Archive for the ‘Eurodollar Options’ Category
Feb 11. Yellen seen as dovish. Like that one the Pope released in St Peter’s
–New Fed chair Yellen speaks before Congress today. Gold knows what she will say. MORE MONEY. Gold up 8 this morning to new high for the year at 1283. Stocks are getting the same message, up 8.50 near 1804. Crude oil also strong, CLH over 100 this morning, having been as low as 92 in […]
Feb 9. Treasury option recap
Interesting week in treasury options, centering on early put buying in TYH 125 and 125.5 puts. Vol ends soft across the board, further compression expected. However, the drop in the unemp rate to only 6.6% may force the Fed into a more qualitative assessment of forward guidance, essentially weakening it, perhaps supporting a bid in […]
Feb 7. Employment day
Feb 7. Yields pressed a bit higher in front of today’s employment data with NFP expected 180k, rate of 6.7 to 6.6. Tens rose just over 3 bps to 2.70. Longer end of the curve displayed the most weakness with golds down 5.75 and greens down just under 3. Option trading reflected a (measured) bearish […]
Feb 5. Puerto Rico downgraded by S&P. US jobs downgraded by CBO.
–Implied vol in treasuries continues to post new highs as there is a continuous buyer of March puts in TY. Yesterday it was the 125.5 strike, which added 47k in open interest. Monday it was the 125 strike, bought in size of 110k. I marked TYH 126 straddle at 1’25 or 6.4 vol. However, there […]
Feb 4. Sometimes a “wall of worry” is there for a reason, and not worth trying to climb
–Stocks were clobbered yesterday with SPX -2.3% (off nearly 6% from high) on huge mini-SP volume of 3 million. ISM was much weaker than expected, coming in at only 51.3. But you can blame it on the cold weather. Ditto for car sales. And no need to worry about EM woes, there are just some […]
Feb 3. Big week ahead with ECB and BoE meetings; US job report Friday
— US yields continued to press lower on Friday with tens down 3 bps at 266. However, TYH put open interest rose nearly 50k with notable buying of TYH 124.5p and 125p which both saw open positions rise >15k. Some near euro$ calendar spreads made new lows, for example EDH14/EDH15 fell 1 to 21.5. This […]
Jan 30. So goes January….
–Turkey and S Africa CB’s took action to stem capital outflows by raising rates, but rather than throw a lifeline to EM investors, the Fed continued to taper bond purchases. US equities took a run at the downside following the FOMC, but appear to be stable for now. Other notable movers yesterday include extension of […]
Jan 29. FOMC day. Turkey jacks rates by 4.25%
–It’s a conclave of serious people where decisions are made that can truly affect the outcome of people’s lives and fortunes. SOTU? Nah, today’s Fed meeting. Expected to continue on a modest tapering path, especially since Turkey single-handedly stanched all EM outflows by raising rates to 12% from 7.75. Now that’s a bad@ss central banker. […]
Jan 28. Ruh roh
–State of the Union speech tonight. “We need to show the American people that we can get something done,” Dan Pfeiffer, a senior White House adviser, told CNN. Ruh-roh. From the Washington Post: “Just 37 percent say they have either a good amount or a great deal of confidence in the president to make the […]
Jan 27. Remain risk averse
–Thursday’s explosive rally in interest rate futures continued into Friday morning, though by the close futures had slipped well off their highs, for example EDH6 closed 9966.5, 8.5 bps lower than the high of 9975.0. Red/green pack spread edged to a new low, -1.125 on the day to just above 98 bps. Clearly, turmoil in […]
