Archive for the ‘Eurodollar Options’ Category
Jan 30, 2013. Trend toward higher rates still in place.
–Trends that have been in place are continuing this morning, with yen weak against everything and EUR making new high vs USD. EUR/JPY now over 123.50. Stocks edging higher from yesterday’s gains. US interest rates are up, with the 30 yr bond contract making new lows. –Today’s news includes Q4 GDP (expected 1.1%), ADP, 7yr […]
Jan 25. New high EURJPY…risk on?
–This morning finds the US bond flirting with 145 strike and tens below 132 strike as Feb options expire. New highs being made in USDJPY and EURJPY. In the former, 38% retrace from 2007 high of 124 to low just above 75 in 2011, is 94, looks like next target, currently 90.80. And in EURJPY […]
Jan 24. Divergence between stocks and treasury yield curve is growing
–Japan records largest ever trade deficit (FT headline) and USD/JPY is approaching new high. China flash HSBC PMI hit a new 2 yr high at 51.9. The theme in Asia is reflation, led by depreciation in yen and stimulus in China. It’s the opposite case in the EU. France PMI tumbled to 42.7. (Although eurozone […]
January 21. Inflation signals?
Jan 21. I haven’t found that the inflation indexed (tips) market is particularly predictive over time, but I marked the spread between ten year tip to treasury note at a new high of 259.2. Know the last time that this spread was 260? April 2011. Know where red/gold pack spread was? 270. Red/gold is now […]
Jan 18. Renewed BEARISH sentiment in US treasuries
–Important sentiment change yesterday. Strong housing data and a large drop in Jobless Claims sparked initial selling in interest rate futures, and a weak Philly Fed was virtually ignored. There was massive long liquidation in midcurve call spreads vs short puts. Greens closed down 6.75 bps as call spreads were sold and puts bought. Near […]
Jan 17. Can a revived housing sector provide economic sustainablility?
–Boring session Wednesday. Continued selling of premium with TYH atm straddle now around 3.8 vol, lowest in months. –News today includes Housing Starts, expected 887k; there has been a gradual increase in positive housing data. From Mortgage News site: “Home prices increased on a year-over-year basis for the ninth consecutive month according to the CoreLogic […]
Jan 16. AAPL’s loss off the top greater than $200B. Congress approves $50B for Sandy damage
–Retail sales were stronger than expected yesterday (+0.5), providing some support for most (but not all, see below) stocks. Transports made new highs. Comments by Amari (Japan Econ minister) warning about the yen becoming too weak and Juncker warning that the euro was ‘dangerously high’ caused unsurprising weakness in EUR/JPY…down to 118, (-150) and this […]
Jan 15.
–As usual it was a quiet Monday. However there was a large buyer of March Five Year 123.25 put for 6…about 17 bps out of the money. Adding to the position, open interest was up 34k to 99k. In eurodollars it was the opposite (larger on balance), a seller of Gold June 9775p on an […]
Jan 14. The trillion dollar platinum coin idea is dead…for now
–Trillion dollar platinum coin idea as an end-around play to avoid the debt ceiling was killed by Treasury and the Fed. Perhaps the zerohedge post about a sack of devalued currency being exchanged for a few boxes of beer in Belarus caused the clear light of day to prevail that currency should actually mean something. […]
Jan 11. Abe continues to crush yen. Draghi stands pat. New Fed decidedly dovish.
–US interest rates rose as the ECB refrained from cutting rates and the US treasury auctioned 30’s. Tens up 4 bps to 1.892. The curve steepened; some deferred eurodollar calendar spreads notched new highs, for example red/green pack spread up just over 2 bps to new recent high of 33. –The euro soared yesterday, especially […]
