Archive for the ‘Eurodollar Options’ Category
April 8. Increased deflationary pressure from Asia?
–Stocks continued to fall yesterday, supporting a bid in fixed income. Yields fell 2.5 to 4 bps across the curve. Implied vol being relentlessly hammered with treasury vol at new lows. I marked TYM 124^ at 4.0, down 0.4. There was a new seller yesterday of 20k Green Sept 9800 straddle at 50.5 and continued […]
April 7. What if HFT regulation causes liquidity to drop?
–Employment data was only slightly weaker than expected, but failed to provide confirmation of economic lift off, causing massive liquidation of bearish bets. Implied vol was crushed right across the curve. Open interest in tens fell 195k (nearly 8%), as the yield fell over 6 bps to 272.4. Green euro$ pack gained just under 10 […]
April 4. NFP report.
Small net changes in front of today’s NFP, expected 200k. Dollar curve was slightly flatter with reds unch and golds +2.375. Back month eurodollar straddles had 0.5 to 1.5 bps sucked out. Bond rally at the end of last month has faded as some attributed the strength to Japanese year end buying. However, 5/30 still […]
March 31. Euro$ option premium suggests demand for insurance for the week ahead.
–Ten year yield rose 4 bps Friday to 271. Implied vol in interest rates firmed and closed at the highest levels of the week. Friday to Friday changes in futures levels were fairly small. For example, EDM6 fell 2 bps from 9824 to 9822, yet Green April 9825 straddle actually gained value, from 18.5 to […]
March 31. End of quarter; weekly wrap in US interest rates
The week can be easily summed up: continued reaction to the last FOMC meeting, which solidified expectations that the taper is on course to end in October and initial rate hikes will begin about six months later. From Friday to Friday red euro$ pack was -1.375, green -1.875, blue +0.625 and gold +2.125. On the […]
March 27. In addition to Fed taper, other signs of tighter credit
–The Fed rejected Citi’s dividend plan, helping to press US stocks lower. The sense of more stringent access to capital could evolve into a global theme, a concern for equity markets. ECB stress tests are starting, and according to several Reuters stories, banks in China are tightening standards as well. A bank run in a […]
March 26. A pause in belly selling as fives are auctioned today
–Fairly quiet day yesterday, with minor reversals in several recent trends. For example, green eurodollar pack was strongest on the board, closing +2.75 while reds were +1.875 and blues +1.75. Some large block trades (-TU, +FV, -Ultra as fly) suggested profit taking on curve trades. –Today’s news includes Durables expected +1.0, and 5 year note […]
March 25. Curve being steamrolled
Curve trades are dominant theme. Once again the green euro$ pack is the weakest part, closing -4.25. New high in red/green pack spread to 112, (+1.25 on the day). New low in red/gold to just under 254 as gold pack edged higher by 0.75 bp. S&P cut Brazil to just above junk with negative outlook. […]
March 24. The market robotically moves tightening forward on the curve
–Friday’s trade continues to indicate a perception of the Fed’s first tightening moving forward on the calendar. However, there is no reaching for puts, just pressure on the front end of the curve that is alleviating sell pressure on the back end. Like a half empty tube of toothpaste; squeeze the front and it goes […]
March 20. Yellen defines “considerable period” as 6 months, Draghi does face-plant
–I didn’t think the dots mattered that much. I was wrong. From Reuters…”Yellen’s remarks at her first news conference as the head of the central bank pointed to a more aggressive path toward higher interest rates than many had anticipated, and bets in financial markets shifted accordingly.” The dots shifted higher for 2016 even as […]
