Archive for the ‘Eurodollar Options’ Category
March 20. Front end reflects EU bank funding concerns
–Front part of eurodollar curve under pressure as european bank funding pressures grow due to Cyprus’ rejection of the deposit tax. Large buying of near puts, for example EDJ 9962p traded 0.75 early and buying continued to 2.0, settled 2.5. Front eurodollar options have barely traded in past few months, but EDM3 puts added 52k […]
March 19. Bank holiday in Cyprus continues as parliament doesn’t have tax votes
–US interest rate futures are again rallying this morning, though still well below Sunday evening highs, as Cyprus’ parliament apparently doesn’t have the votes to pass the deposit tax. I have seen many articles detailing the composition of depositors, “this is a tax on Russian money launderers” and yet I have seen nothing on who […]
March 18. Cyprus forced to announce tax on bank deposits
–Upon learning of the Cypriot bank account tax grab, Obama immediately asked aides to come up with a similar proposal, saying most large depositors didn’t earn their money without the help of gov’t. Hillary Clinton, having been in the know beforehand, had daughter Chelsea buy a $10.5 million condo (better than having money in a […]
March 15. FOMC next week
–Midcurve eurodollar options expire today, as do equity options. Economic news includes CPI expected +0.5 and +0.2. Empire State 10.0, Industrial Production +0.5 with Capacity 79.4. –Economic news remains mixed. Stocks continue higher, as does high end real estate, supported by low rates. Things are less good for those under top as employment has only […]
March 13. Record IL farmland price/ AIG is back…(risk priced too low)
Mar 13. Retail Sales expected +0.5, and ten year note auction today. –Spirited rally in fixed income yesterday. The curve flattened with red/gold pack spread down over 6 bps to 168.25. 2/10 treasury spread fell 3.5 to 176.7. Short covering in eurodollars as Friday’s employment data fades from view, though retail sales are expected to […]
March 11. Fed’s own Flow of Funds report argues for removal of accommodation
Mar 11. Friday’s employment data was stronger than expected, sending US interest rate futures lower. Ten year yield was up over 6 bps to 205.5. All deferred calendar spreads in euro$’s made new highs, with red/gold pack spread up nearly 10 bps to a new recent high of 174. 2/10 treasury spread up 6 bps […]
March 8. Payroll day
–Payroll day expected 170k with rate of 7.8%. Dollar/yen continues to make new highs (95.66) and EUR/JPY nearly at a new high today (125.50). US curve has tended to steepen as the yen weakens, yesterday was no different as tens rose 5 bps to 1.99%. Red/gold euro$ pack spread was up just over 6 bps […]
March 4. Europe fraying
March 4. Curve flattened a bit more to new lows Friday even as stocks rebounded. 2/10 fell over 3 bps to 161.8, new recent low. Red/gold down 3.25 bps to 152. Ten year yield -3.5 to 185.2. Huge plunge in Personal Income for January, -3.6% as income (bonuses, special dividends) were pulled into the end […]
March 1. The sequester begins; dollar stronger, US treasuries moving higher
–Late failure in ESH (mini SP) saw new lows on the day as the dollar closed right on its highs. Dollar index (DXY) is at a 62% retrace of last year’s high in June to subsequent low, and moving averages are about to cross indicating further gains. (DXY higher this morning). Foreshadows a deflationary environment. […]
Feb 26. Can Bernanke alone undo Italian “risk off” damage?
–Bernanke speaks today in semi annual testimony to Congress. New Home Sales also out, as well as 5 year auction. –Extraordinary moves and volume yesterday with focus on the Italian election stalemate, one paper’s headline proclaiming “The Winner: Ingovernability.” (Hasn’t seemed to hurt the US so far…) It’s a rejection of austerity for the public […]
