Archive for the ‘Eurodollar Options’ Category
Jan 31. Fed’s Sr Loan Officer Survey positive… for US domestic banks
–The eurodollar curve continued its flattening trend, with red/green pack spd near record low (in the zero rate FF era) of 27.5 bps. Red/blue pack spread fell 2 bps to just over 88. –The Fed’s Senior Loan Officer Survey was released yesterday, notable for the difference in responses between domestic (US) banks and foreign institutions. […]
Jan 25. FOMC releases projections. Yen falling…
–Light volume trade Tuesday…interest rate markets took a breather from recent trends…wait and see for FOMC. The curve edged slightly flatter. Vol was lower. –Doesn’t appear to have been much reaction to State of the Union address. Stocks are down a bit this morning (in spite of AAPL’s blow-out quarter) due to european malaise. –Perhaps […]
Jan 24. Treasury yields creeping higher
In a continuation of recent trend, yields increased and the curve steepened. Ten year gained 4 bps to 2.07%. 2/10 treasury spread also up 4 to a new high of 183. Red/gold pack spread up over 5.5 to 185. New recent highs in some one year euro$ calendar spreads as well, for example EDZ12/EDZ13 settled […]
Jan 23. US Ten year back above 2% as further QE questioned
Jan 21. Ten year note finally edged back above 2% at 2.03 on Friday, up 6 bps on the day. The curve steepened, most notably further back. For example, red/gold euro$ pack spread made a new high at 176 bps (+5.25), but red/green was only up 1 (to 39). New high in 2/10 treasury spread […]
Jan 20. US curve steeper as long end yields rise
–Interest rate futures came under selling pressure as Jobless Claims plunged to 352k and fears over europe ebbed. Ten year note jumped 8 bps to 1.97%. 2/10 treasury spread closed at its recent high of 174 and red/gold euro$ pack spread was up nearly 9.5 at new recent (monthly) high of 170.5. –As we approach […]
Jan 16. Europe downgrades spur buying of US treasuries
–US yields simply continue to plunge, with ten year notes down 7 bps to 1.86%, as european countries were downgraded by S&P (France and Austria lose AAA ratings). Greek debt negotiations have broken down. And from ZH citing FT article: “Ms Merkel said she would consider calls from her party colleagues for legislation to bar […]
Jan 12. US yields continue to fall…
–Huge call buying yesterday in euro$’s including 80k EDM2 9950/9962 c spreads for 4. (volume actually 123k and 150k, open int up 62k and 48k). EDM settled yest at 9944…now 48 bid. There was also call spread buying in greens and blues, for example 2EH 9912/9925c spread and 15k of 3EU 9862/9887cs. Open interest in […]
Jan 9. Consumer credit surges $20 billion, but near term yields still fall….
–Jan/Feb dollar spread and Jan/March are now inverted! (prices 9943, 9944.5, 9944). Near euro$ contracts up 3.5-4.5 bps. Consumer Credit +20 billion…huge number. Three year auction today. –(Reuters)-China trade growth slows to 2-year lows in December. And from Bloomberg cited on ZH, “China’s stocks regulator will “actively” push pension and housing funds to begin investing […]
Jan 9.
–Employment report was stronger than expected (NFP 200k and rate of 8.5%) but yields ended the day lower, with tens down 3 bps to 1.96%. Key support of the bond market due to safe haven flows from europe and worries about mideast tensions. Potential QE is also a factor, though far from certain: (Reuters) – […]
Jan 4, 2012.
–Risk assets were embraced for the start of the new year with US stocks up ~1.6%. (Sort of like the Chicago Bears coach proclaiming the team is 1-0 in 2012). Ten year yield rose about 8 bps to 1.96%…still sub 2% going into employment data. Curve was steeper with red/gold euro$ pack spread up 5.5 […]
