Archive for the ‘Eurodollar Options’ Category
Jan 25. End of week comment
A confluence of factors regarding emerging market problems sent interest rate futures screaming higher into the end of the week, with green and blue Eurodollars up 30 bps from Wednesday low to Friday morning high, though Friday’s settlement was about 8 off the high. Though implied vol typically declines on rallies, the abruptness of this […]
Jan 24. “Why, he stubbed his toe!”
“Well, that doesn’t make any sense. A man could stub his toe, take poison, fall down a well, break his neck, and crack his head open so that his brains fell out. Then someone would come along and ask what killed him, and some numbskull would say, “Why, he stubbed his TOE. What would be […]
Jan 23. Nearer part of euro$ curve steeper as market ready to test Fed forward guidance
–Once again some huge trades…first, new highs and new lows. New highs in front to red one-year calendars as the market pushes up timing of Fed hikes. (For example EDZ4/Z5 up 3.5 to 80.5). New high in red/green/blue pack fly to 6 as red/green closed near 105.5 with green/blue 99.5. New low in 5/30 spread […]
Jan 22. Green eurodollars (3rd year out) continue to lead curve to higher yields.
–Greens continue to be the weak link, with green pack closing down 2.125 while reds were up 3/8 bp and blues were down 1.25, The red/green/blue butterfly made a new high just over 5 bps and was more like 6 right after the floor close, and higher yet this morning. This fly has rallied over […]
Jan 20. Weekly interest rate option note
Net weekly changes in interest rate futures were marginal, with the ten year edging up and fives slightly lower. In Eurodollars, greens were lower by 2 bps, while blue and gold packs were 1 bp higher. S&P futures were also nearly unchanged on the week. Despite lack of net change from Friday to Friday settlement, […]
Jan 20. Beware China’s New Year (of the horse). Possible domino contagion
–Fairly quiet session Friday, though new lows were eked out in red/gold pack spread to 280, 2/10 at 245 and 5/30 at just under 213. Red/green/blue pack fly +1.75 as greens continue to trade weak. All green blue atm straddle spreads (100 bp difference in strikes) are 4 bps or lower with blues over. Several […]
Jan 17. Yesterday was a big day for put buying on short end
–Though interest rate futures were higher on the day there was a tremendous amount of put buying yesterday, especially on EDZ15, EDH16 and EDM16 contracts. The curve flattened, with peak one year spread Dec15/16 down 3 bps to a new low of 111. New recent lows as well in red/gold pack spread (280, -5.375), 2/10 […]
Jan 16. Employment data rally sputters
–Interest rate futures fell yesterday, with green pack closing down 5.25. Red/green/blue pack butterfly once again closed positive with red/green at 104.25 (+1.25) vs green/blue at 103.25 (-1). Back month euro$ straddles firmed by 0.5 to 1.5 bps, which suggests the rally after employment was a short squeeze and the market remains bearish. EDZ4/EDM5 spread, […]
Jan 15. Peak open interest in Dec’15 eurodollar indicates timing bets for onset of Fed tightening
–The squeeze higher in treausuries following Friday’s employment data was arrested yesterday by somewhat better than expected Retail Sales. Tens rose 4 bps in yield to nearly 287. Green eurodollar pack was once again weakest on the curve closing -8.375 bps. Stocks blithely reversed Monday’s losses and the VIX, which was sparked higher Monday, quietly […]
Jan 14. Bearish rate bets pruned
–Bearish positions continued to be pared back in the wake of Friday’s employment data. For example, TYH 123 puts (the 3% strike) fell about 15k in open interest as 122/123 p spreads were sold. There was a seller of 20k Blue March 9750p and buyer of 70k 9700/9687p spreads, exit as well. Last Wednesday there […]
