Archive for the ‘Eurodollar Options’ Category
June 13. Friday the 13th
–Crazy late day action provides a reminder of our elusive friend, volatility. About 10 minutes after the floor close huge buying came into the front pack (approx 40k) and red pack (20k), catching the market completely by surprise. Then BOE’s Carney suggested rates might rise sooner than markets expect. As example, consider EDM6. Late in […]
June 12. Oil finally reacts to events in Iraq. Central banks cheer as there’s now a chance to hit inflation targets
–Crude oil up over $1/bbl this morning to new high over 105.50. Slo-motion reaction to events in Iraq. –Quiet in US rates yesterday. There were some exit trades associated with expiring midcurves, other than that, net premium selling. TYN 124.0 straddle sold at 50, red midcurve Dec 9900 straddle sold at 36. EUR continues to […]
June 11. On the verge of higher yields? Higher energy prices? Both?
–Yields have continued to press higher since the end of last month, for example EDU6 traded 9845 at its high on 29-May, and settled 9838.5; so in 8 trading sessions we’re down fully 24 bps on settlement basis to 9814.5. Ten year yield gained another 2.5 to 263.5. There’s a good piece on ZeroHedge from […]
June 10. Curve flattening, hint of slightly more aggressive Fed posture next week?
–Green euro$ pack continues to lead to the downside, closing -4.75 yesterday. Since last Thursday close (ECB day), green/gold pack spread has declined 5.5 bps to 122.5. Similarly, five year yield was up 3 bps yesterday to 170, while tens only rose 1.5 to 261. 5/30 made new recent low 177 yesterday, down 1.5 to […]
June 8. A lack of volatility as the Fed ponders “financial stability”
–What used to be the biggest data of the month has now just become another bland Friday, with NFP 217k and rate of 6.3, right on expectations. Straddles that expire this Friday (13-June) were crushed. For example, Green June 9850 from 12.5 settle Thursday to 7.5 settle Friday. Blue June 9750 from 14 to 9.0. […]
June 6. Employment report. Initial signs for ECB cut don’t look promising
–Employment report today with NFP expected +215k, rate 6.4 to 6.5 and Avg Hourly Earnings +0.2. –ECB announced a range of easing measures including negative deposit rate, targeted LTRO, etc. Japan has been a bit more successful with manufacturing inflation, mostly thru currency depreciation. On that score, initial signs don’t look great for the ECB […]
June 5. ECB meeting to increase financial speculation?
–ECB today expected to introduce a negative deposit rate and host of other stimulus measures. This, at the same time many Fed officials are wringing their hands over financial stability and excessive reach for yield. In a way, moves by the ECB could spur a flow of funds into US assets, further compressing spreads that […]
June 3. Is the long upward squeeze in bond prices over?
–Interest rate futures prices continued to slip Monday as ISM was ultimately set at 55.4 following an initial errant release (or two). Bear steepener as reds fell only 3.625 while golds plunged 10.5. Ten yr yield rose back above 2.5%, adding over 7 bps to 253. Implied vol firmed with TYU 125^ settling 2’21 or […]
June 2. US bonds still attractive to foreign buyers
–Green euro$ pack fell 4.5 bps on Friday and was the weakest part of the curve, while the ten year note yield rose just 1 bp to 2.455. Implied vol firmed in front of this week’s events: the expected easing of the ECB and the US employment report. –On a long term yield graph, US […]
May 29. Financial conditions warning from Goldman
–The bond rally continues. Ten year yield dropped nearly 8 bps to 244. The peak one year euro$ calendar spread, EDZ5/6 has fallen below 100 bps to 99.5, down 3.5 on the day. Curve flattened hard; 2/10 made new low at 207.5, falling 5.5 on the day. The dollar index strengthened well above its 200 […]
