Archive for the ‘Eurodollar Options’ Category
May 31. Safe haven rates plunge as europe unravels
–“Further monetary policy accommodation is both appropriate and necessary.” Fed’s Rosengren. However Dudley yesterday appeared satisfied with current policy. I don’t know how monetary policy can get much more accommodative given plunging yields driven by safe haven flows. Do we really want to exacerbate that dynamic? –The world is racing toward zero rates with German […]
May 30. All about Spain
–This morning Spain and Italy bond yields are surging, with new high in Spain/German bund spread. The ECB rebuffed Spain’s plan to recapitalize Bankia with sovereign bonds which could then be pledged to the ECB as collateral. (Perhaps I don’t have the details of the plan exactly right because I would think gold would surge […]
May 25. Big money happy to let SNB bail them out of EUR positions
–The euro had a bad day yesterday (low 125.14), though it’s rebounding slightly this morning. FT internet edition leads off with the headline “Big European funds dump euro assets.” Underlying sentiment couldn’t be more obvious than the reaction to SNB intervention: EUR/CHF spiked up to 120.76 in about twenty minutes, but by the end of […]
May 18. A Bronx Tale
–Interest rates continue to plunge, with tens at 1.70, essentially at new lows. 2/10 down 7 bps to 141. Red/gold pack spread at 125, also a new low. The Fed’s pledge to keep rates low through late 2014 had shifted the market’s interest to the blues (2015 contracts) in terms of setting shorts through puts […]
May 16. US curve flattening continues…
The trend of curve flattening in the US remains firmly in place. 2/10 down another bp to 150, while red/gold pack spread fell over 3 bps to a new low of 134. Option trades were partially responsible for the move in the euro$ curve. Early in the day there was a buyer of 50k June […]
May 15. Curve flattens further
Curve continues to be steamrolled as ten year note yield fell 6 bps to 1.78%. 2/10 down 7 bps to 151. New lows in reds to all deferred contracts with red/green at just 25.5 bps and red/gold down nearly 11 bps to only 137.5. I think red/gold is too low relative to treasury curve (and […]
May 10. The road to deflation
–Once again all eurodollar calendar spreads settled at new lows. Red/gold pack spread was down 2 to just under 152. Red/green at just 30 bps. 2/10 treasury to 157 despite ten year auction. 30 yr bonds auctioned today. –There was significant early buying of eurodollar straddles that fizzled by days end. For example, EDU 9950^ […]
May 7. Employment report confirms sluggish economy
–Employment data was weaker than expected and markets reflected disappointment. (From Liscio Report: “Almost 70% of job gains came from bars and restaurants, temp firms, and retail, which do not seem the strongest foundations for long-term growth.”) –The curve made new recent lows with 2/10 at 163 and red/gold euro$ pack spread at 158 (down […]
May 4. Employment day. NFP expected 165k
Employment report today with payrolls expected 165k and rate of 8.2%. –Going into the data, implied vol in treasuries at the lows. Eurodollar calendar spreads in euro$’s also on the lows. Yesterday there were short dated put buyers and other trades for protection in case of a bearish number. That’s an easy trade from these […]
May 1. Flatter curve, lower vol. RBA cuts 50 bps…more than expected
RBA was expected to cut by 25 bps but went 50 (to 3.75). China PMI was 53.3, slightly less than expected. Today’s US news includes ISM expected 53 from 53.4 last, and there are several Fed speakers. Chicago PMI yesterday was much weaker than expected. The grinding trends in the interest rate market continued, with […]
