Archive for the ‘Eurodollar Options’ Category
April 19. Success in the fight against deflation… McDonalds in Japan raises prices
–Stocks fell yesterday but not much net change in fixed income, though the curve edged to slight new lows, for example red/gold pack spread fell 2.626 bps to just under 247. –This morning the yen is under renewed pressure as G20 refrained from censure of Abe policies. USD/JPY around 99.25, not quite at new high. […]
April 18. Rolling earthquakes
–The big picture is that markets are experiencing one large adjustment after another, perhaps analogous to the shifting of tectonic plates that create rolling earthquakes and various aftershocks. The first large move was the fall in the yen, and the change in sentiment towards AAPL which is down 42% from its high in mid-Sept. Gold […]
April 17. Buyers remorse
–US interest rate futures eased lower as gold and stocks rebounded. Economic data was mixed, with strong housing starts but less strong permits, better than expected Industrial Production but a negative CPI print of -0.2. Today there are several Fed speakers. Beige Book in the afternoon. –From Business Insider: “European new car registrations fell by […]
April 14. Friday’s gold plunge: a bad omen for global finance?
–Interest rates continued to fall Friday as Retail Sales, Consumer Sentiment and PPI all printed lower than expected. Tens fell 7 bps to 1.72, and of course the curve flattened as well with red/gold pack spread -6 bps to 1.52, nearing the previous Friday’s recent low of 149 (so far this calendar year low has […]
April 12. No one likes the Winklevoss twins
–Another quiet day in US rates yesterday; yields edged lower. April midcurves expire today in dollars, the Blue April 9887.5^ was sold heavily at 4.0, as of this writing the calls are 4 in the money (9891.5). A weak retail sales number could cause a gamma scramble to the upside. –Today’s news includes Retail Sales […]
April 11. KPMG uses the ‘Fed leak’ defense: “See? everone’s doin’ it”
–Yields went higher as the treasury auctioned 10’s, and leaked Fed minutes indicated growing momentum for the idea of pulling back on QE this year. The curve steepened with 2/10 up 5.5 to 140.5. (Maybe the KPMG guy can just use the Fed leak defense: “it was all just a big unintentional mistake…sorry…all good now, […]
April 10. So why invest?
–Little change in the short end of the dollar curve. Longer dated treasuries crept to higher yields in front of auctions (10’s today and 30’s tomorrow). Ten year yield closed just under 175. Implied vol continues to rot. For example, TYK 133 straddle settled at 1’06 last Thursday (ref 132-28), and yesterday at 0’52 (ref […]
April 9. Japan’s increase in QE doing Fed’s heavy lifting; US can taper off QE…
–US interest rate futures fell yesterday and the curve steepened, erasing Friday’s move to new lows. Dollar/yen was the star performer, exploding to a high of 9937, nearing 50% of the last large leg down from 2007 high of 123.95 to the 2011 low of 75.35 (99.65). Ten year swap spread posted a new high […]
April 8. Alcoa announces today….
Below is chart of Alcoa (AA, white line) with the generic price of 2nd contract in Aluminum (orange line). I had read a snippet on a financial news website that Alcoa “sets the tone for earnings season.” Perhaps there is some predictive power associated with a “miss” or “beat” on earnings, but given that AA […]
April 8. New lows in the yen…Japanese investors search for safer yields
–Normally when one thinks of “hot money” flows, it’s in conjunction with emerging economies that become overwhelmed and destabilized. But given uncertainties in the EU, the overt goal of Japan to depreciate the yen (‘smashing’ success), and N Korean belligerence, US capital markets are the “beneficiaries” of internat’l capital. Even without a weaker than expected […]
