Archive for the ‘Eurodollar Options’ Category
Sept 14. MBS new highs, but long end of treasury curve weaker
–FOMC announced open ended buying of $40b per month of MBS. With reinvestment of maturing issues and coupons, the total should be around $60b/month, against production of $80b. From Mortgage News Daily: “MBS Hit New All-Time Highs!…MBS can’t control their enthusiasm after the Fed announced MBS-Specific QE3 today, adding enough dedicated purchase money to the […]
In: Eurodollar Options
Sept 12. Foreign policy issues looming larger?
–Financial Times: “German Court backs ESM bailout fund”. Barroso proposed a stronger european banking union giving the ECB more banking oversight. (Worked for the Fed, right?) –Gold and silver are making new highs this morning with GCZ near 1750. Treasury yields are edging higher with tens now 1.75 vs 1.69 late yesterday. 10 yr note […]
In: Eurodollar Options
Sept 11.
–Small net changes in interest rate futures. AAPL had a reversal and closed down 2.6% so SPX closed lower. Today’s news includes 3 year auction, followed by tens and bonds on Wednesday and Thursday. There was a new buyer of 15k TYV 134c for 8 at the end of the day covered 132-25 to 25.5; […]
In: Eurodollar Options
Sept 10. Employment weaker than expected, but bonds close lower
–Unemployment report was a disappointment, with NFP up only 96k. Interest rate futures immediately erased morning losses and rallied to the highs, though not quite through contract highs made on Tuesday. However, the rally ran out of steam, especially at the long end, and by the end of the day the bond contract actually closed […]
In: Eurodollar Options
Aug 31. Jax Hole. Bernanke vs Natasha, the genius chimp
Bernanke Jackson Hole speech today. Also Chicago PMI expected 53.0 from 53.7. –Might as well lead off with something interesting rather than my bitter comments below. http://www.huffingtonpost.com/2012/08/29/natasha-genius-chimp-intelligence-tests_n_1838963.html (Story about Natasha, the genius chimp). –I gather that the speech is supposed to outline policy guidelines…no real commitments. But as of yesterday’s close nearly all eurodollar calendar […]
Aug 29. Spain closer to formally requesting aid?
–Extremely light volume Tuesday, with red euro$ contracts averaging about 60k and greens less than 50k. Not one contract month traded over 100k. Curve edged slightly lower. Red/gold near 120 is approaching this year’s low (107 in late July as opposed to over 200 in late March). –From Draghi piece today in Die Zeit: “For […]
Aug 28. Bernanke Jax Hole address Friday; Dallas Fed paper notes limits on “ultra easy” policy
–Quiet Monday. Interest rate trades continue to be biased toward lower rates and a flatter curve following Fed minutes last week, and in front of Bernanke’s Jackson Hole address on Friday. For example there was a new buyer of 20k Gold Oct (4EV) 9850/9875/9900c fly for 4.5 (ref 9835.0). Red/gold pack spread eased to 124, […]
August 27. “Turn” pressure on December euro$ contracts
–The Bundesbank’s Weidmann threw cold water once again on ECB plans to buy sovereign debt. (Reuters) …Weidmann, a former economic adviser to Merkel, said in a front-page interview in influential German magazine Der Spiegel that the bond buys could violate rules against the ECB providing outright financing to governments. “Such a policy is for me […]
Aug 13. Possible tipping point in long treasuries?
–Rates drifted slightly lower Friday and the curve edged flatter, with tens down 4.5 bps to 164.5. Economic news is light today, with PPI and Retail Sales Tuesday. –Implied vol was hit. Notably there was a seller of about 6k Blue Sept (3EU) 9900^ from 19.5 to 18.0 (new position). On Thursday this straddle was […]
August 10, 2012. Beware a steepening curve.
–Corn made a new high in front of today’s USDA report, with good buying in CZ 900c by JPM. –Interest rate futures made new lows in front of the 30 yr auction, but selling pressure abated upon completion and the market drifted higher. Implied vol eased as new lows were rejected. –August midcurve option expiration […]
