Archive for the ‘Eurodollar Options’ Category
August 29. Rates moving higher more easily than they fall…
–Most of Tuesday’s fixed income rally was reversed yesterday as the treasury auctioned 5’s. In euro$’s there was quite a bit of put buying, mostly exits. Both Brazil and Indonesia raised rates, to 9 and 7% respectively as emerging markets try to stem capital flight. Interesting data from the IMF that emerging economies have overtaken […]
August 27. Syria jumps into forefront
–Interest rate futures rallied in the wake of weak Durables (-7.3%), with ten year yield down nearly 2 bps to just above 280. Not much change in the curve. After the data, Goldman reduced Q3 GDP tracking from 1.8 to 1.7 while Morgan St cut from 2.7 to 2.3. While the Fed will certainly have […]
Aug 22. Bond carnage continues; India Rupee plunging
–Selling pressure continued Wednesday in US fixed income after FOMC minutes as members were comfortable with Bernanke’s tapering plan. Just before the release, tens were at the highs of the session, but made new lows into the afternoon with further losses this morning as China’s PMI surprised to the upside at 50.1. Tens went above […]
Aug 15. Inflation concerns?
–Not much net change in interest rate futures yesterday…no bounce. However, the back end of the curve firmed ever so slightly with gold euro$ pack up 2 bps. Notable buyer of 14k TYX (Nov) 123 p for 46 to 47 …new position, 30 delta. (Late Oct expiration…timed for debt ceiling/budget battle? ) –Quite a bit […]
August 14. Bond yields jump
–Yields jumped yesterday with tens up over 11 bps to 2.714. While 5’s and tens are still below high yield marks set on the July employment report (tens had gotten to 2.74), 30 yr bonds did equal that high at 3.755 (up 9 bps yesterday). A paper from the SF Fed suggests that QE provided […]
Aug 12. The risk for bond prices is to upside, what if the Fed DOESN’T taper?
–Treasuries continue to grind to lower yields with the new ten year down 1 bp to 2.578. Volume was quite light, and open interest declined across the treasury curve, suggesting short covering. (2’s -4900. 5’s -15k, tens -3700, bonds -5600. But euro$’s added 43k positions). Tapering is still a hot topic as we get get […]
Aug 7, 2013. Reallocation in US weighs on stocks, the great counter-rotation
–Ten year auction today, followed by Consumer Credit at the end of the session. –Japan down 4% today and US stocks opening weaker. Some attributing the sell off to more certainty about near term tapering, but perhaps the Japan sell off has something to do with RADIOACTIVE WATER CONTAMINATION from Fukishima. That situation is getting […]
Aug 5. Terrorism concerns resurface
–Very different reactions when comparing this employment report and the last one. On July 5 rates had been moving higher in the month prior, and new highs were set in many rates/spreads. On that day, NFP was 195 with 7.6 rate and Avg Hrly earnings +0.4. Ten year yield hit 274, 2/10 spread 232, red/gold […]
August 2. Yields surge in front of today’s Employment Report
–The last employment release on July 5 was when rates previously hit their highs for the year, 161.4 in fives, 2.74 in tens, 3.714 in bonds. Yesterday, the bond yield exceeded that high by 6 bps, but tens were about 2 bps shy at 2.72 and fives 11.5 below the old high at 1.50. Stronger […]
July 30. Seven Faces of The Peril
–Rates edged slightly higher yesterday on low volume. This morning Aussie testing new lows as RBA’s Stevens doesn’t see impediments to further easing. Japan stocks bounced and Shanghai stabilized, but looking at the Shanghai Composite chart visually defines a failed market. –Going into tomorrow’s FOMC the market looks for clues to tapering. Core PCE price […]
