Archive for the ‘Eurodollar Options’ Category
Nov 29. Slow growth, deflationary pall, but capital still searching for returns
–(Reuters) “ECB data released on Thursday showed loans to the private sector shrank by 2.1 percent in October from the same month a year ago, equaling the biggest fall on record. A Reuters poll of economists had pointed to a contraction of 1.8 percent.” –How can one say that the crisis in the EU has […]
Nov 27. Low rates. Long time. But can we be sure?
–Standout this morning is new high in EUR/JPY to 138.50, it was as low as 131.50 earlier in the month. Maybe it’s not so hard to reach 2% inflation when your currency depreciates 5% in less than a month. Nikkei futures not quite at new high, but close. –Stubborn bid in US interest rate futures […]
Nov 18. Underlying collateral behind treasuries is…student loans?!?!
–Late Thursday Moody’s downgraded several banks, GS, JPM, MS…yet on Friday the first two rose and MS was unchanged, swept up in the euphoria of new highs in stock indices. In euro$’s there was an early large (20k) buyer of blue Dec 9812c covered, synthetically bought the straddle for 23.5, yet it settled 22.5 (position […]
Nov 15. Stocks love Yellen
Yellen at yesterday’s confirmation hearing: “I consider it imperative that we do what we can to promote a very strong recovery,” –Rates fell again yesterday, with a strong performance in deferred eurodollars as the blue pack jumped 10 bps. New lows in some of the near spreads, for example EDH14/EDH15 fell 2.5 bps to 21.5. […]
Nov 14. It’s Jackie’s world, we just live in it.
“That’s outrageous, egregious, preposterous” –Jackie Chiles Nov 14. It’s almost as if someone actually KNEW that Yellen’s testimony would be released on Wednesday afternoon and that she would dutifully say that the Fed has more work to do. In any case, interest rate futures added to already robust gains when the prepared remarks were released […]
Nov 13. Ten year auction today, Yellen hearing tomorrow
–Atlanta Fed’s Lockhart said yesterday that he would like to see movement toward the 2% inflation target before tapering… Inflation is “stable but too low”. His case wasn’t helped by commodities yesterday as crude oil, gold, silver and copper declined to levels last seen in early August. Dec Crude is around 93, having traded 108 […]
Nov 12. Rates poised to move higher
–Quiet session yesterday though underlying concerns about tapering prospects were reflected by several spreads. For example, red/gold euro$ pack spread edged to a new high of 285, up slightly more than 2 bps. According to futures, 2/10 also made a slight new high, I estimate 244.5. Implied vol was slightly firmer in tens. Bloomberg notes […]
November 8. S&P cuts France to AA. Payrolls expected +120k.
–ECB cut rates yesterday and France was rewarded with a downgrade to AA by S&P today. Euro/yen which was 135.50 in late October closed on the low yesterday at 131.50 as the ECB tiptoes into zero rate territory, uncomfortably joining the BoJ and Fed. –While US Q3 GDP printed 2.8, it appears as if an […]
Nov 5. Fed speakers support dovish outlook
–Slight rebound in interest rate futures after Friday’s slide. Ten year yield -1.5 to 2.60. New low in the first two one-year eurodollar calendar spreads with Dec 13/14 down 1 at 17.5 and March’14/March’15 down 1.5 at 24.5. The latter compares to March’15/16 at 73.0, a difference on nearly 50 bps as an option on […]
Oct 30. FOMC statement today. No drama (or press conference) expected
–FOMC announcement this afternoon. Other news includes ADP expected 138k, CPI expected +0.2 with Core +0.2 as well, and the 7 yr treasury auction. (Clues on jobs, inflation, and treasury dislocations caused by QE all in the hours before the Fed statement). –Yesterday’s PPI data indicates continued low inflation, well under the Fed’s target. Y-o-y […]
