Archive for the ‘Eurodollar Options’ Category
Feb 20. China cuts required reserves for banks by 50 bps
China cut bank reserve requirements by 50 bps to 20.5%. From BBG regarding China “…property market slowdown and the weakest export growth since 2009, with the commerce ministry last week calling the trade outlook “grim.” –Yet China and Japan, also of decaying trade fundamentals, have said they will act together through the IMF to help […]
Feb 17. US economic data remains firm, stocks at new highs
Feb 17. Tens again flirting with 2% yield, closing +6 bps yesterday at 1.99 and this morning just above at 2.01%. Economic data continues to surprise on the strong side (and Core PPI was +0.4 yesterday); stocks chug to new highs. Today’s news includes CPI expected +0.3 with Core +0.2. Leading Indicators expected +0.5. –I […]
Feb 16. Trend has turned in favor of risk AVERSION
Feb 16. Not much of a net change in US interest rate futures yesterday – FOMC minutes suggested some members saw the need for more bond buying- but there were several things that suggest a turning point with respect to risk assets. First, AAPL had a huge reversal, on heavy volume and a large ($29) […]
Feb 15. PBoC Zhou says China will support eurozone
Feb 15. Once again the curve flattened with red/gold pack spread falling over 11 bps, (reds -0.375 and golds +10.875), to a new low of 147.5. Ten year yield fell 6 to 1.93%. Stocks tested the downside but came back to close at the highs. –China’s central banker Zhou made comments that China will support […]
Feb 14. Retail Sales slightly weaker than expected at +0.4%
–Moody’s cut european ratings (Italy, Spain, etc) and warned that France, UK and Austria might lose AAA ratings. Japan unexpectedly eased through further QE and will target 1% inflation rate. From WSJ: “In Tuesday’s meeting, the [BoJ] expanded that plan by ¥10 trillion, or about $130 billion. The facility, which includes low-cost loans, is now […]
In: Eurodollar Options
Feb 13. “Risk off” Friday as Greek situation dominates activity…
–Tens just can’t seem to stay above 2% yield as Greece is pushed to the precipice. The curve flattened by 8 bps to 170, as 2’s were unch’d and tens fell 8 to 1.97% yield. Red/gold pack spread dropped over 10.5 bps to 159. –Clearly a “risk off” end to the week as stocks saw […]
Feb 10. US ten year above 2% as Greek deal nears
US rates rose yesterday as a Greek deal appeared to be at hand, with tens finally breaking through the 2% barrier and closing 2.05%. Improvement in jobless claims was also a factor. Curve was a bit steeper with 2/10 at 178, up 6 bps. Small changes are perhaps pointing the way forward. For example, the […]
Feb 8. Consumer Credit surges $19 bln in December
US interest rates moved higher yesterday, with ten year yield up 6 bps to 1.96 in front of today’s auction. 30 yr bonds auctioned tomorrow. The theme in options was put put buying and call spread selling, some appeared to be unwinding, but vol was better bid, confirming the price move lower. Gold jumped $25 […]
Feb 3. Strong employment report (NFP +243k with 8.3% rate)
–Bernanke was generally downbeat in comments to Congress yesterday, noting that fiscal trends were unsustainable and warning about health care costs. –US rates were little changed in front of today’s payroll report, expected 130-150k with rate of 8.5%. There was quite a bit of protective buying in blue midcurve put spreads after the recent rally, […]
Feb 1. Yields grind lower, but positive impact is questionable
–Bernanke testifies before Congress today about the economic outlook and perhaps about the decision to forecast rates and policy far into the future. There was a piece on Business Insider yesterday reviewing forecasts of major financial institutions from the previous year, for the unemployment rate, CPI, ten year treasury yield, GDP and EUR/USD. http://www.businessinsider.com/the-nostradamus-awards-the-best-and-worst-economists-of-2011-2012-2 Most […]
