Archive for the ‘Eurodollar Options’ Category
Nov 23. Liquidity issues…
–The IMF announced a new liquidity program which very briefly rallied the stock market, but the close was on the lows. (Reuters) “The IMF said the new liquidity line would be available for six months to countries with relatively good policies that are facing short-term balance of payments needs due to events not of their […]
Nov 22. Spain, Italy, France yields all higher. Nikkei made new low…
–News this morning is a roundup of the usual suspects. Man Global missing funds estimate doubles to at least $1.2B. Jefferies (JEF) continues to trade under pressure. Concerns about China property values slipping (FT). ZH has a piece on a probable Austria credit downgrade due to loan exposure to Hungary. And from Reuters: ‘Almost all […]
Nov 21. Stocks weak; news ultimately bullish for gold
–Super Committee results due this week, and every indication is that they’ve grasped failure. Stocks opening quite weak as a result. However, several items also point to trouble in the supposed engine of growth, China/Asia. (Reuters) – Chinese Vice-Premier Wang Qishan warned on Monday the global economy is in a grim state and that an […]
In: Eurodollar Options
Nov 18. Eurodollar curve reflects stress in financial markets
The eurodollar curve continues to express its own form of operation twist, with near contracts getting hammered and backs floating higher. Red pack fell 4.75 bps while golds were up 8.125; the pack spread closed at 154, a new low and about 1/2 the highest level of the year when it had gotten above 300 […]
In: Eurodollar Options
Nov 17. Fitch warns on US banks due to contagion risks
Late day equity sell off was sparked by a Fitch report that US banks were at risk from european contagion. The front end of the dollar market has been hinting at that for a month, with EDH2 beginning November at 9942.5 and tumbling to 9922.5 by yesterday (-5 bps on the day at 77.5 yield). […]
In: Eurodollar Options
Nov 16. Now France yields moving higher
Tuesday morning began with lower treasury yields and higher implied vols as yields in France joined Spain and Italy on an upward trajectory. However as the day continued concern subsided and US rate futures closed with little change while stocks closed positive. –The ECB is again buying Italy and Spain debt. This morning I saw […]
In: Eurodollar Options
Nov 15. SF Fed warns of possible recession due to internat’l turbulence
Near eurodollar contracts continue to trade under pressure, but the back end of the curve rallied, bringing US ten year yield closer to 2% again. Eurodollar curve remains quite flat with red/green pack spread at only 38 and red/gold at 176. EDH12 contract settled 9930 or 70 bps. Given the Fed’s pledge to keep rates […]
In: Eurodollar Options
Nov 14. MF Global implications
Some fairly large moves Friday, with pronounced weakness in US rate futures. As of noon CST settle I estimate that tens were up about 7 bps to 2.12%. EDZ12 fell 4.5 bps to 99.245, pegging a strike for midcurve Nov expiration. While 3-month libor settings have been trending higher, it’s still interesting that EDH12 through […]
In: Eurodollar Options
Nov 11. Italy and Jefferson County, AL
The trading floor is closed for US rate products, screens are open. Equities were able to stage a rebound as Italian yields fell from well above 7%. The market was roiled early by S&P saying France was on review for a downgrade, (which they subsequently said was erroneous). –Ten yr treasury yield rose back above […]
In: Eurodollar Options
Nov 8
Yesterday’s market moves are being completely erased this morning as sentiment shifts to a decidedly “risk-off” posture. Italian yields have surged in spite of Berlusconi’s vow to resign; higher funding rates are simply untenable in a structurally stagnant economy. SPZ, having rallied yesterday, is now below Monday’s close. EURUSD is below 137 and at the […]
In: Eurodollar Options
