Archive for the ‘Eurodollar Options’ Category
Feb 25. Bernanke semi-annual testimony Tuesday
–GBP made new low as Moody’s downgraded the UK late Friday. USD/JPY near new high apparently due to Kuroda as choice to head BoJ (favors monetary expansion). EUR is currently firming, awaiting Italy election outcome. HSBC flash PMI for China lower than expected at 50.4 (from 52.3 last). –Bernanke speaks in Congressional semi-annual testimony on […]
Feb 21. Fed minutes add to QE uncertainty, markets adopt “risk off” posture
–From FOMC minutes: “…many participants also expressed some concerns about potential costs and risks arising from further assset purchases.” And, “A number of participants stated that an ongoing evaluation of the efficacy, costs, and risks of asset purchases might well lead the Committee to taper or end its purchases before it judged that a substantial […]
Feb 18. Monetization, the only game in town
–G20 gave Japan a pass on currency devaluation so USD/JPY testing new highs this morning. Japan is racing to the endgame of massive monetization without official objection from the G20, but certainly the heat is turned up regarding currency wars. –In a way, the US policy response is embodied in an interview Greenspan did with […]
Feb 13. Ten year note yield again testing 2%
–Yields edged higher yesterday with 10 year up 3.5 bps to 1.98, and this morning trading 2.00% in front of today’s ten year auction. 30 year bond to follow tomorrow. Curve was a bit steeper with 2/10 at 172 and red/gold pack spread up nearly 4.5 bps to 163.25. Recent high has been 166 which […]
Feb 12. Goodbye Yellow Brick Road
When are you gonna come down When are you going to land I should have stayed on the farm I should have listened to my old man, Elton John Feb 12. Today’s news includes NFIB Small business optimism survey, which is near historic lows as Obama dusts off tired economic proposals in this evening’s State […]
Feb 11. This week brings State of the Union and Retail Sales
–Not much net change Friday in US rates. This week brings 3, 10 and 30 year bond auctions beginning Tuesday. State of the Union speech is Tuesday evening with Obama expected to focus on job creation through more spending on infrastructure, clean energy and education. Again. –Also Tuesday morning is NFIB’s small business optimism reading, […]
Feb 8. Treasury yields slip lower
–Massive put selling (liquidation) to start the day with about 35k Gold June euro$ 9775, 9750 and 9737 puts sold along with 5k Gold Sept 9750 puts. Delta equivalent about +11-12k futures. TYH 130.5p sold in size of at least 15k. Curve flattened with red/gold down nearly 4 bps to 156.4, off the Feb 1 […]
Feb 7. ECB meeting today
–I have been negative on the long end of the US curve, but yesterday turned short term neutral as peripheral EU bond yields remain stubbornly bid. Might as well include French yields as well. Additionally, after a meteoric rise in USDJPY, a target was hit; a pause in yen weakness would likely result in consolidation […]
Feb 6. Operation Last Resort
–USD/JPY at 93.65 this morning, another new high. From 2007 high 124.14 to 2011 low 75.35, 38% is 94.00…getting very close to this level, with a few old highs just above 94.00 in early 2010. –US rates were higher yesterday with tens +4.5 bps to 201. Long March treasury puts continue to be rolled into […]
Feb 4. Last year’s ten year low yield will not be seen again
–Not much net change in interest rate futures Friday; a short cover relief rally after employment data sputtered, and bonds made a new low settle. Pervasive weakness in yen is unrelenting. New high USDJPY to 92.80 and in EURJPY to 126.60, a 26% move in 2 1/2 months. The head of Japan’s Gov’t Pension Investment […]
