Archive for the ‘Eurodollar Options’ Category
May 28. Bonds trade heavy
–First, a bit of Chicago news, where the Blackhawks scored 3 goals in the third to force game 7 on Wednesday. http://sports.yahoo.com/blogs/nhl-puck-daddy/blackhawks-force-game-7-michael-frolik-nasty-penalty-025518418.html –Sell in May and go away? Certainly that’s been the case for the Dow Jones Utility avg which has lost 7.2% this month. The start of May saw it at a five year […]
May 24. Treasury option expiration. Happy Memorial Day weekend
–Not much net change in interest rates yesterday. June treasury options expire today with ten years likely pegging the 131.5 strike, around the 2% yield. Option open interest doesn’t lend much of a clue, with 132 thru 130.5 puts all having open positions of 45-50k. Early close for the holiday…auto exercise determined by noon CST […]
May 23. Bernanke hints at pullback; Japan unhinged.
–Extraordinary volume associated with yesterday’s sell off in US treasuries. Tens trade 3.1 million and euro$ 4.4. While Bernanke warned that less accommodation would “carry a substantial risk of slowing or ending the economic recovery”, he also said the Fed could start reducing bond buying “in the next few meetings”. The mere hint of a […]
May 22. Bernanke testimony before JEC
–The Bernank appears before Congress today and FOMC releases minutes of its last meeting. –The BoJ “affirmed a plan to double the monetary base, pledging to adjust policy as needed after a jump in bond yields threatened to undermine stimulus… BOJ Governor Haruhiko Kuroda told reporters in Tokyo that the central bank will conduct its […]
May 21. JGB yield rise along with hints of QE reduction could cause bond sell off
–US interest rate futures closed slightly lower yesterday with ten yr note tacking on just over 1 bp to yield 196.3. There were some large trades in September ten year options, new put spread buyers and a new seller of 20k 129/133 strangles 58 to 57. The 129 strike is about 22-23 bps away, which […]
May 20. Bernanke in front of JEC Wednesday, hint of QE reduction?
–BBG “Japanese Economy Minister Akira Amari said further losses in the currency would threaten to negatively affect people and the government’s job is to minimize that.” The yen has bounced, but the Nikkei is up 1.5% (nominally above DJIA) and JGB yield is up a few bps to 84. Silver plunged at the open last […]
May 17. Move to higher yields reverses abruptly
–Yesterday’s economic news was decidedly soft with Jobless Claims up, Philly Fed -5.2 and CPI -0.4 with Core only +0.1. However, it took comments late in the day from SF Fed’s Williams to cause a downturn in stocks, saying that the Fed may reduce bond buying by this summer. –This morning the dollar is stronger, […]
May 13. US rates jump Friday, Japan yields surging
–US rates jumped Friday on big volume, with tens up 9 bps to 1.90. Curve made new highs. 2/10 rose a bit over 7 bps to 166 and red/gold euro$ pack spread was up a stunning 12.5 bps to 171. The rumored Hilsenrath tapering article came out late Friday: Fed Maps Exit From Stimulus. Now […]
May 10. All about yen
–$/yen burst through 100 yesterday and quickly surged to a new high at 100.60, and is now 101.20 as G7 meets. Japanese ten year jumped 11 bps to 70, a huge percentage yield increase. As Japanese investors move abroad for bond investments, funding the gov’t will become a problem for Japan. US rates also moved […]
May 8. Skeptical undertone in the markets
–The Fed’s QE in support of asset prices is supposed to lead to increased confidence and “escape velocity” in the economy, or at least that’s what is hoped. However, skepticism, rather than confidence, seems more prevalent. “Much of the market’s gains in the past few years have been due to the Federal Reserve making money […]
