Archive for the ‘Eurodollar Options’ Category
July 3. Could banking issues in Europe and China pressure short term dollar rates?
–Not much in the way of good news this morning as S&P downgraded Barclays, Deutsche and Credit Suisse. Tensions in Egypt, Portugal, Greece, etc are sending equities lower. August Crude traded over 102/bbl. August’13 crude is trading with a premium of about $8.50 to August’14…this spread was about $4 at the beginning of June, so […]
July 2. Could China’s banking problems spill over?
–Not much to say about Monday’s session. However EDM15/EDM16 rose 1.5 bps to a new high at 102.5. The peak of the one year spreads remains EDU15/U16 which pegged its high at 106. New high as well in red/gold pack spread at 259.6 up 4.5 on the day. Continuing adjustments to the idea that actual […]
June 27. Fed’s going to have to keep revising growth forecasts lower
–Interest rate futures bounced Wednesday in spite of a mediocre five year auction. Q1 GDP was revised down to 1.8. It’s interesting to look at the last few FOMC growth projections. Last December, the “central tendency” projection for 2013 GDP was 2.3 to 3.0. In March it was 2.3 to 2.8. In June it was […]
June 26. Quarter end capitulation?
–New lows in gold and silver this morning with GCQ down 50 (around 1225) and SIN down over a dollar below 18.40. Interest rate futures were lower last evening but have rebounded and now show modest gains. –Yesterday tens rose a bit over 4 bps to 258.6. The curve made new highs with 2/10 to […]
June 24. All aboard the pain train.
–Real rates continue to explode higher, as ten year inflation index note hit a yield of 52 bps. Ten yr treasury minus tip spread fell under 2% (for the first time since late 2011). The ten year treasury yield was up 9 bps to 251 and went higher yet after the floor close. –There was […]
June 20. Nearing the summer solstice, the longest day of the year (for bond longs)
–After a long period of complacency, volatility has come back with a vengeance. Massive sell off in fixed income after Bernanke suggested tapering could begin, depending on data. The huge convexity vortex that Bruce Krasting had mentioned would kick in around 2.20 yield was right on target, as tens jumped over 12 bps to 2.30 […]
As US real yields rise, emerging markets get hit? 18-june 2013
The chart below is the US ten year note yield – US ten year inflation index note yield (the red line, often cited as a proxy for long term inflation expectations) AND the Brazil stock market (IBOVESPA). The red chart shows that US inflation expectations have fallen this year from 260 bps to around 210 bps […]
June 18. Curve steepens to new high in front of FOMC tomorrow
–Curve steepened to new highs yesterday with 2/10 treasury spread up 5 bps to 191.4 and (new) red/gold euro$ pack spread up over 7.5 to nearly 213. A piece by FT late in the day suggesting the onset of tapering accelerated the bond slide, but as the author pointed out, the Fed doesn’t leak stuff […]
June 17. Inflation and helicoptors
–Sharply lower interest rates Friday as the market continued to digest Thursday’s Hilsenrath blog, which said that the Fed was going to ‘push back’ market expectations of rate tightening. The green euro$ pack, (third year out) saw the strongest rally, closing +10.375 bps. The five year note fell over 7 bps in yield. Red/gold pack […]
June 14. Fed fine-tuning; a world of central control
–Just after the close of the pit, WSJ’s Hilsenrath released a blog saying the Fed was likely to push back market expectations of rate increases. http://blogs.wsj.com/economics/2013/06/13/fed-likely-to-push-back-on-market-expectations-of-rate-increase/ Interest rate futures immediately exploded higher, with greens jumping nearly 10 bps. Ten year note rose almost half a point from 129-005 settlement to 129-145. June euro$ midcurve options […]
