Archive for the ‘Eurodollar Options’ Category
March 15. Treasury rates surge
–Huge jump in interest rates yesterday. Ten year treasury rose 15 bps to yield 2.27. Fives were up 13 bps to 1.11%. Curve steepened. 2/10 treasury spread made new high for this year, up 10 to 188. All eurodollar calendar spreads made new highs. As an example, EDZ12/13 which I bought early in the year […]
March 12. US considers selling strategic oil reserves…to China?
–Stronger than expected employment data (NFP 227k and previous revised higher to 284k) sent interest rates higher Friday, though closing losses were modest. Tens ended at 2.04%. Today brings a three year note auction, followed by tens and 30-yr bonds Tuesday and Wednesday. Retail Sales and FOMC announcement tomorrow. Statement is likely to sound the […]
March 8. Deadline for Greek debt swap agreement
Quiet session Wednesday. There was an early seller of about 6k TYJ 131.5 straddles from 113 to 111 as news from Greece suggests agreement from bondholders on the debt swap. Hilsenrath from the Wall Steet Journal floated a story that the Fed is working on a new sterilized bond buying program, which immediately had the […]
March 6. Equities weak….
. Stocks are decidedly weaker this morning with SPH -11 at 1353.50. Thursday’s deadline for private participation agreement to the Greek debt cramdown is looming. A disorderly default remains a possibility. It seems to me that uncertainty is not really being reflected in option pricing. VIX was up only slightly yesterday to 18. Treasury vol […]
March 2. Saudi oil pipeline explosion rumor causes surge to $110/bbl
March 2. Curve continued to steepen yesterday with ten yr yield gaining 5 bps to 2.03%, 2/10 up an equal amount to 174. In the space of three sessions red/gold pack spread went from from 146 to 162.5 (up 7 yesterday). Many one-yr eurodollar calendar spreads made new highs, for example EDZ12/Z13 rose 3.5 bps […]
March 1. Bernanke comments cause markets to worry about QE3 prospects
–Gold and silver were crushed after Bernanke comments yesterday, with GCJ down $75 late. (GLD -9% and SLV -6.4%). Financial Times describes Bernanke as “downbeat” while WSJ said “cautious”. The market was apparently disappointed that QE3 wasn’t overtly touted. SPH had a key reversal, new high, outside day, close lower… but the range wasn’t very […]
Feb 27. Liquidity
Increased liquidity is once again the theme for the week, month, etc. At the G20 summit this weekend Germany appears to have softened its resistance to increasing the firewall for Europe. Also, the ECB’s LTRO is Wednesday, with estimates generally around 450 bil euro. –The other big and related theme is the price of oil, […]
Feb 24. Crude oil surging; CLJ $108/bbl
–Solid 7-yr auction sparked a late bid in longer treasuries. The curve flattened slightly, tens closed under 2% at 1.98. Option expiration today in March treasuries. –Crude oil continued to surge, with CLJ at $108/bbl late yesterday, up 1.73, the highest level since May 2011. I don’t know if official inflation data will register the […]
Feb 23. US Ten year note gravitates to 2%
–Late in the day Wednesday, April Gold jumped $20 to over 1780/oz, which is a new high for this calendar year and places the high from early November, around $1800, squarely in the crosshairs. Oil also remains strong, with many articles being written about high gasoline prices. No worries though, Nancy Pelosi is on the […]
Feb 22. Treasuries edge to higher yields on Greece agreement
–Fairly uneventful Tuesday given what appears to be an agreement to resolve the Greek debt situation. Yen continues to weaken with EUR/JPY at a new high (80.12). Stocks gave back Monday’s gains (in futures) and closed essentially unchanged from Friday. The big winners were crude oil, still being lifted by mideast tension and central bank […]
