Archive for the ‘Eurodollar Options’ Category
Nov 25. Yields surge
Wicked sell off in interest rate futures. Ten year note rose 17 bps in yield, from 2.75% to 2.92%. Though yesterday’s 3 month libor setting for dollars was barely changed (near 29 bps), EDZ traded 99.60, or 40 bps. Fairly large spread given only 2 and a half weeks until expiration. –With ten year note […]
Nov 24. Korea heating up
N Korea situation has potential to flare up. Minutes show dissension at Fed about QE program (not surprising, as public comments had already indicated internal debate). Forward growth estimates trimmed. Ireland was downgraded…EDZ0 is beginning to show signs of front end credit worries…trade 9966 last night, from 68.5 trade yesterday. Spanish bond yield at new […]
Nov 23.
Yields slid, stocks rallied on a liquidity surge. Green euro$’s up over 17 bps on the day. Red/green pack spread which made a new recent high Friday at 75 bps, fell to just over 66. Ten year note yield dropped to 2.81% from 2.87%. –N Korea lobbed missiles at S Korea; threatening to escalate into […]
Nov 19. Blame China
Bernanke testimony was released, the main thrust of it was that emerging market economies with trade surplusses (China) should let their currencies strengthen to foster better growth balance. In a way, he calls for a weaker dollar, which should again support things priced in dollars, including financial assets. On global cooperation (and near start of […]
Nov 18. Ireland maybe nearer to resolution…
Sloppy price action yesterday. Curve steepened, with 2/10 at 238 and red/green euro$ pack spread a bit over 246, a new recent high. Fairly good buying of Jan TY call spreads. However, the 30 year bond, not being included in the Fed’s buyback program, appears to have lost market sponsorship. Cash bond was 4.28% at […]
Nov 17. Risk off
Many crosscurrents in the market, with an aid package to Ireland still up in the air, China taking steps to stem inflation, and vigorous debate about QE2 and the Fed’s mandate going forward (Sen Corker suggesting the Fed should have a single role of targeting inflation). For me the takeaway is that european problems are […]
Nov 16. 5 yr note nears 1.5%, was 1.03% two weeks ago
Rout continues as retail sales stronger than expected. Ten year note and five year both up 15 bps, to 2.91% and 1.49% respectively. Fives have jumped nearly 50 bps in a week and a half. –Eurodollar calendar spreads make new highs, with red/green pack spread out to 72 bps. Fronts to reds now around 55 […]
Nov 15. “No confidence” vote for QE2
In a little over a week five year Treasury yield went from near 1% (around 1.02) to Friday’s level of 1.34%, in what can only be construed as a vote of “no confidence” in QE2. Eurodollar calendar spreads, though still at fairly low absolute levels, made new recent highs. For example, EDH1/EDH2 one-year spread jumped […]
Nov 11. Treasury buyback whipsaw
Weak price action in interest rate futures culminated with the 30 year bond auction. Treasuries quickly made new lows and then exploded higher in a short covering frenzy as the Fed unleashed its buyback program. –The interest rate struggle pits buyers who are either 1) the govt 2) pensions forced to find yield 3) those […]
Nov 10. The market slams QE2
Huge move down in interest rate futures on large volume. Ten year yield rose 10 bps to 2.65%. EDZ0/Z1 and EDH1/H2 one-year spreads made new recent highs, gaining 8 and 12 bps respectively. It appears to be a repudiation of QE2, selling accelerated after the ten year auction (bid to cover was on the low […]
