Archive for the ‘Eurodollar Options’ Category

Oct 6. New low in dollar as Japan eases

 Some absolutely huge trades Tuesday in the aftermath of Japan taking further steps to ease.  On a block trade there was a buyer of 23k TYZ vs 11.8k USZ.  10/30 yield spread at 125, near recent high.  Huge aggressive seller of TYZ 124/129 strangle from 55 to 45 in size of about 30k. Big seller […]

Oct 5. BOJ eases, new high gold

Oct 4.  Interest rates continue to edge lower, expecting further QE.  China’s support of Greek bonds and other euro denominated debt was probably also a factor. (Can now add Irish bonds to portfolio).  New lows in some one-yr euro$ calendars, for ex EDH11/12 down 3 bps to just 38.   –Bloomberg ran an interesting story about […]

Oct 3. Employment week

Oct 3.  The dollar made another new low Friday while gold edged to a new high.  Crude oil also surged higher the last three days of last week.  The prospect of QE is pushing some markets up, but stocks seem noncommittal, buoyed by liquidity and weaker dollar, but anchored by generally weak economic data.  For […]

Oct 1. 4th quarter…

Oct 1.  Better than expected Chicago PMI sent SPZ futures through recent highs, and tens fell about a point, but neither move was sustained.  Curve ended slightly steeper; ten year yield 2.52%. –Euribor contracts saw a significant sell off in front end of curve, with ERH1 down around 8 bps.  Red to green euribor spreads […]

Sept 30. Trade wars…ghosts of Smoot Hawley

Sept 30.  Big trades all about flattening, althought the curve actually steepened a bit.  TYZ0 127c paper paid 1-01 for about 30k (open int up 40k in the strike).  EOH 9937c vs E2H 9900c CCM paid 0.5 for 25k, buying the green midcurve call.  EDZ11/EDM14 spread sold in size of at least 10k.  EDU13 and […]

Sept 29. New lows in eurodollar calendars

Sept 29.  Once again new lows in all eurodollar calendar spreads.  Fronts/reds average only 42 bps.  Reds/greens at only 61 bps.  2/10 year treasury spread just above 200 bps. –Five year TIP is yielding MINUS 17 bps. –UBS continues to sell EDZ1 vs EDM14, about 20k today. Open interest -12k in Z11, and +18k in […]

Sept 28. QE fever

Sept 28.  QE fever has infected the market. Ten year yield fell back near 2.5%, closing at 2.513. Eurodollar calendar spreads narrowed further, with blues and golds up 13 bps on the day. On Sept 20, the day before the FOMC, EDZ’14 settled 96.97. Five sessions later it is 97.19. Red/Green pack spread settled at […]

Sept 27. The market banks on QE

Sept 27.  October treasury expiration went out with a whimper.  New low dollar.  New high gold but interestingly both Barrick (ABX) and Newmont (NEM) closed on their lows. Stocks like a weaker dollar and like the idea of more QE…not surprisingly, equities rallied.  As did grains. –The prospect of more QE is fully embraced by […]

Sept 23. Curve flatter; new high gold

Sept 23.  Curve flattened and implied vol in dollars was crushed.  Red/Gold pack spread declined by 6 bps. 2/10 treasury spread in 5 bps to 213.  Implied vol in eurodollars was hammered, with Short Dec straddle closing at only 20.5 bps with two and a half months until expiration.  Everyone knows it’s cheap, but no […]

Sept 22. More QE…later

 Fed’s statement was a bit downbeat, saying inflation had fallen below a level consistent with its mandate. Interest rate futures took a quick dip as new QE was not announced, but then rallied sharply as the door was left open for further stimulus. Call it the Barny Fife Fed, nervously determining when his one bullet […]

• ABOUT:
  Former member of the CME specializing in interest rate options and yield curve strategies.

  The risk of loss in trading futures and/or options is substantial and each investor and/or trader must consider whether this is a suitable investment. Past performance, whether actual or indicated by simulated historical tests of strategies, is not indicative of future results.