Archive for the ‘Eurodollar Options’ Category
August 9. China growth slowing…
–US interest rate contracts remained under slight selling pressure, underscored by tepid demand for the ten year note auction. Just before the auction the yield was 1.655, but the actual result was 1.68. Treasuries immediately traded to their lows but then modestly bounced back. In eurodollars there has been a buyer of blue Sept (3EU) […]
August 6. US curve steepens, signals caution for treasuries
–At first glance employment data was stronger than expected (NFP 163k vs 100), though revisions and an increase in the rate to 8.3% suggest a mixed picture. In any case, for the second Friday in a row, rates jumped, with tens closing 1.57%, right around the level from the previous Friday. However, this session indicates […]
July 27. Q2 GDP today, FOMC next week
–Draghi upped the commitment of the ECB to save the euro, sending risk assets higher. However, the curve was only slightly steeper in the US. Red/gold pack up just over 2 bps 110. The fact that responsibility for solving economic problems has fallen almost completely to the central banks probably doesn’t do much for business […]
July 20. Watch out below in stocks…
–I casually mark ten year treasury yield to ten yr inflation adjusted note at the end of pit trading (supposedly an indication of ten yr inflation). This entire year, even as rates have gone inexorably lower, the spread has never gone below 204 bps. The high has been around 244. Now 216. I’m not sure […]
July 19. Unsustainable trends
–It’s remarkable that every time Bernanke gets in front of Congress he bluntly says that fiscal trends as they currently stand are unsustainable, yet treasury yields continue to decline. Tens remain below 1.5%. This is the same Congress that grills JPM about a large trading loss (in a quarter that was still profitable), while the […]
July 17. Unsustainable muni finance. Bernanke hints at more QE today…
–Bernanke semi-annual testimony before Congress today. (An outline of more QE or other measures…) Yesterday’s Retail Sales were another disappointing miss, -0.5. Today’s news includes CPI expected 0.0 with Core +0.2. Industrial Prod +0.3. –They’re not taking ten year note yields to new record lows for no reason. Thirty year bond yield is closing in […]
July 13. Risk of a sudden drop in funding…
–China’s GDP was reported +7.6%, slowest in three years. Zerohedge has an article with this note: “Take a range of key indicators – from electricity usage, to Shanghai container throughput, to nationwide rail freight ton-miles, to steel output – and you will notice that none of these shows a rate of growth during the second […]
July 12. Negative feedback loop
–Heavy buying of front four eurodollar contracts led to a small rebound in the curve. Ten year auction went off at 1.459 on bid to cover 3.6. Fed minutes showed some members were open to further easing; individual Fed presidents have already indicated a willingness to do more in the past few days. But none […]
July 11. More cracks in muni finance…
–More of the same US interest rate trading. New lows in the curve. 2/10 at 123 bps. Red/gold pack spread down 3.6 to 111, new low for the year. More buying in gold euro$ midcurve call structures…see below for details. –Ten year treasury auction today. FOMC minutes at 1:00 Chicago time. 30 yr bond tomorrow. […]
July 10, 2012. New lows in US curve; is “worst case” already priced?
July 10. Themes remain the same. Deterioration in europe (though the euro stabilized) and a flatter US curve. 2/10 made a new low at 125 as the ten year yield fell to 151 in spite of this week’s auction schedule. Red/gold pack spread dropped over 5 bps to a new low of 114.5. The rally […]
