. FOMC: no change, keep reaching for yield
–The Fed claims to be concerned about “financial stability”, but its actions only fuel the trend of reaching for risk to capture the last few available basis points. New highs in stocks. New low in VIX. Bonds rally. The dollar falls. –The dots are becoming less meaningful, though the slight increases in rate forecasts for […]
June 18. FOMC day, with press conference and SEP
–FOMC today. Interest rate futures traded under pressure yesterday with heavy put buying ahead of today’s meeting, with a high CPI reading of +0.4 (and Core yoy of 1.9) emboldening sellers. –Once again some of the near euro$ calendar spreads made new highs. EDZ14/Z15 +1.5 to a new recent high of 76. There was heavy […]
June 17. Flatter curve going into FOMC
–Going into the FOMC the curve continues to flatten, with 5/30 treasury spread at a new low just under 170. Red/gold pack spread fell 3.25 to 226. Since June of last year this spread’s range has been 189 to 306, so it’s now much nearer to the low despite the fact that all the Fed […]
June 16. Austin Powers
Austin Powers: There are only two things in this world that scare me and one is nuclear war. Basil: What’s the other? Austin Powers: Huh? Basil: What’s the other thing that scares you? Austin Powers: Carnies. Circus folk. Nomads, you know. Smell like cabbage. Small hands. Both prophecies are coming to pass. Carney dropped a […]
