Archive for the ‘Eurodollar Options’ Category
Dec 21. ECB’s Long Term Repo Op bigger than expected…but already priced?
Risk assets continued to rally yesterday in front of today’s LTRO from the ECB, which indeed was better than expected with EU489 bln lent of 3 year funding. The question is whether the carry trade will truly allow time for gov’ts to make structural fiscal adjustments. Certainly bank balance sheets will improve due to ECB […]
Dec 20.
Quiet session Monday with flatter curve. Ten year yield fell 4 bps to 1.81. I marked 2/10 treasury spread at only 158 bps, a recent new low, and would have been a new low for the year if not for the ‘operation twist’ announcement in Sept when the spread briefly traded 152. Treasury auctions 5 […]
Dec 5, 2011. Send lawyers guns and money….
–Employment report showed a large drop in the rate to 8.6% though NFP up only 120k. Though the report on its surface was heartening, internals, like the labor force participation rate, were suspect. US bonds don’t seem to buy into the economic strength story at present. 2/10 and red/gold actually closed lower than on Wednesday. […]
Dec 2. Employment report; Actual NFP +120k, rate plunge to 8.6%
POST DATA COMMENTS AT BOTTOM –Employment report today with NFP expected 125k and the rate unchanged at 9.0%. Interest rates are pushing higher in front of today’s report. Ten year yield rose 5 bps to 2.11. New highs in a few of the one-yr euro$ calendars. For example EDM2/EDM3 spread (which is the lowest one-yr […]
Dec 1. Fed language regarding coordinated CB action re swap lines same as 2008.
“Today, the Bank of Canada, the Bank of England, the European Central Bank (ECB), the Federal Reserve, the Bank of Japan, and the Swiss National Bank are announcing coordinated measures designed to address the continued elevated pressures in U.S. dollar short-term funding markets. These measures, together with other actions taken in the last […]
Dec 1. Fed and other CB’s coordinate swap line rate cut
–Central banks (the Fed) cut dolllar swap lines in coordinated action sending risk assets higher and boosting the short end of the curve. The curve steepened with red euro$’s up nearly 11 bps while golds were actually down 7.5. Red/gold pack spread up 18 in one day! On the other hand 2/10 rose only 6-7 […]
Nov 30. Oil futures curve signals concern about supply….
— –Fairly boring in US interest rates today. For the past two days tens began the day lower, but then rallied back. Ten yr yield closed up 4 bps to 2.00%. On the other hand, Japan (JGB) yield has gone from 94 bps to nearly 1.06% in a couple of weeks, which may seem like […]
Nov 29. MF Global writ large
–Monday started with substantial moves but ended little changed. For example, crude oil was north of $100 but settled below 98. Ten year note was as high as 2.07 but came back at the end of the futures session to 1.96. SPZ rallied but stalled around 38% retrace from Oct 14 high 1275 to Nov […]
Nov 28.
–Belgium was downgraded Friday but then agreed to a new budget over the weekend due to the seriousness of the situation. (BBG) “Belgium’s budget deficit will narrow to about 3.6 percent of gross domestic product this year from 4.1 percent in 2010, S&P said. It also forecast government debt will increase to about 97 percent […]
Nov 24. Happy thanksgiving
–Bad German bund auction Wednesday sent 10 yr German yield well above US in a sign that faith is being lost throughout europe as a whole. –Portugal was cut to junk, while interestingly S&P raised Iceland’s rating and outlook. There are still capital controls, but improvement seen 3-4 years after the crisis and the economy […]
In: Eurodollar Options
