Archive for the ‘Eurodollar Options’ Category
Oct 14. Closer to a SNAP?
–Another day closer to default as negotiations sputter. Some minor adjustments in pricing have occurred, for example t-bills maturing at the same time as a potential 6 week spending extension saw a jump in yields as the default scenario would shift to that time frame. In general though, markets have observed gov’t bickering with a […]
Oct 10. Short term debt limit increase looks likely
–Obama provided an opening on the debt ceiling impasse with the suggestion of a short-term increase to allow further negotiations and it looks like Republicans are going to crawl through it. Stocks are rebounding and treasuries fading. Tensions in the market were easing yesterday as implied vol slid. For example the Dec bond closed -9 […]
Oct 9. Yellen nomination should provide smooth 10 year auction today
Saw a man with the jinx in the third degree From trying to deal with people–people you can’t see Take away, take away, this house of mirrors Give away, give away, all the souvenirs We’re all in the same boat ready to float off the edge of the world –LIFE IS A CARNIVAL by The […]
Oct 8. Default concerns continue to trickle into markets
–The eurodollar curve flattened yesterday with reds -1.5 and golds +2.125. An early rally in interest rate futures faded toward the end of the day, as some pointed to a Forbes piece that said Obama is likely to choose Donald Kohn as the next Fed chief. The market’s view is that anyone besides Yellen is […]
Oct 7. Still closed.
–As gov’t deadlock continues, stock futures this Monday morning are approaching last week’s lows. But complacency has its own inertia, as this line from the WSJ demonstrates: “As they sift through the Washington mess, some money managers think it could be a blessing. Any stock selloff, they say, would be a buying opportunity.” In other […]
Oct 4. No employment report. Watch for front end scare if Stein gets misinterpreted
–No employment report today due to gov’t closure. However there will be several Fed speakers including Fisher, Stein, Lacker and Kocherlakota. Stein is speaking on tri-party repos, which will likely become the primary policy tool for setting short term rates (now in testing phase until January). Dudley has explained previously that Fed’s current testing of […]
Oct 3. Gov’t shutdown will drag on…
–The government shutdown continues, and the way it looks it will come down to the Oct 17 wire. Another shutdown, probably more harmful to the US economy, is the Silk Road website and arrest of Dread Pirate Roberts. (Used bitcoins as medium of exchange for drugs to avoid tracking). Of course I am joking about […]
Oct 2. Let’s all skip work
–ECB meeting today and ADP data in US (expected +170-180k). Draghi expected to continue to hint at another Long Term Repo Op without actually doing it. An FT piece the other day by Weidmann alludes to a central problem associated with LTRO, namely banks loading up on too much sovereign debt which gets preferential credit […]
Oct 1. 4th Quarter opens with a government holiday
–Not much of a reaction to the gov’t shutdown besides a weaker dollar and elevated levels of implied volatility in interest rate futures. Near eurodollar calendar spreads are making new lows, for example Dec’13/Dec’14 settled -2 at 22.5, down nearly 1/4% from the high of 54.5 set just prior to the last employment report. While […]
Sept 30. Gov’t shutdown looms
–It’s all about the government shutdown now. S&P futures currently down 13. Eurodollar futures were higher overnight but gave back most gains, near contracts now -0.5 to 1.5 bps, while backs cling to small positive prints. –Eurodollar calendar spreads continued to decline to new recent lows Friday, with the highest one year spread being EDZ15/EDZ16 […]
In: Eurodollar Options
