Archive for the ‘Eurodollar Options’ Category
July 30. St Louis Fed Bullard suggests more QE
July 30. Calendar spreads in eurodollars flattened with new lows in red/green pack spread to just above 82 bps, -3.5 on the day. Action in treasury futures also geared toward flatteners, for example, there was a large buyer of ultra bond versus 5 yr note. There was also a large trade in ten year options, […]
July 29.
Yields fell as Durables were weaker than expected, 5 yr auction went well, and Beige Book noted sluggishness in real estate and some districts. Today brings 7 yr auction and Job Claims, expected 460k. –Every day brings a slightly higher EUR 3 month setting, today at .899, while 3 mo $ libor sets lower, now […]
July 28. CBO: “Fedl Debt and the Risk of a Fiscal Crisis”
July 28, Consumer confidence lower than expected at 50.4, –Today’s news includes Durable Goods Orders (+1.0% expected) Beige Book and 5 year note auction. –Yields rose a bit in a concession to this week’s supply. Stocks were firm. Precious metals fell and appear to be in top formations as buying associated with the european banking […]
July 27. Dying of Money
July 27. Today’s news includes Consumer Confidence (expected 51) and 2 year note auction, followed by 5’s and 7’s Wed and Thurs. Little change in interest rates yesterday; the ten year note remains just under 3% yield. Slightly lower levels in TYU yesterday early, but there was heavy selling in TYU 122.5 straddle, which settled […]
July 26.
July 26. Light volume Friday. The curve steepened as stocks rose; bond yield edged back above 4% to 4.01 while tens remain just under 3%. 2/10 treasury spread rose about 3 bps to 240, red/gold pack spread was up a bit over 4 bps. –In the past few days there has been quite a bit […]
July 23. Economy sluggish
July 23. The message from the US interest rate market is fairly unambiguous: rates are low, spreads are tight, the economy is in for a long slog. –EDQ/EDU spread settled -0.75. Inverted. All one year calendar spreads are tight. EDU0 9950c were up 1.75 while EDU was up 2.0 bps. Sort of underscores the fact […]
July 22. Economy “unusually uncertain”
July 22. Bernanke says outlook for economy unusually uncertain. Curve flattened, with red/green pack spread falling to new recent low of 82 bps. In late 2008 I believe red/green got down to around 75 bps briefly, but it’s remarkable to see these spreads at such narrow levels in a low yield environment. The highest one […]
July 21. JSG Boggs
As ConnectMidMichigan reports, “New types of money are popping up across Mid-Michigan and supporters say, it’s not counterfeit, but rather a competing currency. Right now, you can buy a meal or visit a chiropractor without using actual U.S. legal tender.” –They say that most cutting edge trends in the US start on either the […]
July 21. Bernanke semi annual congress testimony
July 21. Bernanke semiannual Congressional testimony begins today. Rumors swirled that the Fed is considering doing away with paying interest on excess reserves, this given as a reason for strength in near eurodollar contracts. I personally don’t see any justification for such a move…is the removal of 25 bps of interest going to suddenly open […]
July 20. Liquidity trap
July 20. Quiet day Monday. Natl Assoc of Home Builders (NAHB) data was weaker than expected. Libor ($) setting continues to edge slightly lower in the US (while moving higher in EUR); EDU0 was trading 98.485 late, marginally below the current setting. BAC took another hit, down 2.7%, as did gold. Interestingly Larry Summers had […]
