Archive for the ‘Eurodollar Options’ Category
June 29. Ten year yield jumped back above 3% to 3.04…
June 29. Ten year yield jumped back above 3% to 3.04 as the five yr auction was disappointing. Green eurodollars were down over 17 bps on the day. Calendar spreads rebounded strongly from their lows.For example, March’12/March’13 was up 13 bps to 68. Treasury auctions 7 yr notes today. –Stocks continued to rise in front […]
June 28. Dallas Fed Mfg survey adds to a list of weaker than expected econ data
June 28. Dallas Fed Mfg survey adds to a list of weaker than expected econ data, expected -3.2 actual was -17.5. The question is whether this slowdown is transitory or not. ISM is out this Friday, had a large drop last time to 53.5 and is expected lower…dangerously close to 50? –Yesterday saw a reversal […]
June 27.
June 27. As June draws to a close it seems like the firewall has been jumped and now Italy is under attack (banks downgraded). It’s a rolling crisis of confidence. Two year US treasury is near new low at 33 bps. Five year dropped 8 to 1.38. However the US bond yield was unchanged…the long […]
June 24.
June 24. The day began with big drops in risk assets- stocks, gold and oil all opened with heavy losses. In an already weak market news was (officially) released that strategic oil reserves would be tapped to cool energy prices. Crude oil ended down around $3.60 to below 92. Gold fell $30. However stocks were […]
June 23, 2011
June 23, 2011. Not much market movement in interest rate futures given the FOMC announcement and Bernanke’s press conference, but stocks slid in the last hour to close at the low of the day. Though Bernanke gave no hint of extending QE, ten year notes seem comfortable hanging out in the 2.90’s, like guests that […]
June 22. FOMC announcement today.
June 22. FOMC announcement today. The market traded yesterday as if Greece’s gov’t would survive the vote of confidence which it indeed did. However there is another parliamentary vote next Tuesday on details of increasing austerity measures which will also be important with respect to fund disbursements from the IMF and EU. –The previous FOMC […]
June 20.
June 20. Fairly uneventful day yesterday, though EDZ1/EDH2 made a new low of only 5 bps. CSFB was a huge buyer of 40k EDH2 9875/9900p spd for 2 and 2.5, adding to position, now long at least 70k. –In the US, Existing Home Sales today and FOMC meeting starts with result tomorrow. Bigger news will […]
June 18?–There was pre-weekend jockeying on Friday given the fluid situation in Greece.
June 18?–There was pre-weekend jockeying on Friday given the fluid situation in Greece. Pressures seen on Thursday abated to a small degree…near euro$ contracts were up 2.5-3.5 bps as was the ten year yield. Once again open interest fell in each of the first four eurodollar contracts, with EDU and EDZ both down about 38k, […]
June 17. The story related to Greece still dominates…
June 17. The story related to Greece still dominates; a default could seriously impair bank capital and create cascading insolvency. The curve is getting whipsawed as safe haven buyers reach for treasuries and deferred euro$ contracts, while the very front end is selling off to reflect a funding risk premium. Eurodollar one year calendar spreads […]
June 16. Stocks tumbled as turmoil and riots related to Greek debt talks overwhelmed other factors.
June 16. Stocks tumbled as turmoil and riots related to Greek debt talks overwhelmed other factors. Econ data in the US continues to disappoint, with Empire State expected 12, actual -7.79 and Industrial Production and Capacity slightly weaker than expected. Home builder confidence fell. The euro sank (down 280 late), dollar strengthened. August Crude oil […]
