Archive for the ‘Eurodollar Options’ Category
Nov 8. Election aftermath
In a ringing endorsement of Obama’s re-election, stocks tanked, with SPX -2.4% and Nasdaq -2.5%. Copper and Crude made new lows for the move, as did the euro, with crude oil down over $4/bbl to 84.40. The curve flattened to new lows, with red/gold -7.75 to just over 118, (only 10 off the lowest level […]
Nov 7.
So I guess the Republican strategy of wooing women voters with enlightened ideas on rape and abortion didn’t work out. Congratulations to Obama and his supporters, but at least can we get rid of Geithner? –The latter part of yesterday’s session saw rates jump with tens up nearly 6 bps to 174. Blue Dec (EDZ15 […]
Nov 6, 2012. Judgment day
–Activity in front of today’s election was quiet. If there was a theme to be discerned in US interest rates it was straddle selling and put buying; atm vol edged lower. –New recent low in red/gold pack spread as curve flattened, down 4.5 bps to 124.25. 2/10 treasury spread fell 4 to 140.8. (this year […]
Nov 5. Better than expected payrolls but interest rate futures unch’d
–Better than expected employment report (NFP expected 125k, actual 171k) initially sent interest rate futures hurtling lower, but prices recovered all losses by the end of the day, with most euro$ contracts unchanged. Tens and bonds ended marginally lower. Supporting fixed income is a whiff of deflation from ‘risk’ markets, as crude, gold and silver […]
Oct 19. 25 year anniversary of 1987 Black Monday Crash
–Twenty-five year anniversary of the 1987 Black Monday crash and there was an echo of sorts in GOOG, which dropped 10% during the day on a mistimed earnings release. In fact several tech stocks have shown notable weakness, IBM was 211 three days ago and closed 195 yesterday, a fall of 7.5% (on earnings report) […]
Oct 5. Payroll report…
–Employment report today with Payrolls expected 115k and rate of 8.2%. Treasuries edged lower yesterday, led by longer maturities, with tens up a bit over 4 bps to 1.664 and 30’s up 6 to 2.88. –Oil, arguably the most important commodity in the world, fell $4 on Wednesday and regained that loss yesterday. Sort of […]
Oct 4. Curve flattens yet again
–ECB meeting today followed by Draghi press conference as Spain edges closer to requesting aid. In the US Jobless Claims expected 370k and Factory Orders expected -6.0 (growth has been trending lower since early 2010). –Even the Huffington Post (one of the most anti-Romney sites around) ran a headline that said “Romney Wins the Night”. […]
Oct 2. ISM higher, but interest rate market doesn’t believe it
–Flatter curve. Lower vol. A surprise jump in ISM to 51.5 sent interest rate futures lower early in the day, but there was no follow through, and a rally ensued that took some back month eurodollars to contract highs (e.g. EDZ15). Gold tested 1800 early (multi year high) but faded. Still above 1780 this morning. […]
Oct 1. Structural unemployment/TED presentation
–Curve was steeper Friday, most notably in eurodollars. 2/10 treasury spread edged up 1.5 to just above 140, but red/gold pack spread in dollars jumped 6.25 to 128 as a relief rally in near contracts continued in the wake of the Wheatley (LIBOR) report. (Reds were +3.25 while golds were -3). The market had feared […]
Sept 24. Illinois/Greece
–Slight drop in yields Friday. Eurodollar calendar spreads are threatening new lows, though in compressed ranges. For example, EDH14/EDH15 settled 19.5, down 0.5 bp, but has only been in a range of 18.5 to 25 for the past month. –Chicago Fed Natl activity Index today. Has been negative for the past 5 months, last 2 […]
In: Eurodollar Options
