Archive for the ‘Eurodollar Options’ Category
Oct 13. US ten yr treasury yield up 1/2% since post FOMC low…time to buy.
Oct 13. One year eurodollar calendar spreads made new recent highs yesterday. EDM12/13 gained 1 bp to 20.5, with larger moves seen further out the curve. The day after the FOMC, on 22 Sept, this spread was only 1 bp. In fact, most curve lows occurred right after Fed’s twist announcement, 2/10 was 152, made […]
Oct 6. ECB leaves rates unch’d, adds other liquidity measures
Rebound in risk assets. Ten year rose 11 bps to 1.90. Red/gold pack spread leapt 15 to 179.5. –ZH reports the French govt has contingency plans to nationalize 2 or 3 banks. Could bank nationalizations be the catalyst that stabilizes things? Facing the problem and dealing with it might inject confidence back into markets. (Although […]
Oct 5.
While US stocks finally rebounded into yesterday’s close with SP500 up over 2%, metals continue to trade under pressure. Copper, silver and gold are all threatening new lows, and crude made a new low yesterday. Additionally, the Hang Seng index continues to plummet, down over 1/3rd from April and -3.4% this morning. US stocks were […]
Oct 4. Stocks still under pressure….
–Bernanke speaks at 9 to Joint Economic Committee. ISM stronger than expected yesterday, which cheered the market for all of two minutes. Stocks fell with many big industrials making new lows…CAT, DD, GE, MMM. Financials were again crushed. Citi -9.8%, BAC -9.6%, MS -7.7%. Bonds fell 16 bps to 2.76%, making a new post-FOMC low. […]
Oct 3. Implosion continues
–Slow motion deterioration continues. Greece misses deficit target, now will cut thousands of public workers. CA pulls out of settlement talks related to mortgage robo-signing, which is sure to lead to a protracted mess lingering over banks and mortgage firms like Pigpen’s dust cloud. And in this environment, BofA and Citi announce plans to charge […]
Sept 29. Germany passes EFSF vote
–Copper seems to have been foretelling the direction of stocks. Yesterday it plunged fully 25 cents late in the day to 318. Spike low early Monday morning was 307.15. Stocks had a late sell off as well, and the Shanghai Composite continues to make new lows. SP500 fell 2%. –Interest rates were fairly quiet. Vol […]
In: Eurodollar Options
Sept 28.
–5 yr auction today. Bernanke speaks at 5 EST about emerging economies. –Ten year and bond yield both up 11 bps yesterday, with tens back above 2% to 2.01. Before the Fed meeting 30 yr was around 3.21%, plunged to 2.74 and now back to 3.11. So perhaps the majority of “twist” pricing in the […]
In: Eurodollar Options
Sept 27. Wild swings in metals
Dec Gold had a range of $131 yesterday. Silver, $4.82. Crude $4.12, Copper, 28.5 cents. And this morning silver up $3. Wild swings. –Markets responded to news that EFSF would be expanded and possibly levered. According to CNBC, the EFSF would provide seed money to the Euro Investment Bank, which would then buy sovereign bonds. […]
In: Eurodollar Options
Sept 23. Carnage
Extraordinary moves yesterday with stocks plunging, gold down around 4%, oil down 6.8%. The dollar soared. Bond yield sank in the wake of the Fed’s twist announcement, with 30 year down 25 bps yesterday, and 42 bps in just two days. Crisis low 30yr was around 2.5%, now 2.79%. Copper has fallen 25% in less […]
In: Eurodollar Options
Sept 22. New Fed “twist” program could backfire as dollar strengthens, stocks fall
Sept 22. 30 year bond yield fell below 3% as the Fed announced $400 bln in longer dated treasury purchases by June 2012 in a “twist” program. The Fed cited significant downside risks in the economy and lower inflation expectations as previous price increases dissipate. (But you still can’t refi if your house is underwater). […]
In: Eurodollar Options
