Archive for the ‘Eurodollar Options’ Category
Sept 20. Hoping for QE announcement at FOMC
The question of whether a new large round of QE is in the offing takes on heightened significance in front of tomorrow’s FOMC. Treasury option plays suggest many in the market are pinning their hopes on an imminent announcement. Almost certainly treasuries will sell off in disappointment if there isn’t QE. Gold will likely also […]
In: Eurodollar Options
Sept 16. Buy the curve
Sept 16. Large curve steepening. Red/gold pack spread rose by 8.5 bps. 2/10 also up about 7 bps to a new recent high. The curve appears to be bottoming here. Time to buy reds and sell everything behind. –I had seen Steve Eisman of “Big Short” fame say that banks have basically been restrained from […]
In: Eurodollar Options
Sept 15. Japan intervenes
Gold and silver exploded as the Fed…oh wait not the Fed, but Goldman’s Hatzius, said the govt may engage in a new QE round of 1T by Nov or Dec. Treasury yields fell in spite of a weaker dollar, with tens down 8 bps to 2.66%. –Japan intervened today causing a large drop in the […]
In: Eurodollar Options
Sept 14. Stocks and bonds ride tide of liquidity
Sept 14. Stocks surged as new Basel rules were interpreted as another free pass for the banking system. Financials staged a nice rally, reminds me of Wile E Coyote, smugly breathing a sigh of relief as he believes he’s averted being crushed by a boulder only to inadvertantly launch another one that lands squarely on […]
In: Eurodollar Options
Sept 13. Basel calls for increased bank capital
Sept 13. Rates edged higher Friday, with ten yr note up 3 bps to 2.79%. –Still some interesting upside call positions taken. RBS bought another 10k EOH 9875c for 7. Up to 62k long now. –In the aftermath of european banking “stress tests” the regulatory Basel panel has ordered banks to raise common equity to […]
In: Eurodollar Options
Sept 10. Yields jump as treasury concludes auction
Sept 10. Yields jumped yesterday as Jobless Claims fell (on incomplete tabulation), and the treasury concluded the 30 year auction on a soft note. Ten year yield rose about 11 bps to 2.76%. Red/gold pack spread gained 5.75 bps to just over 211. Having been as high as 4% in April, and below 2.5% recently, […]
In: Eurodollar Options
Sept 9. Beige book notes deceleration
Sept 9. Beige book noted economic decleration. Yields were slightly higher as tens were auctioned. RBS a buyer of 17k Grn March 9875c for 8.5. Rather than buy butterflies like he had done at lower strikes in Green Sept and Dec, now just outright calls. –Pressure remains on EDZ0, driving EDU0/EDZ0 spread to new recent […]
Sept 8. Greece and Ireland flare up
Sept 8. The common theme in the past couple of years of this rolling crisis has been various flare-ups that seem to settle down and then resurface again. European sovereign debt is the current issue, which had remained smoldering after stress tests. Spreads are back out; the beneficiaries are the long end of the treasury […]
Sept 6. Payrolls better than expected.
Sept 6. Better than expected payroll data caused a sell off in interest rate futures, though the move was muted and implied vol declined. Ten year yield rose from 2.63 to 2.70. Equities strengthened, but it is really commodities/metals that are shining. Silver surged (new yearly high) as did corn. Gold shook off early weakness […]
Sept 3. NFP
Sept 3. Employment data today. NFP expected -105k with Private payrolls +40k. Midcurve options are priced as if there’s not much chance of a large move, but I think that’s wrong. Good buyer of EOU 9925p for 3.5 and today’s 9925 p for just 1.5 when EDU1 was trading 99.295. Midcurve 9925^ settled 10.5. –Non-mfg […]
