Archive for the ‘Eurodollar Options’ Category
Sept 20. Italy downgrade by S&P. Greece makes bond payment
Markets fought back from losses Monday as hope for a solution to Greece lingers. S&P cut Italy ratings by a notch, which was also taken in stride. New low in the 2 year note of only 15 bps. Tens are back below 2% at 1.95. All treasuries have taken out crisis low yields of 2008/9 […]
In: Eurodollar Options
Sept 19, 2011. EU meeting goes badly; euro tumbles
–The biggest event on the US calendar is FOMC Tuesday and Wednesday. The market is expecting a “twist” operation which could further flatten the curve and erode yet another source of US banking revenues, which have already been limited by Dodd-Frank rules banning prop trading. 2 year note ended at just 17 bps. There are […]
In: Eurodollar Options
Sept 1 thru 16…will post daily going forward
Sept 16. The coordinated central bank action to provide dollar liquidity to banks in the EU caused immediate curve steepening. EDZ1 jumped 10 as the relief valve was opened in the form of longer dated dollar swaps. Red/gold pack spread rose 10.5 bps. Stocks and the euro also surged, but gold remained under pressure, nearing […]
In: Eurodollar Options
Aug 25. Gold falls over $100/oz
In the past three days (including this morning) gold has fallen $200 from the high. As of yesterday’s close it was right around the halfway mark of August’s range. As of this morning at just over $1700, it is about halfway from the July low of just above 1500 to the recently set high of […]
Aug 24.
The market was again fairly quiet yesterday, with yields edging higher. Ten year rose 5 bps to 214. Five year treasury auction today followed by 7’s tomorrow, and then Jackson Hole Friday. –There was a reasonable amount of buying of EDZ1 9950/9962c 1×2 for 1.0 (new). –It feels like there’s a trend toward more official […]
Aug 23. European bank shares slammed
Light volume Monday. The spotlight continues to be on shares in the financial sector, and on gold. In August alone, Dec Gold has rallied from just above $1600 to nearly $1900, gaining $40 yesterday alone. Perhaps the move is partially due to Venezuela’s Chavez trying to repatriate physical gold, but certainly growing cracks in the […]
Aug 22.
Aug 22. Bernanke’s Jackson Hole speech is Friday, probably the biggest event on this week’s calendar. Over the weekend, I read several stories relating to european banks’ Tangible Common Equity and comparisons with Lehman, which were not, as you might suspect, positive. There was also a last minute rescue of a smaller Greek bank, Proton […]
Aug 19.
Aug 19. Yields once again plunged with the US ten year briefly trading under 2% before ending the day at 2.08, as the world undergoes a crisis of confidence. European bank stocks are being slammed. Curve compression is evident in eurodollars as huge buying of blue midcurve calls continues. Red/gold pack spread fell another 7.5 […]
Aug 18. Flattening continues…
Aug 18. Flattening continues with red/gold pack spread down nearly 9 bps to just under 207 bps. Red/green pack spread now around 46.5 bps, also a new low. Option trade has shifted further out the curve, with significant trade now occurring in blue midcurve calls, again expressing the trend toward a flatter curve. For example, […]
Aug 15. Relentless flattening of eurodollar curve…
Aug 15. Relentless flattening of eurodollar curve. All calendar spreads making new lows, with EDZ1/EDZ2 at -9.5, remarkable in a zero rate environment. Red/green pack spread made a new low just above 50 bps. And there is still interest in 100 calls, on Friday EDU2 100c traded 1 about 15k. EDM2 99.625 straddle was heavily […]
