Archive for the ‘Eurodollar Options’ Category
June 15. In a turn of events no one could have predicted, Greek debt talks hit a snag.
June 15. In a turn of events no one could have predicted, Greek debt talks hit a snag. Moody’s warned French banks on exposure to Greek debt. Glencore says demand is slowing in China (FT). –US fixed income pulled back from recent gains, with ten year note jumping to 3.10%. Curve was steeper with 2/10 […]
June 14. S&P cut the credit rating of Greece to CCC, worst in the world.
June 14. S&P cut the credit rating of Greece to CCC, worst in the world. ESU promptly made a new low but quickly bounced. Illinois, wondering what it has to do to get noticed by the rating agencies, is considering corporate ads on license plates. –China again increased bank reserve ratio as inflation rose to […]
June 13. 2010.
June 13. 2010. Stocks remain under pressure, closing at the lowest level in 2 1/2 months, although a late announcement that the Basel capital charge requirement might be reduced from 3% to 2.5% caused a reversal in bank stocks. BAC and JPM were both at new lows prior to the news, ended with outside days […]
June 10,
June 10, No real news today on economy. CNN Money says US debt to GDP will surpass 100% (to 102) this year. –June midcurve options expire today. –In summer of 2007, two Bear Stearns mortgage funds collapsed. I believe the first news was in June that there were liquidity problems; didn’t seem hugely significant. By […]
June 9. New lows in all eurodollar calendar spreads.
June 9. New lows in all eurodollar calendar spreads. Red/green pack spread fell a whopping 7 bps to only 88.5. Ten year note fell to 2.93/94 before ending the day 2.96. Two year note below 40bps. There is still continuous buying of out of the money green calls…9875 thru 9900 as green pack trades 98.29. […]
June 8.
June 8. Treasuries were well bid going into the three year auction, and the strength continued into the close. Bernanke’s speech caused new highs (on the day) in TYU to 123-165. The first headline I saw concerning Bernanke’s remarks was that central bank accommodation is still needed. A downbeat assessment of the economy took stocks […]
June 7.
June 7. The curve was slightly steeper as the short end continued to rally in spite of today’s upcoming 3 year auction. Red/gold pack spread edged up 1.125 bp while 2/10 was up 2 to 258. Ten and thirty year bond auctions on Wed and Thursday. Perhaps a bp or 2 of concession from 3%?? […]
June 6. Bad employment data sparked a rally in bonds and losses for stocks.
June 6. Bad employment data sparked a rally in bonds and losses for stocks. QE2 was supposed to help the economy by propping up asset prices as yields would fall at the longer end of the curve. Well, you can’t ask for much more than a ten year note at only 2.99%, yet stocks, which […]
June 2. Yields continue to press lower.
June 3. Nonfarm payrolls today. Expectations have been cut by several firms in light of other weak data; a number around 140-150k now seems to be in the ballpark. Given lowered expectations and the strong rally we have already had in fixed income, a move to much lower rates doesn’t seem likely. However, recent stock […]
June 1. Economic data continues to disappoint.
June 1. Economic data continues to disappoint. Chicago PMI was expected 62 but came in 56.6. Consumer Confidence was 60.8 vs expected 66.5 and Dallas Fed was -7.4 vs expected 8.5. Today’s news includes ADP data and National ISM, expected 57.5 vs 60.4 last. A new rescue package for Greece was cited for equity market […]
