Archive for the ‘Eurodollar Options’ Category
Sept 2. Tens uncomfortable under 2.5%
ADP data which was weaker than expected was shrugged off by the market, while stronger than expected ISM sent treasuries hurtling lower, though they fought back from worst levels of the day. Stocks exploded higher. –Reflecting the difference of thought within the Fed, Dallas’ Fisher said it’s not more QE that’s needed but a reduction […]
Sept 1. We make money the old fashioned way…
WSJ reports that Obama’s economic team is considering a new round of fiscal stimulus including tax cuts/incentives and infrastructure spending. Late stock surge was able to hold DJI above 10000 for the last day of August. –New lows in Dec/Dec and March/March eurodollar one year calendars, with the former at 40.5 bps. The tightness of […]
Aug 31. Financial stocks weak
Surprising rally in fixed income on light volume Monday. Friday’s sell off was completely erased. Stocks again started the day on a promising note, only to slowly grind lower through the session. Financial stocks again weak; new low closes in BAC, USB, WFC. –There were a couple of stories about China, one that Moody’s warned […]
Aug 30. Bonds sell off after Bernanke
Substantial drop in longer dated treasuries and back end of the eurodollar curve Friday, with ten year note up 16 bps to 2.65% and the green euro$ pack up nearly 15 bps (in yield). Most likely due to disappointment that Bernanke didn’t signal massive new QE in his Jackson Hole speech, but endless supply might […]
Aug 28. Fed out of bullets?
A couple of thoughts about Bernanke’s Jackson Hole 2010 speech. He talks about the transmission mechanism of central bank purchases of assets bringing down rates, but candidly admits that quantification is somewhat difficult. Then later he says if the economy weakens and long term rates are falling as a result, mortgage refi’s may cause significant pre-payment on […]
Aug 27. Jackson Hole
Stocks started on a promising note but slid lower into the close, as the market awaits GDP revision this morning, expected to be revised down to +1.4%. However, what I believe is telling is weakness in financial stocks. JPM, BAC and WFC are all pretty much at their lowest levels since July 2009. The bigger […]
Aug 26. Jax Hole. New curve lows.
Once again the curve made new lows as economic data continues to surprise on the weak side. Red/gold pack spread settled below 200 bps. –Near contracts came under profit taking pressure even as the libor setting edged lower. Perhaps partially due to Ireland downgrade, also due to large option plays (buying put spreads/selling calls) by […]
Aug 25. Plunge in existing home sales drives yields to new lows
Aug 25. Existing Home sales plummeted, an easily identifiable culprit for large market moves across the world. Ten year note below 2.5% All euro$ calendar spreads made new lows as deferred contracts gravitate towards zero rates. 2/10 treasury spread fell around 9 bps to new recent low of 202, same level as red/gold pack spread, […]
Aug 23. Bonds close weak, treasury vol higher. Reversal?
Interest rate futures were higher Friday morning on Weber’s (ECB) comments about supporting banks with liquidity thru year end. However, by the end of the day the US market reversed and the curve steepened, while implied vol was significantly higher in treasuries. Red/gold pack spread gained 9 bps to 215, just after Morgan Stanley threw in […]
Aug 20. Ten year yield nearing 2.5%
Economic news continues to surprise on the weak side, with Jobless Claims jumping to 500k and Philly Fed coming in at -7.7 versus expected +7.0. It almost seems like a mini-episode of Oct 2008 when economic activity nearly stopped. Yields probe lower, with 2 yr notching another new low (48 bps) and bonds have fallen […]
