Archive for the ‘Eurodollar Options’ Category
Aug 12.
Aug 12. Bad 30-year bond auction sent the yield up nearly 1/4% to 3.78% from 3.54. The eurodollar curve was also influenced as red/gold pack spread gained over 7.5 bps, with golds down 6.875bps. While the Fed just pledged to keep rates low through mid-2013, it seems like the market is trying to determine exactly […]
Aug 11. Another day of wild price action (and prices)…
Aug 11. Another day of wild price action (and prices). Many near eurodollar spreads have now gone negative. Even EDZ11/EDZ12 has inverted to -4.5, with Dec’11 99.525 and Dec’12 9957.0. Some people are scratching their heads as EDM2 100c trade 0.5, while euroswiss contracts have blown through the zero bound and trade 100.10 to 100.16. […]
Aug 10.
Aug 10. Well the Fed succeeded in convincing the market of low rates for a long time (at least yesterday). Eurodollar calendar spreads were crushed. One year calendars nearly at zero: Sept11/12 settled 2.5 and Dec 11/12 at only 1 bp. The commitment to keep rates low until at least mid-2013 almost seems desperate…through the […]
Aug 9.
Aug 9. A day of huge volatility in many markets Monday, with SP500 down 6.7% and gold up 3.7% to over $1700/oz. Implied vol screamed higher in stocks and treasuries as the flight to safety spurred a treasury rally in spite of S&P’s downgrade of US debt. New low in 2 year yield to 26 […]
Aug 8.
Aug 8. From HuffPost: “The U.S. is “pretty darn f**ked,” [former Obama econ adviser Christina] Romer said during a segment on Real Time with Bill Maher called “How F**ked Are We?”, after Maher asked what the [S&P downgrade] news could mean for the U.S. economy. Perhaps a tongue in cheek comment, but the S&P move […]
Aug 5. Severe risk-off meltdown yesterday…
Aug 5. Severe risk-off meltdown yesterday. Stocks, treasury yields, and emerging markets all plunged. 2yr note made a new low yield of only 27 bps. Tens dropped below 2.5% to end 2.47, down 13 bps on the day. SPX was down nearly 5%, while Nasdaq fell just over 5%. Gold was at new contract high […]
Aug 4.
Aug 4. Like other recent data, non-mfg ISM was weaker than expected yesterday at 52.7. In a fairly quiet session the curve flattened with 2/10 in about 4 bps to 227, and red/gold pack spread down 2.5 to 248. New low as well in red/green to 64.5. There was late selling of green midcurve straddles, […]
Aug 3.
Aug 3. Treasury yields were again crushed with tens down 11 bps to 2.63% and fives down 8 to only 1.23%. Euro$ calendars all made new lows as well, with EDZ11/EDZ12 at only 15.5 bps, down 6.5 on the day. Red/green pack spread 65.5 bps. The lowest level of last year (on rolling basis) was […]
Aug 2. New lows in all euro$ calendar 1-yr spreads…
Aug 2. New lows in all euro$ calendar 1-yr spreads. The lowest, EDZ11/12 is a mere 22 bps. The unexpected drop in ISM to only 50.9 underscores economic weakness, and deterioration in Italy, Spain spreads could portend dollar funding issues. And of course now that the debt ceiling has passed the house, I’d guess cash […]
Aug 1.
Aug 1. Stunning rally in fixed income Friday with both 5-yr and 10-yr notes falling about 15 bps to recent lows after much weaker than expected Q2 GDP report. 5-yr yield 1.37 and 10-yr to 2.80%. Eurodollar calendar spreads absolutely collapsed to new lows. For example EDH12/EDH13 closed at only 29.5 bps. In my opinion, […]
