Archive for the ‘Eurodollar Options’ Category
Oct 29. All calm before the FOMC
–Green eurodollar pack continues to outperform, driven partly by option position exits. (Details below). Red/green pack spread edged to a new recent low of 72.375, -1.0 on the day. And while long dated green straddles maintained their recent bid, a new position seller of 6k green March midcurve 9875^ took the settlement down 1 bp […]
Oct 28. Little mentioned food stamp cuts could turn into big news
–This week brings the FOMC meeting Wednesday, Retail Sales Tuesday and treasury auctions of 2, 5 and 7 year notes, beginning today. –The theme in eurodollar options on Friday was put spread selling. EDH6 9900/9875ps sold about 50k (open interest -26k) and EDM6 9850/9825ps sold 60k (open interest -42k). These sales helped the green pack […]
Oct 25. Bikes, not oil
–Interest rate futures backed off their highs yesterday, as the notable feature of the day was large buying of Green Dec put condors (2EZ 9875/9862/9850/9837 for 1, 50k). On Wednesday there had been a large outright buyer of EDZ5, so this trade, and other 2EZ put buys, could be related – downside protection. Ten year […]
Oct 24. Technical yield levels reached; bonds should consolidate here
–Follow through yesterday; the curve continued to flatten, implied vol under pressure. New lows in most one-year calendar spreads in euro$’s, with the highest spread now under 100 bps (EDH16/H17 at 97.5). Huge outright buy orders came into EDZ15 and EDH16. Total open interest in euro$’s was up over 100k, 40k alone in EDU15, EDZ15 […]
Oct 23. Treasury yields drop on weak jobs report.
–Soft employment report sent yields to new recent lows with tens down over 9 bps to just under 2.52. NFP 148k and Avg Hourly Earnings +0.1. Eurodollar calendar spreads made new lows. The peak one-yr spread is now 100 bps (EDZ15/EDZ16 which was down 4). Red/gold also at new low of 259, down over 10 […]
Oct 22. Today’s delayed Payroll Report; NFP expected 180k
–Yields backed up slightly with tens up a couple of bps to 2.61. Activity was sparse at best, though there was a large buyer of EDZ3 up to 9975.5 as the 3 month Libor setting dribbles lower (just under 24 bps). Open interest increased nearly 6k. –The long awaited payroll report is released today, expected […]
Oct 21. Delayed data week. Employment report on Tuesday
–Notable put buying Friday in euro$’s led to modest losses with blue pack (4th yr) the weakest at -3.75. There was a new buyer of both blue Nov and Dec 9775/9762 put strips in size of about 25k each. Delta of around 60 in Nov and 70 in Dec which translates into over 30k futures. […]
Oct 18. Bacon beer milkshakes and gasoline
–Strong rally in interest rate futures with ten yr yield plunging over 13.5 bps to 2.583. The curve flattened with 2/10 down 10 bps to 227. Eurodollar one year calendar spreads made new lows, for example EDZ14/EDZ15 fell 3 bps to 59. EDZ15/16 is still above 100 at 102, but was down 5 on the […]
Oct 17. Treasuries rally on debt accord, surprising the shorts
I want a girl with uninterrupted prosperity Who uses a machete to cut through red tape -CAKE ————————————————- The chart below looks like a penny stock that some charlatan has perpetrated a pump-and-dump scheme on, but no, just the Oct 24 T-bill during gov’t negotiations… Oct 17. The gov’t passed a bill to avert debt […]
Oct 16. Me worry?
–Approaching the disaster deadline for a government deal. Yesterday afternoon Fitch put the US on negative credit watch. From Reuters: North Carolina is first state to cut welfare amid federal shutdown. It all sounds pretty bad, right? And yet the range in SP’s in the month of October so far is smaller than the last […]
