Archive for the ‘Eurodollar Options’ Category
Feb 24. April Crude over $101, up $3
–Mediocre five year treasury auction yesterday, 7’s today. Eurodollar curve ended a bit steeper, though 2/10 spread flattened by a few bps. Selling once again in eurodollar options. There appeared to be fairly heavy liquidation of EDU and EDZ 9962c. EDZ 9937^ settled 40 from 42.5 the day prior. –This morning oil is again […]
Feb 23. Libyan revolution. Change at the margin.
–Five year notes are being auctioned today. The yield fell 14 bps from Friday afternoon to yesterday’s close as Libya’s revolution captured the attention of markets, especially oil (+8.5%). Ten year yield fell back below 3.5% (now 3.46%), down 13 bps from Friday close. –Stocks fell with Nasdaq down nearly 3%, and S&P down around […]
Feb 20. Revolution tipping point
–Interesting day Friday. US interest rate futures started the day under pressure, following a sell off in euribor on Smaghi comments that the ECB might have to raise rates due to global inflation. However, the front end of the US curve came back to close positive as Mideast tensions dominated the end of week trade. […]
Feb 17.
–PPI was higher than expected at 0.8 with Core 0.5. Interest rate futures weakened but a story about Iranian warships in the Suez Canal and a possible Israeli response prompted a treasury bid which didn’t really fade even as the story did. Generally upbeat FOMC minutes were easily absorbed. Curve flatter with reds/golds -4.5 to […]
Feb 16. FOMC minutes this afternoon
Retail sales were a bit weaker than expected yesterday. Today’s news includes Housing starts, expected 540k, PPI +0.7 with +0.2 Core and Industrial Production expected +0.5 with Capacity edging up to 76.3. FOMC minutes released this afternoon. –Interest rate futures were weak early yesterday but firmed into the close, with greens +4.0 (strongest part […]
Feb 15. All inflation, all the time
Stocks continue to float higher on a sea of liquidity, with light volume. Grains pulled back a bit although copper had a new high closing settlement. There’s a lot of news out: China inflation +4.9%, Obama’s budget ($3.73T) with a huge projected deficit, continued demonstrations in middle eastern nations, and a reminder of european issues […]
Feb 14. Food prices rising
Thursday’s rise in yields was erased Friday, with longer maturities leading the way. Whenever red/gold pack spread gets around 300 it tends to fall back, dropping 8.75 bps Friday to 291.5. 2/10 treasury spread fell from 287 to 281. –Food prices are getting more press. I saw a press piece about cold weather in […]
Feb 11. Housing and QE intertwined
The housing/MBS collapse was the prime factor that reverberated through the economy and caused the financial crisis. Since that time, the gov’t backstops 85-90% of home finance. An administration report outlining ways for the gov’t to pare back its home finance involvement is supposed to be released today. At the same time, a prominent Chinese […]
Feb 9. Treasury yields (and commodities) surge
–Interest rates surged Tuesday, with ten yr note up 8 bps to 3.72%. (10 yr auction today). All near euro$ one-yr calendar spreads made new highs, with the peak now EDZ11/Z12 at 139. Last year in April tens hit 4% which capped the yield rise. At that time the third eurodollar contract traded around 99.10 […]
Feb 8. China raises rates by 1/4%
–US interest rate futures closed nearly unchanged Monday after early weakness. However, one year euro$ calendar spreads edged to new highs. The widest one yr calendar is now EDH12/EDH13 which gained 0.5 bp to 135.5. –Implied vol was weaker, suggesting that the move toward higher rates has abated for now. There was a seller of about […]
