Archive for the ‘Eurodollar Options’ Category
Nov 9. Uncertainty re: QE2 is rising
Eurodollars sold off yesterday, supposedly sparked by a large seller of EDH1, M1 and U1. Open interest changes this morning show the following seesaw: H +59k, M -22k, U +28k and Z1 -33k. Hard to know what to make of it. –What is certain though, is that QE2 has been met with much skepticism, which […]
Nov 8. Payrolls rise, but employment report data mixed
The employment report showed welcome rise of 151k payrolls, but some aspects of the data reflect continued weakness, which I suppose is why ten yr yield rose only 6 bps to 2.54%. Household survey was weak and the employed-to-population ratio fell to only 58.3 from 58.5. Also, 2 million people are poised to lose unemployment […]
Nov 4. QE boosts….commodities
Downbeat assessment of the economy in the Fed statement. QE package was about as expected at $600 B, putting the Fed on track to become the largest owner of Treasuries behind China. –Implied vol was crushed with TYZ straddle losing 20 ticks to close 139, down a full vol. Eurodollar straddles were also much lower, […]
Nov 3. Elections over, now Fed QE announcement
Nov 3. Stocks were strong, the dollar weak, and long treasuries firmed as the market looks past midterm elections to Fed’s QE announcement. –I don’t have strong opinions about market action here, but will just note a few things that could have an impact. On the domestic side, political gridlock and acrimony is likely: Bush […]
Nov 2. Midterm elections
Nov 2. Fairly quiet Monday. ISM was stronger than expected, but below the surface news continues to be disquieting. In terms of the financial infrastructure, there were reports the SEC is investigating JPM in a subprime deal with Magnetar. FHFA is investigating First Horizon (FHN) which fell over 7% on the news. Ambac missed an […]
Nov 1. Elections and FOMC
Big news week ahead with the midterm election Tuesday and Fed meeting Wednesday. The backdrop features a weak dollar, robust commodity prices, relatively strong stocks (all vulnerable to pullbacks). Today’s news includes ISM expected 54.5 and Personal Income/Consumption, expected +0.3 / +0.4. –GDP was 2%, though many analysts note growth was led by inventory build, […]
Oct 29. Treasury yields ease back lower
Oct 29. Nice bounce in interest rate futures as treasury auctions concluded with yesterday’s 7 year. News of the Fed sending surveys to primary dealers about QE2 helped spur the rally. Ten year yield fell back to 2.65%, down 6 bps on the day. –Front one year eurodollar calendar spreads remain extremely low as prospects […]
Oct 28. More uncertainty in long rates
Oct 28. Longer maturities continue to lead the market lower. Once again 2/10 and red/gold pack spreads made new highs with former at 230, up 6 bps. Ten year yield rose 8 bps to 2.71%. It’s been a fairly dramatic move given views only a month or so ago that rates would just sit. For […]
Oct 27. Yields moving higher…
Interesting day as curve steepened to recent new high, with 2/10 treasury spread at 224, up 5 bps on the day. Also new high in red/gold pack spread, up 5.8 bps to 236.5. Implied vol surged as interest rate futures sold off, with TYZ straddle closing at 7.0% (high end of range). Ten year yield […]
Oct 26. G20 produces weaker dollar, new commodity highs
Oct 26. Light volume Monday. Dollar fell in the aftermath of G20 meeting. New highs in many commodities including Cotton and Rice. March Beans had new high settlement. Copper also near recent highs. Interest rate futures opened higher but faded from the best levels of the day. FVZ had fairly big outside range and closed […]
