Archive for the ‘Eurodollar Options’ Category
Aug 16. FHA policies prolong housing problems
Aug 16. From BBG: “The Federal Housing Administration agreed in March to insure mortgages for apartments at the 98-unit Gramercy Park development, known as Tempo. That enables buyers to make a down payment of as little as 3.5 percent in a building where apartments are listed at $820,000 to $3 million.” Is this the proper […]
Aug 13. Short term interest rates futures fall on profit taking
Aug 13. Interest rate futures came under some profit taking pressure Thursday, with red pack settling down over 6 bps. There was a large seller of EDU0 9962c vs 9950/9937 p spread: Fimat sold calls over, 30k at 2.0 and 1.5 credit (sold calls at 3.0 and bought put sp at 1.0 and 1.5). The […]
Aug 12. Stocks have “no-confidence” vote for Fed
The stock market took the Fed’s tepid assessment of the economy to heart and sold off by 2.5 to 3.0%. Likewise, the measures announced to support the economy were deemed ineffectual. –The curve made new lows, with 2/10 spread down to 217 bps, down 20 bps in just a week. EUR/JPY plunged by nearly 3 […]
Aug 11. Fed downgrades econ view. QE lite
Aug 11. The Fed downgraded its assessment of the US economy and said it would reinvest MBS and agency paper into treasuries in order to maintain the size of its balance sheet (to the tune of about $25-30 billion per month). Given $40 billion being auctioned today and tomorrow in tens and bonds and the […]
Aug 10. FOMC today. QE expected
Aug 10. FOMC today. The market is expecting an announcement for QE. There have been a reasonable amount of trades predicated on further easing of very short term rates, which could lead to disappointment unwind. –The curve flattened further with 2/10 spread at a new recent low of 228. Red pack to deferred pack spreads […]
Aug 9. Bad employment report. QE at Tues FOMC is priced in
Aug 9. Yields tumbled to new lows on yet another weak employment report. New recent curve lows as the market awaits announcement of further QE efforts at Tuesday’s FOMC. 2/10 spread fell 7 bps to 231. Drop in red/gold pack spread was of similar magnitude to 228.5 bps. –In my opinion lower rates aren’t really […]
Aug 5. Treasuries. Priced for perfection?
Aug 5. Some huge option trades yesterday. UBS a buyer of about 90k TYV 125.5/127.5 c spread for 14. Appears to target 2.5% yield. Paper sold about 30k EDU0 9962c at 4.0 to 3.75 and 15k EDZ0 9950/9962c spds…both exits. –Service ISM and ADP data were a bit better than expected, causing yields to edge […]
Aug 3. Liquidity fest
Aug 3. The dollar index fell below 81 yesterday, dropping about 3/4 of a percent. Since April DXY has almost made a round trip…from 80 in mid-April to 88 in early June, now straight back down to 81. Coincidentally the high in SPX was nearly 1220 in late April, then sold off with dollar strength […]
Aug 2. Treasury yields continue to fall
Aug 2. Yields continue to drop. 2 year note at only 55 bps. Ten year yield fell 9 bps to 2.91%. New lows in nearly all one year eurodollar calendar spreads. Red/green pack spread made a new low at only 78.5 bps, down 2.75 bps on the day. –Grain prices continue to show impressive strength. […]
July 31. Buy short end puts for insurance
It was an interesting last week of the month. On Tuesday there was a Morgan Stanley piece (all links below) suggesting that the gov’t streamline home refinance for any homeowner who is current on their mortgage to (lower) market rates. There would be no need for credit analysis because the gov’t already is backing principal. There is really […]
