Archive for the ‘Eurodollar Options’ Category
Dec 16. US interest rates surging
–The high yield in the ten year note in 2007 was around 5.30%. As the financial crisis developed over the next year or so, tens went down to 2.05% in late 2008. Halfway back is 3.67%…and we are now 3.54%. Of course, we have been as high as 4% this year, and just 2 months […]
Dec 15. Bonds continue lower after FOMC
–Bond bear market continues though the Fed maintained its commitment to QE2. The FOMC announcement said growth is too slow to foster lower unemployment. The upcoming fight between the Fed and Ron Paul is sure to highlight issues with the Fed’s dual mandate. –Saw an item on Zerohedge that mentioned a built in DECREASE of […]
Dec 14. Light volume, high volatility in rates
Huge rally after a crazy flush Sunday night. Green euro$’s were down around 15 bps early Monday morning, but came back to close +5. Ten year yield was fully 100 bps higher than the low set in early October of 2.38%. Tens closed yest at 3.28%, down 2 bps. –FOMC meeting today. November’s statement was […]
In: Eurodollar Options
Dec 13. Bonds slide
Bond sell off continued Friday while stocks made new recent highs. All eurodollar calendar spreads are making new highs, with front to red year spreads averaging around 75 bps (still fairly low). From lows last month the ten year yield is up nearly 100 bps, to 3.30% Friday. Many analysts are pointing to the Obama tax […]
In: Eurodollar Options
Dec 10. Signs of economic improvement
Dec 10. Many large interest rate option trades trades: TYH 125/127c spd UBS paid 13 for 45k (new). EDM1 9975/9987 c spd cab paid for 30k. EDZ1/EDH2 spread sold in size of 90k from 18 to 17 (appears to be exit). There has been a seller of about 40k EDU1 9937^ in the last two […]
Dec 9. US yields surge. Tens up 85 bps in 2 months
US interest rates continue to surge, with ten year yield up another 10 bps, just under 3.25%. However, going into today’s auction, the yield on the 30 yr bond was up only 7 bps (5 yr yield up 13). Relative stabilization at longer end of the curve makes me think a bounce is likely. Additionally, […]
Dec 3. Ten year yield holds 3%. Unemployment on tap
Ten year held 3% for now. NFP expected 150k, with Private payrolls +158 and Mfg +5k. Non-mfg ISM expected 54.8 from 54.3. –Trichet delays withdrawal of liquidity, boosting near euro$ contracts. New highs in many one year calendar spreads. Red/gold pack spread up over 9 bps to 265. (Highest in red/gold this year is around […]
Dec 1. Periphery bonds weak
US yields fell as bond markets in Spain, Italy, Belgium dropped. ECB may be forced into stronger moves to prevent contagion. –Economic data in the US has been generally more positive lately, with yesterday’s Chicago PMI up to 62.5. Today’s data includes ADP jobs number, ISM and Beige Book. –In another piece of positive news, […]
Nov 30. Moderate interest rate volume; flatter curve
Interest rate trading was subdued with a tendency toward a flatter curve as the Fed bought back longer maturities. The Irish bailout was met with less than enthusiastic reception, with stocks lower and the euro coming under heavy selling pressure (broke below 200 day moving avg). –German unemployment fell for a 17th month, lowest in […]
Nov 29. Irish bailout…markets skeptical
Irish aid package of 85 bln. As part of the agreement, bondholders aren’t at risk, but will be on bonds issued after 2013. I read in a (Goldman?) note that this validates the idea of a steeper curve. I would suspect that the dollar curve might also be impacted, specifically in calendar spreads from 2012 […]
