Archive for the ‘Eurodollar Options’ Category
March 30. Sentiment towards bonds falling as fast as consumer confidence
–There has been a tremendous amount of put buying in the past few days. Yesterday the Green April E2J 9725/9700p spd (on EDM13) bought in size of 40k for 4. Midcurve June (on EDM12) puts rose 52k in open interest. There is a lot of weight on the market, and the down trade in bonds […]
Correlations.
The above chart overlays AAPL stock and May Copper. One is a tech company with some of the coolest consumer gadgets in the world…producing huge innovations, one after another, i-phones, i-pads, etc. The other is a base metal, used in industrial applications. (Apps, we like to call them). With all the pontificating and effort expended on CNBC to […]
March 29.
–Interest rates still edging higher. Ten year note closed nearly unchanged yesterday at 3.45% but came close to 3.5% early in the day. The curve is flattening modestly. –Five year auction today along with Consumer Confidence expected 64 from 70.4. Bullard also speaks (in his Seven Faces of the Peril paper he had argued for […]
March 28. Bonds are showing cracks…
–Huge amount of treasury put buying Friday, about 25k TYJ 119p associated with April option expiration, but more notably, new position buys in TYK 117p …total 80K trade. The sell off, (red euro$ pack -9.125) was mostly a result of Plosser’s comments outlining a plan for an exit strategy combining asset sales with a rise […]
Mar 22. Swans
–Getting to the point where people are asking “Does anyone remember what a WHITE swan looks like?” –Irish yields soared yesterday…2yr 9.26%, 10 yr 9.48%. Portugal’s gov’t set to fall over opposition to austerity measures (as every gov’t is that imposes austerity). I saw a news clip that said “US treasuries dip as fears over […]
Mar 22, 2011. Update on Europe yields
With Japan and the Mideast capturing the attention of the world, don’t forget that Europe’s financial crisis is still lurking in the background. Ireland’s yields surged to a new high as rumors surfaced that AIB had missed an interest payment. Here is a snapshot of 2Yr and 10Yr yields in the floolowing countries: Portugal, 6.126, […]
March 21. No-fly zone operation commences in Libya
–Military action to create a no-fly zone in Libya commenced. However, it’s unclear whether this action will create more certainty regarding oil supplies and mideast stability. US rates moved higher Friday as worst case fears about Japan eased slightly. Even so, my personal bias is that the market is not fully pricing dislocations related to […]
March 17. Japan worsening
–Japan’s situation deteriorating further, with Germany’s Merkel calling it “apocalyptic”, though yen is staging a huge run up, apparently the result of carry trades being unwound. –US interest rates plunged. Eurodollar calendar spreads narrowed further. Last week EDZ11/EDZ12 was 132.5 at its high, yesterday settled 101. Implied vol has exploded. At the money June Five […]
March 16. A move towards a larger margin of safety
Mar 16. The epic disaster in Japan overshadows all else, though it has barely registered a blip in US markets. If anything, the situation in Japan appears to be getting worse and the humanitarian ramifications will grow for the globe. Adding to the mix of uncertainty was a downgrade of Portugal and increased tension in […]
March 11. US stock market “day of rage”?
–Moody’s downgrade of Spain was the opening catalyst for a move to higher bonds and lower stocks, but late news that Saudis had opened fire on protesters sparked an immediate 5 bp rally in green euro$ pack. Ten year yield fell another 8 bps on the day to 3.39%. Five year note is approaching 2%. […]
