Archive for the ‘Eurodollar Options’ Category
April 29. Stocks bounce back despite BofA’s accounting error
–Interest rate futures remain painfully quiet, with miniscule net changes, though 5/30 was finally able to steepen by just a couple of bps to 173.4 as five year yield was unchanged and 30 yr bond rose 2 to 346. Red/gold eurodollar pack spread up 1.75, closing just under 261.5. –There were a couple of trades […]
April 28. Corporate borrowing for dividends/buybacks long in the tooth?
–Surprisingly quiet on Friday, with yields generally dropping a couple of bps. May treasury option expiration was uneventful with tens pinning the 124 strike and bonds 135. –This week brings GDP, FOMC and the employment report. Expectations are for a continuation of the tapering schedule, and the market is already looking beyond what is expected […]
April 25. Russia downgrade to “churlish”
–Fairly quiet day yesterday in rates with little net change. Early weakness after data was easily absorbed. Now with S&P downgrade of Russia just as May treasury options expire, 30 yr bond is testing the 135 strike and there’s even a chance of TYK 124.5 calls coming into play as weekend risk of a military […]
April 24. Tech companies’ results vs gasoline sales. Which better reflect the domestic economy?
–Treasury yields fell yesterday as New Home sales tumbled 14%, with ten yr down 4 bps to 268.4. Eurodollar calendar spreads eased modestly off their highs, with red/green pack spread down 2.25 at 115.75. Tuesday’s close of 118 was not only the high for this calendar year, but for 2013 as well. At the long […]
April 23. Belly of the curve remains pressured; new lows 5/30 spread
–Once again red/green eurodollar pack spread made a new high, +1 to 118, as greens remain the weakest part of the curve. Green June at 9825 is near the low print made on the March FOMC meeting, which was 9821.5. However, 5/30 treasury spread at that time was around 197, and is now just 176 […]
April 22. Grand Cardinal Cross
–Quiet Monday in a week where economic news is sparse. Treasury auctions begin with today’s 2yr, followed by 5’s and 7’s. –Red/green pack spread edged to a slight new high at 117. Peak one year euro$ calendar spread is EDU5/EDU6 at 121.5, up 0.5 yesterday, pushed out due to a 40k Short Sept/Green Sept put […]
April 16. Stocks rally, curve flattens
–China GDP about as expected at 7.4. Nikkei up 3% overnight as Japan apparently is expected to increase stimulus. UK employment at 6.9 is below BoE threshold, new high for the year in GBP. New high as well for crude oil, nearing 105/bbl. (Reuters) – Michigan officials and President Barack Obama’s Administration are discussing a […]
April 14. Thoughts of Fed tightening fade as stocks tumble
–Though stocks continued their descent Friday, red, green and blue June euro$ contracts couldn’t push above strike for April expiration, with settles of 9947.5 in M5, 9847 in M6, and 9749 in M7. This will leave long xx.50 call holders even more aggravated when the strikes are hurdled over this week. Same thing happened at […]
April 11. Stocks get the jitters
–US yields tumbled as the Nasdaq fell 3% yesterday. Tens dropped over 5 bps to 2.64. From last Thursday to yesterday, EDM6 has rallied over 1/4%, (28.5 bps) to close yesterday at 9846.5. New lows were set in some of the near calendars, for example EDM14/EDM15 fell 2.5 to 29.5. The peak one year spread […]
April 10. FOMC minutes reveal a Fed that regularly muddies its message
–FOMC minutes caused the market to further reassess the bearish message which had been telegraphed by the blue dots and Yellen’s press conference at the last Fed meeting. Pressure on greens and 5 year notes was alleviated as trades were unwound. Greens were the strongest on the curve, closing +5.875, while golds were only +1.375. […]
