Archive for the ‘Eurodollar Options’ Category
Jan 13. Treasury vol crushed Friday as yield levels retreat due to weak employment report
–NFP of only 74k caused a short covering rally in interest rate futures. New recent lows set in 2/10 treasury spread at 249 (it ended the year at 262) and in red/gold eurodollar pack spread at 284.5 (ended the year at 306). Ten year yield fell over 9 bps to 286, and blue eurodollar pack […]
Jan 9. Green euro$’s crushed
–Big day in the front end of the US rate curve. Green pack was the weakest, settling -14.5 bps. Red/Gold pack spd nearly unchanged at 293 (-8 and -8.5). Ten year yield rose 6 bps to 3% while 30 yr bond yield was up just 2 bps to 390.5. There were some big volume trades, […]
Jan 7, 2014. Everything’s cool in this market…
–Monday featured a flattening curve with red/gold pack spread down 4.25 to 296. Ten year yield fell about 4 bps to 296. Overall trade was quiet, though there were a few large option packages. –With both tens and red/gold pack spread hovering around 300 bps, it seems to me that the market has settled into […]
Jan 5, 2014. Interest rate option comment
US interest rate options ended the week reflecting a market bias of moving Fed action to a somewhat more forward time frame. This is apparent in, 1) tame vol levels at the longer end, 2) interest in buying puts moving forward on the curve, and 3) deferred midcurve straddle calendars narrowing. In a longer time […]
Jan 2, 2014. Ten year yields poised to test higher levels
Jan 2, 2014. The new year begins with 3% ten year note yield and stocks continuing to power higher. New high settle just below 306 in red/gold pack spread. While there has been relentless buying of green midcurve puts, weakness in the curve seems to be edging out a bit further. –Today’s economic news includes […]
Dec 31, 2013. Happy New Year!
–In spite of the holiday period, there have still been some large trades going through euro$ and treasury options, all leaning bearishly. For example, 0EM (red midcurve june) 9937/9925/9912/9900p condor was bought, bringing the position to over 100k (settled 2.5 ref 9934.0). There was also a buyer of 2EG (green feb) 9862/9837/9812p fly with 9850-9812p […]
Dec 30, 2013. The start of a new cycle.
–Red eurodollar pack was the strongest part of the curve Friday, closing +3. There was a new buyer of about 25k EDM5 Friday, enough to create an impact in an otherwise quiet market. Ten year yield closed just above 3%, essentially at the high of the year. Many markets and spreads are at extremes for […]
Dec 27. Remember the dot.coms?
Dec 27. Not much change in interest rate futures. Volume was light, though there were some large bearish option plays. Ten year yield stopped just shy of 3%, closing at 2.99. While most of the attention in puts has been paid in greens, yesterday the interest was slightly further out the curve. For example, Blue […]
Dec 26. Heightened volatility in 2014?
–Green eurodollar pack continued to lead the way lower in interest rate futures Tuesday, closing down over 7 bps (average price 98.06 or just under 2% yield). There continues to be heavy put buying on the EDH16 contract, notably 40k 2EH 9800 puts at a premium of 4.0, new position. Red/green pack spread made a […]
Dec 20. 5/30 Treasury spread tumbles in wake of the Fed taper
–Large 11 bp drop in 5/30 treasury spread (above) to 226 as 5 yr note yield jumped 10 bps to 164. Recall that in the early part of this year 5’s were more like 70 bps; yield has more than doubled. Green euro$ pack weakest on the board, down nearly 14 bps. 30 year bond […]
