Archive for the ‘Eurodollar Options’ Category
June 13. When gov’t policies backfire: Japan
–Japan taking center stage again as Nikkei falls 6% and USD/JPY dipped below 94. But the turmoil sparked by Abenomics isn’t limited to Japan, it has also spilled into emerging markets. Indonesia hiked rates to stem the slide of the rupiah, Brazil again cut a financial transaction tax to help support the real, India and […]
June 12. Bond yields spike, then close lower…
–Turnaround Tuesday as interest rate futures spiked to new lows in the morning and then rallied to close higher. There was a brief pullback after the 3 yr auction, but it was around that time that news reports surfaced about Japan’s FSA proposing to have investors “bail-in” banks in case of problems. Japan FSA plans […]
June 11. Negative convexity pressure in the face of falling inflation
–US interest rates continue to rise with tens up 5.5 bps to 221.5 as of Friday pit session close, now 2.25. Bullard made comments yesterday that low inflation could prolong QE, and indeed ten yr treasury to tip spread made a new low just under 215. However, all eurodollar calendar spreads made new highs, with […]
June 10. Fundamental economic picture diverges with bond market technicals
–Friday’s reaction to unemployment underscored the sentiment shift in the bond market as the ten year note jumped 9 bps to nearly 217. NFP was about as expected though some aspects of the report were weak, including wage growth (avg hourly earnings up 0.0). However, all back month eurodollar calendar spreads made new highs; red/gold […]
June 7. Payroll day. Yen surge
–Obama vowed to run history’s most transparent administration. We just didn’t know he meant private citizens’ phone calls, texts, financial records, internet communications would be made transparent to the gov’t… Is that part of the reason the dollar was crushed like an errant protester yesterday? Euro surged to its highest level in three months. Yen […]
June 6. Both inflation spreads and labor data suggest delay in tapering
–Such is the concern that income from the “wealth effect” must be “created” to keep the economy improving, that the merest hint of a correction sends yields lower. Tens fell 4 bps to 209.5. Of course, data this week did nothing to convince policy makers that we’ve hit escape velocity, with ISM below 50 (49) […]
June 3. Hindenburg omen for stocks, support for treasuries?
–There was record volume in interest rate futures Friday as the ten year note yield rose 4.5 bps to nearly 217 (at 2:00pm floor close). As the floor session for interest rates was closing, stocks began to sell off, in part due to index rebalancing, and TY rallied half a point to the 129.5 strike. […]
May 31. The month has seen a sentiment shift toward less Fed accommodation.
–Starting the day, and ending the month, with some weakness in stock index futures (ESM -12) as dollar/yen drifts lower (100.45). Interest rate futures are continuing their bounce from Wednesday’s plunge. –Interestingly the long dated Green (third year) straddles remain very well bid, closing slightly higher on the day in spite of treasury vol selling. […]
May 30. Abenomics continues to provide volatility, Nikkei -5%
–After an early plunge, US interest rate futures came back to close nearly unchanged. Ten year yield ended just above 212, having tested 220 early in the day. Red eurodollars were the weakest at settlement, down 2.5 bps, while golds closed up a similar amount (+2.375). While there is still a lot of put buying, […]
May 29. US yields jump on heavy volume
–Huge jump in US rates yesterday with tens up 12.5 bps to 213, and up to 217 shortly after close of open outcry. Now at 219 as JGB’s also rose in yield to 93. Bruce Krasting had a piece [Bond Vortex…] which suggested a lot of negative convexity hedging would come into play around 220 […]
