Archive for the ‘Eurodollar Options’ Category
March 3. Russian invasion increases economic uncertainty
–Barack Obama condemned the Russian invasion of Ukraine in the strongest way possible, threatening to send in Dennis Rodman. –Tens, crude oil, gold, corn…all have made new recent highs overnight but have pulled back from extreme levels. $/yen is lower, now 101.30. Global tensions reinforce the theme of having to pay more dearly for the […]
March 2. A few option notes…
Options in the long end continue to be mostly conservative plays for the downside. For example, TYM 119/121ps 2x (+) vs 124/124.5cs 1x (-) paper paid 1 for 15k, ps over. On Friday there was a large buyer of TYM 121/122.5/124 put fly for 15. Week to week changes show that shorter maturity vol was […]
Feb 28.Clouds forming
—–Trend to lower yields stays intact. Tens fell another 3 bps to 264. As mentioned yesterday, peak one-year euro$ calendar spreads are closing in on 100 bps, having made new lows yesterday. Highest point is still EDZ15/16 but that is now just 102, fell 3.5 yest. Recent high has been 111. Red/green pack spd new […]
Feb 25. Quiet Monday with curve flattening bias
–Quiet day in rates yesterday. Continued selling in TY straddles, notably TYM 124 from 219 to 215 (settle). April, May and June TY at 4.6 vol. In eurodollars there was a large closing seller of 25k 2EM 9775p at 2.5 covered 9850/50.5. The theme yesterday, following through from last week, is selling of gold eurodollar […]
Feb 23. Any turmoil in US likely to be sparked by EM troubles, which in turn were exposed by Fed’s liquidity reversal, i.e. tapering
–March treasury options expired quietly Friday, pegging the 125.5 strike. In eurodollars there continues to be selling of Short (red) June 9950c which added another 26k Friday to 224k with underlying OI in EDM5 of 875k. 0EM 9950 straddle for the past three Fridays has settled 18.5/18.0/18.0. The last time there was a huge short […]
Feb 19. US rates dropping as commodities rally
–Solid rally in interest rate futures yesterday, with ten year yield down 3.5 to 2.71. Early yesterday there was size buying of Apr, May and June 127.5 calls, all new positions, OI +36, +18 and +20k (Ten yr yield equivalent at strike approx 2.30). Further gains this morning. Stocks were up marginally as well, but […]
Feb 17. Quiet start to week. FOMC minutes on Wednesday
–Friday’s Industrial Production of -0.3 added to a string of disappointing economic data. Volume was light in interest rates, with continued pressure on implied vol. Fed minutes out on Wednesday afternoon. –A few headlines from Bloomberg over the past few days: Feb 14: China Banks’ Bad Loans Reach Highest Since Financial Crisis (excerpt below) Feb […]
Feb 16. Interest rate option summary
The action still centered around TY options in the week just passed, though primarily in the form of liquidation. Two weeks ago, on the last day of January, TYM settled 124-03.5 and TYJ 124 straddle settled 1’57 (5.7). On Friday, TYM settled 124-01 and TYJ 124 straddle at 1’26 or 4.7. TYM range over the […]
Feb 14. This month rally in Nikkei has lost steam due to yen strength, ESH to follow?
–Retail sales yesterday were disappointingly weak -0.4 and previous data was also revised lower. Ten year yield fell nearly 6 bps to 2.735 as treasury auctions concluded with the 30 year bond. Very heavy volume in ten year options; hasn’t been seen since the gravy days of Countrywide Financial (remember them?) stirring the mortgage pot. […]
Feb 12. Stay the course…
–Dana Carvey used to do a pretty funny skit on SNL mocking the first President Bush, giving a starry-eyed speech repeating the same empty platitudes: “…stay the course….thousand points of light…” Well, both Reuters and WSJ described Yellen as “staying the course.” And that’s how the prepared remarks read: Continuity of policy, tapering likely to […]
