Archive for the ‘Eurodollar Options’ Category
May 30. Treasury rates remain low on European fears
–Once again US interest rate contracts closed firm. EDZ1/EDZ2 spread (Dec/Dec) has closed at a new low for seven straight sessions, ending Friday -1 at 74.5. It started the month around 102. –The situation in Greece is again front and center, but going into the next few weeks there are high profile US events as […]
May 25. Front eurodollar contracts look vulnerable to downside
–Little net change in US rate futures after a weaker opening. Continued erosion in implied vol and in one-year eurodollar calendar spreads, with EDZ1/Z2 spread in 2 bps to a new low of 85. (Selling of TYU 121.5^ from 3-00 to 2-62) –There are a few good pieces of news. Late credit card payments fell […]
May 24. Concerns about europe’s debt problems dominate trade…
— US interest rate futures settled mixed Monday, as a stronger open faded. The main feature was a flatter curve with red/gold pack spread down 4 bps to around 104. Trading flows supported a flattening theme. Large buyer of EDN 9962/9937p spread for 2.5. Notable buying in green midcurve calls. For example, E2N (July expiry […]
May 23. New lows in treasury yields (the day after my calls expired)
–Going into the last week of the month US treasury rates are pretty much right near their lows. Tens fell a couple of bps to 3.15% Friday. A few of the one-year eurodollar calendar spreads made new lows, for example, EDZ1/EDZ2 down 2.5 bps to 88. –There’s really nothing particularly new going on. The situation […]
May 20. If these guys don’t get us, the Mayans will
Interest futures clawed back from early losses to close mostly higher, as housing data and Philly Fed were both lower than expected, adding to a list of economic data that has disappointed. –No data today, though NY Fed’s Dudley speaks. (Summary: there is no inflation and we may need more QE). –June treasury options expire […]
May 18. Ten year yield has fallen to 3.12%…slower growth ahead
–New lows again in euro$ one-year calendar spreads. EDM12/EDM13 down another 3 bps to 105. Red/green pack spread at new low of 102 bps. Stocks broke down early but fought back…economic data yesterday was disappointing. –Meredith Whitney is again warning about public finances, this time noting the problems with states’ budgets. She has repeatedly warned […]
May 17. Portugal bailout package approved
–The rally in interest rate futures continued as stocks sold off and crude oil slid (down $2.60 bbl late). I marked ten year treasury to tip spread at a new recent low of 240 bps (though the Fed was buying TIPs yesterday as part of POMO). Eurodollar one year calendar spreads pressed to new lows, […]
May 16. Debt ceiling talk heats up
–The issue of the debt ceiling is becoming the subject of increasingly dire warnings by Geithner and Obama…US would lose credibility, small businesses would find it more difficult to get credit, confidence would evaporate. With the world awash in real possibilities of default, (Greece first and foremost), the positive aspect of the US debt situation […]
May 12. Commodity washout continues
–Once again commodities plunged with silver down over $3 and crude oil down over $5 to 98.90 (late in day). Renewed volatility after last week’s gyrations is forcing a change in perceptions; moves like this might become more likely and risk reduction is the new reality, in some cases forced through margin changes. Structural problems […]
May 6. Good morning, this is the margin department….
–The great speculative margin call has begun. Staggering sell offs in silver (SIN at 35.20, -4.18), oil (CLM at 98.63, -10.61), gold (GCM at 1465, down $50) and euro (ECM 145.20 down 3.14). [I marked these around 2:00pm close in interest rates yesterday] –The day started with a large unexpected jump in Jobless Claims to […]
