Archive for the ‘Eurodollar Options’ Category
July 27. FOMC and employment report this week
–We’re on the verge of moving to much lower interest rates again. Perhaps the FOMC meeting this week will provide the fuel, or it might cause a dip to buy. Employment report is this Friday; the last one marked the lows in interest rate futures, perhaps for the year. Fives are 136 now, I think […]
July 26. Now is the Summer of our discontent….made worse
–Settlement prices were obsolete about ten minutes after the floor’s closing bell as Hilsenrath apparently put out a blog suggesting that the employment threshold could be lowered before the Fed contemplates hiking the FF rate. The blue pack, under early selling assault of 2k lot block trades, had settled -5.375, but rallied 6 bps post […]
July 25. July’s post-employment report rally comes to an abrupt end
–Most of the month’s trade in interest rate futures has been a grinding rally that erased the plunge from the unemployment report released July 5. Until yesterday. Tens rose about 7 bps in yield to 259. Red/gold pack spread jumped over 6.5 bps to nearly 267 as the gold pack closed -10.5. Euro$ straddles tacked […]
July 24. Ten years are rejecting sub 2.5% level
–Another very quiet day in interest rate futures. Ten year yield edged just above 2.5% to 2.513 as 5’s and 7’s are slated for auction today and tomorrow. Two year auction was uneventful. –PMI data for the eurozone turned up, however, the HSBC flash PMI for China fell to an 11 month low at 47.7. […]
July 23. Quiet but steady US markets; 2 yr note auction today
July 23. Not much net change in interest rate futures Monday, but implied vol continues to get hit and some of the eurodollar calendar spreads edged to monthly lows. TYU 127.0 straddle settled Friday at 1’40, but closed 1’33 yesterday at 5.0 vol. Near one year calendars like EDZ13/EDZ14 came in by half a tick, […]
July 21. Low rates as far as the eye can see
–Rates continued to drift lower Friday with tens closing just under 2.5%. Japan’s election solidifies support for Abe and yen depreciation. –Detroit’s bankruptcy and Chicago’s downgrade (‘we got your back Detroit, right behind ya’) focuses attention on unfunded liabilities. “Early this year, the Pew Center released a survey showing that 61 of the nation’s largest […]
July 10. China’s trade data reflects slack global demand
–Today brings the US ten year note auction, FOMC minutes, and late in the day at 4:10 NY time, Bernanke speaks followed by Q&A. There is little reason to backtrack on the idea of modest tapering in September since the damage has already been absorbed. –Yesterday saw a big drop in EUR, threatening April’s low, […]
July 9. Profit taking on Monday after yield surge
–Solid bounce Monday after Friday’s drubbing of the long end. Ten year note fell about 6.5 bps to 2.645. Treasury auctions 3 yrs today, followed by tens and bonds Wed and Thursday. Curve flattened slightly relative to Friday’s surge, red/gold pack spread narrowed nearly 6 bps to 281. –The auctions this week are important to […]
July 8. NFP sparks bond panic
–Carnage in back end of the curve as the employment report was slightly stronger than expected with NFP +195k. Ten year yield rose nearly 1/4% to 2.71. Red/gold pack spread jumped 27 bps to just under 287. Green/blue pack spread was up 11 to 109; colleague Art Main notes it’s the highest level of this […]
July 5. Employment report and forward guidance, higher US long rates?
–FORWARD GUIDANCE. (BBG) Draghi [on thursday] told reporters in Frankfurt that the ECB planned to keep its interest rates low or even lower for an “extended period” and that it was injecting a “downward bias in interest rates for the foreseeable future.” –So rather than use long term repos to explicitly keep funding costs known, […]
