Archive for the ‘Eurodollar Options’ Category
May 15. Move to lower yields continues….CPI today expected +0.3 with Core +0.1
–Yields took a tumble yesterday with tens falling 7.5 bps to 254. Near euro$ calendar spreads made new lows. The peak one year is still EDZ5/Z6, which fell 2 bps to 110.5. –Since July 2013, the ten yr has been in a range of just under 2.50% to just over 3%. In the past three […]
May 14. Treasury yields falling. Blackhawks beat Wild to take series.
–Weak Retail sales data pushed yields lower, reversing Monday’s fixed income sell off. Ten year fell 4 bps to 261.5. Green euro$ pack was up 5.5; large early buyers. Near one-year calendar spreads made marginal new lows. Notably, EDH5/EDH6 fell 3.5 bps to 90. There was heavy trade (50k) in EDH5/6/7 butterfly at -17/-16.5. Settled […]
May 13. Crickets
–Another light volume day Monday, though yields rose as stocks levitated to new highs. Ten year yield rose about 3.5 bps to 265.6. Red/gold pack spread up 3.125 to 253, right around the middle of last month’s range of 244 to 265. -There were a couple of large trades yesterday. Buyer of TYM 124.5/125cs vs […]
May 12. Should be a quiet start to the week.
–Fairly quiet day Friday. 5/30 treasury spread rose nearly 3 bps to 184, having bounced about 14 bps from the low of this calendar year which was set last Friday just below 170. This spread started the year around 220. –Colleague John Brady sent an interesting chart this weekend noting that CRB Food Stuffs index […]
May 9. Markets and economists diverge on views of the economy
–From today’s WSJ: “The U.S. economy is speeding ahead this quarter—perhaps growing faster than 4%—as the recovery gets back on track after a winter when growth slowed to a crawl, according to The Wall Street Journal’s latest survey of economists.” I guess someone forgot to tell the bond market, as yields contuinue to drop, even […]
May 8. Yellen to continue accommodative policy
–Once again yields fell yesterday, as Yellen signaled a continuation of highly accommodative policy. She noted…” the recent flattening out in housing activity” as a possible concern. At the end of her speech she cited a goal of financial stability, and concluded that risks are minimal, shrugging off “reach for yield” behavior seen, for example, […]
May 7. Stein talks about volatility associated with Fed’s communication; Yellen speaks today
–Theme yesterday was dominated by put selling that appeared to be mostly position exits. For example, 30k Blue July 9687 puts were sold at 6.0. Curve had a flattening tendency as stocks gave ground. Red/gold pack spread made a new low at 244 (-3.625 on the day, and as low as it has been since […]
May 5. Curve flattens to new low after employment report
–Employment aftermath. Here’s the headline from WSJ about Friday’s report: Jobs Growth Jumps as Economy Gains Steam…U.S. employers in April added jobs at one of the fastest paces of the recovery, rekindling hopes for an upturn strong enough to alleviate the economy’s longstanding ills. And here’s the Telegraph’s Ambrose Evans Pritchard (AEP): “The US economy […]
May 2. Nonfarm Payroll Day
–30 year bond contract (USM) pushed to new highs in front of today’s employment data, while tens and stocks are near new highs. Bond yield fell over 5 bps to 340.5. Ten year yield fell another 4 bps to 260.5, and 2/10 treasury spread made a new recent low at 220. Red/gold pack spread down […]
May 1. Bonds rally as Fed continues tapering
–Wall Street Journal: Fed Cuts Bond Buys, Sees Growth Pickup. Well sure, not too hard to predict a growth pickup from Q1’s dismal 0.1 print released yesterday morning. –Tens and bonds closed at the high of the day after an initial dip following the FOMC statement. Ten year yield fell around 4.5 bps to 264.5, […]
