Archive for the ‘Eurodollar Options’ Category
EDZ14…9950c strike getting interesting
Midcurve EDZ4 (0EZ4) 9950c have 463k in open interest (1.5/2.0 ref 9936, delta ~ 18). Most of which is a result of sales of 0EZ 9900/9950 strangles and 0EZ 9912/9950 strangles vs blue midcurve put spreads. The 9950c leg was sold down to 1.0. The high in EDZ4 in August (on the 12th) was 9942.5. […]
In: Eurodollar Options
Sept 16. Summers drops bid to become Fed Chairman
–Markets exploded as Summers withdrew his name from consideration for Fed chair. Ten year rallied over a point, green eurodollars were 18 higher, blues up 23 before settling back. Mini-SP’s rose over 20 handles to new highs. Mimosas all around at the opening of the FOMC meeting… –Though Yellen is the frontrunner, a modest tapering […]
In: Eurodollar Options
Sept 13. Fed meeting next week
–Much lower than expected Jobless Claims caused a spike lower in treasury futures which instantly reversed as data was skewed by technical glitches. However, the trend in claims remains lower. By the end of the day, treasuries had given up intraday highs and were around unchanged, the eurodollar curve steepened with reds closing +1.5 and […]
In: Eurodollar Options
Sept 11. Economic data doesn’t seem to justify 3% tens…
–Interest rate futures slipped lower Tuesday, with ten year yield rising 6 bps to 2.96. Curve steepened with 2/10 up 3 to just over 249. A reduction in tensions concerning Syria removed some of the safety bid, and treasury supply of tens today and 30’s tomorrow also weighed on the market. Verizon deal is also […]
In: Eurodollar Options
Sept 10. Will austerity ever hit Illinois?
Here’s some excerpts from a Bloomberg article in Jan 2011, 2.75 years ago: http://www.bloomberg.com/news/2011-01-12/illinois-governor-quinn-calls-67-increase-in-income-tax-crucial-to-state.html Illinois Governor Pat Quinn will ask lawmakers next month to authorize an $8.75 billion bond sale to pay at least $6 billion in overdue bills. ….Money reaped by raising the [income tax] rate to 5 percent from 3 percent is first […]
In: Eurodollar Options
Sept 9. Obama presses case against Syria on 9/11 anniversary
–Interest rate futures bounced on Friday’s employment data as NFP was only 169k with downward revisions to previous months, with a new 35 yr low in the labor participation rate. At the initial participation level, unemployment would be 10.8%. At this rate we’re nearly a decade away from pre-recession employment. –In terms of the continuing […]
Sept 6. Payroll day
–Employment data today with nonfarms expected +175k, rate of 7.4, hourly earnings +0.2. Rates continued to march higher with tens up 8 bps to 2.975. Near eurodollar calendar spreads hit new highs, with EDZ3/EDZ4 climbing above 1/2% to 54.5, up 6.5 on the day. However, back spreads declined. Green pack was weakest -13.125, blues -11.375 […]
Sept 5. Five year note being gutted
–Relentless rise in yields continues as the five year note rose nearly 7 bps to 1.74. Tens up nearly 5 bps to 289.5. Five year note futures added 24k in open interest as there was a buyer of 50k FVX 118/117.5p spreads. With FVZ closing just below 119, the upper strike is about 19 bps […]
Sept 3. Relentless rise to higher yields
Sept 3. Ten year posted a new high yield at 291 yesterday before easing back to close just under 285 (up 9 bps from Friday). Option trade still leans heavily to put buying, with implied vol strengthening on the down trade. Ten year inflation indexed note also gained about 9 bps from Friday, having now […]
Sept 2. Bonds shorts are firmly in control
–From BBG: “Stocks climbed around the world and copper rallied as manufacturing in China and Europe expanded and prospects of an imminent strike on Syria faded. The yen weakened, bonds declined and crude oil fell for a third day.” PMI data from the EU better than expected. Dollar/yen has been moving sideways since April but […]
