Archive for the ‘Eurodollar Options’ Category
March 19. FOMC announcement and Press Conference this afternoon
–FOMC meeting and projections/press conference today. 6.5 employment threshold expected to be dropped. December’s projections had 12 of 17 members expecting the first rate hike in 2015. However, the “blue dot” average rate seen by Fed members in 2015 is just slightly over 1%. (Reds settled 0.88 yield as a pack). Blue dot average rate […]
March 18. Instability…first the US, then Europe, now Asia?
–Quiet Monday, marked by slight pullbacks from Friday’s panicky trade. Back month eurodollars fell over 5 bps in price as the ten year note similarly rose 5 bps in yield near 270. However, option premium remained fairly well bid. TYM straddle slipped only 4/64’s from 210 to 206. Blue April 9750 straddle eased from 24 […]
March 17, Crimea annexed without a shot
March 17. Russia annexes Crimea in referendum win. Markets have, for now, reversed some of the nervous trade seen at the end of last week, with dollar/yen back up to 101.80. However, the Chinese yuan is weaker this morning as China widened its trading band to 2%. –For now, US markets are content to focus […]
March 15. Weekly interest rate option summary
-Interest rate futures option vol surges at the end of the week. -Geopolitical tensions completely reverse move to higher yields associated with improved domestic employment picture. Early in the week implied vol was sold, with TYM straddle trading as low as 4.5 as futures churned around the 123.5 strike. As the week progressed and TY […]
March 14. Market disocations generally support bonds
–Slightly stronger than expected headline Retail Sales and lower Job Claims caused an initial flurry of selling in interest rate futures, but pressure quickly abated as previous retail numbers were revised lower and tensions flared in Ukraine. Ten year yield fell nearly 8 bps to 265.4. Blue eurodollar pack was the strongest point of the […]
March 13. This month’s employment report sell off in tens was erased yesterday
–The grinding rally in interest rate futures has now erased losses associated with the employment report. Curve continues to flatten, with red/gold pack spread losing nearly 4 bps to 268.25, hovering near its monthly low. 5/30 is also on its low at 208 as the treasury auctions 30 yr bonds today. Tens saw good demand […]
March 12. Copper takes it on the chin
–The latest victim of the knockout game is copper. Down 10% in last 4 sessions. Probably has something to do with inventory finance in China, where there are reports of using the same collateral for multiple loans. And while there are rumors of additional defaults coming, the PBoC likely accelerated the conflagration with this: “China’s […]
March 11. Option vol suggests limited downside in interest rate futures
–Fairly quiet day yesterday with interest rate futures floating slightly higher in the wake of Friday’s employment data. Green and blue midcurve straddles eased 1-1.5 bps. Bond vol was smoked, with USM 131^ settling at 3’24, just 7.2 vol. Not exactly indicative of a bear market. –April treasury options expire one week from Friday. There […]
March 8. End of week summary
Employment data was a bit stronger than expected at 175k with average hourly earnings of +0.4%. Interest rate futures contracts made new recent lows with weakness most notable at the front end of the curve, which I think is probably the biggest takeaway from the week. While there had been consistent put buying in front […]
March 6. ECB meeting today. US Employment tomorrow.
–Quiet day Wednesday with a decidedly bearish tone. Both ADP and Non-mfg ISM were large misses, with the latter at 51.6, the lowest it’s been since early 2010. Additionally, it’s at about the same level as seen in late 2007, just before the whole house of cards collapsed. However, there was almost no bounce from […]
