Archive for the ‘Eurodollar Options’ Category
March 10. Spain downgraded; peripheral bond yields rising
–US Ten year note fell below 3.5% to 3.47 even as news circulated that Pimco’s Total Return Fund had been purged of all treasuries. New lows set in many one year eurodollar calendar spreads, for example EDZ11/EDZ12 fell 6 bps to 126.5. EDM1/EDM2 fell to 81 bps as the market lessens the odds of rate […]
Mar 9. Baltic Freight Indices reflect weak global trade
Uneventful session in US interest rates. There was some selling pressure prior to the 3 yr as stocks recovered, but the auction was well received and eurodollars ended with only modest losses. –Ten year auction today. Ten year note to tip spread is edging a bit higher, now around 257. –From a WSJ article yesterday: […]
March 8. Worldwide risks remain elevated
–Net change in interest rates was negligible Monday even though there were large swings in other markets. Crude was up over $2 early in the day before easing off. Copper was down a whopping 14 cents (potential head and shoulders top setting up). Stocks fell. While markets took some solace from the idea of a […]
March 7. Ten year yield falls back below 3.5%
–Interest rate futures rallied after the employment data, which came in around published expectations at 192k and 8.9%. However, the market was leaning towards even stronger data, and there were disappointments in hourly earnings, workweek, and the labor participation rate. The ten year note fell back below 3.5% at 3.49. –The upcoming week is light […]
March 4. Watch out for a BIG payroll number
Employment situation today with NFP expected +180-200k. However the market appears to be leaning towards a much higher number, perhaps more like 350k. –Trichet said the ECB might have to raise rates to combat inflationary pressures, and an April hike is possible. Trichet’s comments, along with a sharp drop in Jobless Claims pushed the US […]
March 3. ECB leaves rates UNCH’d
Interest rate futures gave up early gains after the Beige Book, where the gen’l theme seems to be that companies are trying to pass on higher input costs. Comments attributed to purchasing mgrs in the last ISM report note higher costs and longer lead times for acquiring inputs. When concerned about both cost and supply, […]
March 2. Oil up $3 as Libyan situation escalates
Mar 2. Stocks slid as crude oil rose over $3 on Libyan tensions. Gold and Silver both made new highs. In his semi-annual comments Bernanke said there could be a short term inflation effect from rising commodity prices, and said the Fed was closely monitoring inflation expectations (10yr note/tip spread at new high of 244 […]
March 1. Post Bernanke comments…
Stocks are selling off (ESH from 1330 to 1320) and fixed income is rallying (TYM from 118-16 to 118-24) in the wake of Bernanke’s comments. Overall not much new, but the increased emphasis on inflation expectations, the mention of an exit from QE, (and that markets perceive a lessening of QE) all had the effect of […]
March 1. Could Mideast type unrest happen here
–Vol fell as shorter dated notes rallied, in part due to Fed POMO of $6.6 bln. Implied vol softer. –Today Bernanke is before Congress for semi-annual testimony. ISM expected 60.5 from 60.8. –This doesn’t have anything to do with the markets (for now), but…”Nation of Islam leader Minister Louis Farrakhan predicted on Sunday […]
Feb 28. US interest rate implied vol going lower
–With only small change in US market this morning vol likely to be hit again. New lows in near 3 month calendar spreads with EDH1/EDM1 at 5.5 and EDM1/EDU1 at 8.5. –Big picture features remain the same. Mideast turmoil, high energy prices, growing US internal dynamics pitting states against the federal govt. This doesn’t just […]
In: Eurodollar Options
