Archive for the ‘Eurodollar Options’ Category
Nov 7. Italy edging into the forefront…
–Not much reaction to employment data, though euro$ curve continues to flatten. Red/green (2nd/3rd yr) pack spread made a slight new low at 41 bps. US ten year yield down a couple of bps to 204. EDH12/EDH13 settled -1 bp, new low, and probably on its way much more negative. –The situation in Greece remains […]
Nov 3. Sarkozy tells Greece, “no more drachmas for you”
–(Reuters) – European leaders were preparing Thursday for Greece to leave the euro zone to preserve the 12-year-old single currency. –Greek referendum set for Dec 4; it looks like Greece will finally exit, with Italy next up as Berlusconi is apparently behind schedule on implementing growth reforms. Sarkozy vowed not one more drachma… –The Fed […]
Nov 2. FOMC day….
–Ten year note yield fell back to 2.00%, having been as high as 2.40 last week. German and French stocks have fallen over 10% from the highs set last week, US stocks down about 6.5% over the same few days. –New recent lows in many euro$ one-year calendar spreads, for example EDM2/M3 fell 2.5 to […]
Nov 1. Warp speed…but in reverse
–Hitting on all cylinders, but going in reverse. In Europe, Papandreou is putting the Greek plan to referendum (could ultimately cause Greece to withdraw from the euro), causing a stock slide (DAX down over 10% from high set 3 days ago). In Asia, China PMI fell to 50.4, just above the expansion line. Japan intervened […]
Oct 31. Italian bond yields aren’t following the “bailout” script
Oct 31. “Obviously, it is up to the European countries themselves to tackle their financial problems. But China can do within its capacity to help as a friend.” (Reuters quoting China news). –Not surprisingly, the solution for europe involves saving the banking system with a taxpayer backstop, in the form of an SIV (Structured Investment […]
Oct 28. Stocks explode Thursday, yields rise
–Explosive reaction to the European debt deal. Stocks soared about 3%. The magnitude and time of of the rally is similar to the late July early August plunge, I would expect consolidation here with wide interday swings for the next few sessions. –The curve steepened dramatically. 2/10 treasury spread blew out 17 bps to 208, […]
Oct 27. European agreement
Global markets are staging a strong rally on the European rescue agreement. The 50% haircut for Greek bonds is not being called a ‘credit event’, which is difficult to understand. Also, with Greek GDP of 230 bln euro and declining fast (according to ZH) against outstanding debt which still stands at 250 bln after the […]
Oct 26. Skepticism and risk returning
–Amazon was down 4% yesterday, but fell another 10% after hours on a disappointing earnings report. This market has blithely accommodated higher prices, but skepticism comes back with a vengeance on negative news. One drop of wax and highfliers have crashed to earth like Icarus. NFLX -75% in 3 months. GMCR -44% in a month. […]
Oct 25. Europe still grasping for solutions in front of tomorrow’s summit
–Quiet trade yesterday. Curve has a steepening bias, with 2/10 out a couple of bps to 195. In eurodollar options there was a buyer of 15k E2Z 9900c for 13-13.5, (new) and E3X (blue nov) 9825/9850c 1×2 (also new). Good seller of 5k FVF 121.5/122.5 strangle at 60. –NY Fed’s Dudley says the Fed has […]
Oct 17. Re-capital (as opposed to Das Kapital)
–G20 is pushing for decisive action on the european crisis by Oct 23. Germany’s Schaeuble is pushing for a larger, more realistic write-down of Greek debt. Bigger haircuts mean banks’ capital raising requirements increase. Private investors are probably not encouraged to double down on their bets, realizing that further deterioration lies in store. Which leaves […]
