Archive for the ‘Eurodollar Options’ Category
April 30. Treasuries remain firm with flatter curve bias
Relatively big week with PMI data for US, Europe and China. ECB on Thursday. US employment data Friday. Greece and France elections this weekend. Elections will likely signal a further shift against austerity and a step toward bank nationalizations. The eurozone has made the following deal with banks: “We ask you to buy our sovereign […]
April 26. No drama in FOMC meeting
–There weren’t any surprises in yesterday’s FOMC. Curve edged steeper. Tens closed at 1.99%. Stocks were buoyed during the press conference when BB said the Fed could act if needed. The low in TYM occurred after the economic projections where several members moved forward the time of initial tightening, from 2015 and 2016 to 2014. […]
April 16. All about Spain
–A bit of drama on the trading floor Friday as several large market making groups boycotted the euro$ option pit because of block trades that were deemed unfair due to lack of transparency. The story has been covered already, but deserves mention here only because it may have negative liquidity ramifications going forward. –Spanish yields […]
April 11. Risk off everywhere….
–Ten year note yield fell below 2% to 1.99 in spite of supply this week, with 10’s auctioned today and 30’s tomorrow. 2/10 treasury spread made a new recent low of 170, down 3. (Has been as high as 200 this year). Everything about yesterday was “risk-off” as Italy and Spain yields rose with ten […]
April 5. Lack of QE resolves with lower treasury rates(!) as risk assets fall
April 5. The market continues to attempt to sort out the implications of a Fed less inclined to engage in QE going forward. For the time being the result appears to be a downward adjustment in risk assets, or those assets most boosted by liquidity measures (gold -$50, silver, stocks). And, after an initial hiccup […]
April 2. Bonds turn down
–The long end of the US bond market turned ugly awfully quickly Friday afternoon, for no other reason than the apparent completion of end of the month/quarter buying. Take the visual of the wile e coyote running off the side of a cliff and looking directly into the camera as he realizes the acme rocket […]
March 29. Interest rates on hold
–Not much change in interest rate futures yesterday. Straddles were crushed…USM 138 straddle from 458 to 442 as futures settled unchanged. TYM 129.5^ from 230 to 221, I marked at 5.7 vol. TYK from 136 to 127. Big calendar spread buyer in eurodollar EDU13/EDU14 yesterday in size of about 15-20k from 45.5 to 47.0. Settled […]
March 26. Steepening bets in eurodollars continue
–Interest rate futures continued to rebound Friday as tens fell another 3 bps to 2.24%. Stocks were weak early but came back to close higher. There was a ‘glitch’ associated with the Bats exchange where a sale of 100 shares of AAPL transacted just above $542, when the stock had been around 598. At a […]
March 20. Treasury rates surge with tens to 2.38%
March 20. Rates surged yesterday with ten year hitting new high close of 2.38% up 8 bps. 2/10 went to 200. New red/gold pack spread 203, up nearly 13 bps! Eurodollar option trading featured huge buying of green and blue put structures (more below), almost all new. Back spreads rose the most…for example EDZ12/13 was […]
March 16. Implied vol drop in treasuries suggests yield rise might have run its course
New highs in curve yesterday as two year note yield fell slightly while tens were up 1 bp to 2.28…2/10 to 191. The move to higher rates appeared to run out of steam as implied vol leaked out of straddle prices. For example, TYM 129 straddle settled 5’41 Wed and was down to 5’30 yesterday. […]
