Archive for the ‘Eurodollar Options’ Category
July 15. Curve steepened yesterday as the treasury concluded the 30-yr auction.
July 15. Curve steepened yesterday as the treasury concluded the 30-yr auction. The auction yield was at 4.197, but by the end of the day it had moved to 4.24 and now 4.26. 2/10 treasury spread jumped 6 bps to 258. Red/gold pack spread was up 6.75 to 283. –Option flows seemed to mainly be […]
July 14. Now it’s getting serious.
July 14. Now it’s getting serious. No…not that Moodys put the US rating on review because of debt ceiling problems (following China’s Dagong), but much, much worse. From WSJ: “More than 300 bars and liquor stores in Minnesota can’t buy alcohol to sell to consumers because their $20 alcohol-purchasing licenses have expired, a casualty of […]
July 13, 2011.
July 13, 2011. Gold soared $23 yesterday as FOMC minutes suggested some members were open to QE3. Up another $9 this morning and over $1570, GCQ nearing new high. Oil had big bounce from lower open and was up 215 late. Grains were higher as well after a lower opening, with notable call spread buying […]
July 11.
July 11. Incredibly bad employment report sent yield plunging, with tens back down to 3.01% (-14 bps) in spite of this week’s upcoming auctions in 3’s, tens, bonds (T, W, Th). There was size selling of TYU puts Friday after the data: 20k 119p, 25k 120p and 20k 122p…looks like exits, open int -13k, -7200, […]
July 8. Interest rate futures were slammed on the ADP report…
July 8. Interest rate futures were slammed on the ADP report at 157k vs 70k expected. Ten year note rose 6 bps to 3.15. –Today’s employment report has bonds looking vulnerable to higher rates. Prior to yesterday, consensus for NFP was 105k, but DB moved their estimate up to 175 and Goldman to 125 with […]
July 7.
July 7. Interest rate futures reverted partially back into panic mode, with near contracts moving lower and backs closing higher. EDZ1 closed -2, EDZ2 +3.5 and EDZ3 +6.0. Ten year yield had been at 2.91 at the height of european concern, jumped to 3.20 on Tuesday, and fell back to 3.09 yesterday. There was heavy […]
July 5. Ten year note yield rose another 4 bps to 3.20 on Friday.
July 5. Ten year note yield rose another 4 bps to 3.20 on Friday. Calendar spreads in eurodollars all made new highs, with most one-year spreads having bounced 20-30 bps over the past 2 weeks. –S&P warned that the Greek bond rollover plan may still be deemed a default. I think the following quote is […]
July 1. The curve continued to steepen Thursday…
July 1. The curve continued to steepen Thursday, with 2/10 up 6 bps to 270 and red/gold pack spread up nearly 10 to 284. Just last week Tens had yielded as low as 2.91%, now 3.16%, up another 5 bps yesterday. This move, and the associated powerful rally in stocks, has been dramatic, but nothing […]
July 1. The curve continued to steepen Thursday…
July 1. The curve continued to steepen Thursday, with 2/10 up 6 bps to 270 and red/gold pack spread up nearly 10 to 284. Just last week Tens had yielded as low as 2.91%, now 3.16%, up another 5 bps yesterday. This move, and the associated powerful rally in stocks, has been dramatic, but nothing […]
June 30. Just a few thoughts…
June 30. Just a few thoughts… US treasury yields continue to surge, with ten year yield up 7 bps to 3.11…was just 2.91 a few days ago. Mediocre seven year auction saw a brief dip, but damage was contained, leading me to conclude that some consolidation should occur here or at slightly lower yields going […]
