Archive for the ‘Eurodollar Options’ Category
May 28. All aboard the pain train
–The decline in premium levels continues in dollars, with heavy selling of Short (red) Dec and March puts. One week ago 0EZ 9912^ was 37.5, shortly after yesterday’s open it was 34/35 but settled 35. As Izzy Mandelbaum would say, “All aboard the pain train”…(from FT) Citi warns trading revenue may fall 25%…RBS slashes US […]
May 26. Bear market in volatility continues
–Though news reports about interest rate normalization have become much more prevalent recently, last week’s market action is anything but normal, like a black hole of vol and yield spread compression. There is now only one 1-yr calendar spread in euro$’s over 100 bps and that’s EDZ5/6 at only 102.5. (Down from 115 at the […]
May 23. The start of summertime, when the livin’ is easy
–Another quiet session with downward price bias in bonds. Today is June option expiration in the treasuries; of near TY strikes the 126 call has the most open interest at 85k. On the put side, 126p have only 17k, 125.5 32k. Premium in general continues to erode, with most ED straddles down another 0.5 bp, […]
May 22. New low VIX. New high Oil
–Slight rise in yields yesterday. 5/30 treasury spread rose 4 bps to recent new high, having now bounced 20 bps off its low set in the beginning of the month. VIX index sank to a new low below 12 as stocks rallied, though there was a buyer yesterday of 150k Sept VIX 19/28 call spreads […]
May 21. With the propect of Fed hikes diminishing, plays for rolling up the curve re-emerge
–US yields fell again yesterday with tens at 251, down 2.5 on the day. Green euro$ pack was the strongest performer, +5.5. Red/green pack spread nearing 100 as suggested a couple of days ago (100.75s, -2.5 on the day). Red/blue also edged to a new low of 185. –There has been discussion of what the […]
May 20. US escalates tension in Asia by naming Chinese military members on FBI’s Most Wanted Cyber Crime list
–Another relatively quiet day Monday. Implied vol continues to compress with most euro$ straddles down 0.5 bps. Additional new selling in Blue Sept 9737.5 straddle at 43.5, seems quite low with 4 months to go. Back end of euro$ curve steepened with green pack up nearly 3 bps and gold pack -1 on the day; […]
May 19. Housing as a barometer of economic strength
–In the US, the San Francisco Fed put out a paper titled “The Slowdown in Existing Home Sales” citing the increase in mortgage rates since May of 2013 as the culprit for recent lethargy in US home sales. There has also been much chatter about the possibility of a real estate crash (as opposed to […]
May 19. Theme of curve flattening
–Light news week coming up, with FOMC minutes released on Wednesday. Yields edged slightly higher on Friday, but the red pack to deferred closed at marginal new lows for the move. For example, red/green pack spread is nearing 100 bps, closed at 103.375. –Three months ago EDM16 was in the same general area as it […]
NY Fed’s Economic Projections
http://libertystreeteconomics.newyorkfed.org/2014/05/just-released-the-new-york-fed-staff-forecast-may-2014.html#.U3Yj6yhPnWi NY Fed released a summary of econ projections through 2015 (link above). Unsurprisingly, they expect growth to pick up and inflation to gently rise. Factors that had been restraints are abating. From the NY FED: From the end of the Great Recession in mid-2009 through mid-2013, the U.S. economy grew at […]
May 16. Bond rally continues
–This year’s bond rally refuses to die, in spite of higher inflation data over the last two days (Core yoy +1.8%). Tens fell another 4 bps to 250. All euro$ calendar spreads made new lows with highest one year spread EDZ5/Z6 now just 108.5 (-2.0 on the day). Red/gold pack spread reached a new low […]
