Archive for the ‘Eurodollar Options’ Category
Dec 17. 300. “This is where we fight” Red/gold euro$ pack spread
–Light volume yesterday. The biggest feature was strength of the green pack relative to the rest of the curve. Red/gold pack spread (new) was up 2.75 as reds gained 1.625 and golds fell 1.125, but green/gold was up over 4 bps as greens rose 3 bps. One year butterfly EDU14/15/16 settled at -64.5, close to […]
Dec 16. The Spartans’ stand at Thermopylae
“Here did four thousand men from Pelops’ land Against three hundred myriads bravely stand” The poet Simonides’ inscription at the pass of Thermopylae to honor Leonidas and the Spartans. Above is a graph of the red/gold eurodollar pack spread (2nd year vs 5th year contracts). In 2009, 2010, 2011 and twice in 2013…in all these […]
Dec 16. Taper week?
–Main event for the week should be the FOMC meeting and press conference, with taper expectation at 50/50. The data on the attached sheet has rolled to reflect the December contract expiration, but whether rolled or not, many spreads are going into the meeting near yearly highs (new red/green pack spread just below 100 bps, […]
Dec 12. Does Fischer as Fed vice-chair weaken forward guidance plans?
— Interest rate futures erased a portion of the gains made since Friday’s employment report, as the ten year note rose 5 bps to 2.845. Red/gold pack spread up 4.25 to 293. Softness attributed to taper concerns, a ten year note auction that was on the weaker side, and reports that Stanly Fischer would become […]
Dec 9. Is it tapering, or something much larger?
–Rates moved a bit higher after Friday’s stronger than expected employment report. Tens were up a couple of bps at 288. Going into next week’s FOMC, it’s all going to be about tapering and when it starts. –As we go into the last Fed meeting of the year, I would like to consider the tapering […]
Dec 6. Will today’s employment data set the table for a test of Yellen next year?
–The last employment report of the year with NFP expected 180-185k at a rate of 7.2%. Labor improvement evident in Jobless Claims which were 298k; since the middle of 2006 they’ve only been below yesterday’s mark 4 times. Core PCE prices also out, expected +0.1. –30 year bond yield at 3.91 is essentially at the […]
Dec 5. Heavy put buying on deferred euro$ contracts
–Continued pressure on interest rate futures in front of tomorrow’s employment data. New highs in deferred one-year euro$ calendar spreads. Peak in one year spreads is June’16/June’17 which settled 114.5, +2 on the day. Highest any one year spread settled this year is 122.5. Red/gold pack spread made new recent high 293.75, less than 5 […]
Dec 4. Like it’s 1986…(of course, there was a stock crash in 1987)
–Yesterday, $/yen hit a new high and then closed lower on an outside day, same pattern against euro. Stocks continued their pullback, though not unexpected given the 10% rally in the past two months. Seeing a large rally in Jan Crude…having hit new lows at 92 at the end of November, it’s currently above $97/bbl. […]
Dec 3. Sliding into the end of the year prepared for higher US rates
–Interest rate futures trade heavy going into the employment report, as ISM beat at 57.3. New highs made in deferred one year spreads, for example EDH16/H17 rose 3.5 bps to 112. Peak one-yr spread is EDM16/M17 at 114; peak for the year has been 122. The rise in back month spreads has caused futures butterflies […]
Dec 2. QE taper concerns edge a bit higher
–Data this week may sway the argument toward a December taper. Today’s news includes ISM, with non-mfg ISM and Beige Book on Wednesday and the Employment situation on Friday. Markit’s PMI data was released this morning for the eurozone and was mixed. As a whole “Output, new orders and new exports all expand for the […]
