Archive for the ‘Eurodollar Options’ Category
July 19.
July 19. Rally in fixed income continued Friday, with the 2 yr note reaching a record low just below 58 bps. Ten year note fell around 6 bps to 2.92%. –Banks were weak. BofA fell 10%, and is at the lower end or the range of the past 11 months. Citi was down nearly 7%, […]
July 16. New low 2 yr yield 58.5 bps
July 16. While the ten year note yield fell back below 3%, ending at 2.98, perhaps more telling was that the two year yield made a new low at 58.5 bps. Economic data continues to surprise on the soft side, with both Philly Fed and Empire St weaker than expected. Stocks sold off early but […]
July 15. FOMC minutes indicate risk of slowing
July 15. Spirited rally in fixed income, spurred by weaker than expected Retail Sales at -0.5 vs expected -0.2%. FOMC minutes indicated rising risks of a slowing economy. –Another new low in EDU10/EDZ10 spread at 6 bps, down 1 on the day. –A long time ago on the trading floor, a month eurodollar broker came […]
July 14.
July 14. In this environment EDU10/EDZ10 settling at 7 bps is simply too low. I would further say that EOH 9850 straddle is too low at 65. –Curve steepened a bit with 2/10 up 4 bps to 245. The most interesting thing I see in the market is that an onslaught of bond supply and […]
July 13.
July 13. Light volume Monday with fixed income prices nearly unchanged. Not surprisingly treasury vol was somewhat softer; curve edged lower. –Ten year auction today followed by 30 year bond tomorrow. –Fed’s Duke and Lacker both indicated yesterday that there are no near term plans to continue easing. –A couple of interesting snippets this morning: […]
July 12
July 12. Longer treasuries eased in front of this week’s auctions, continued firmness in stocks was also a factor. Curve steeper with 2/10 spread adding about 4 bps to 243. Red/gold pack spread closed 245, up 6 bps on the day. Ten year yield at 3.05%. –Near eurodollar contracts are stubbornly bid, with EDU10 only […]
July 10. States’ woes
Just a couple of quick excerpts from State Comptrollers on budget difficulties. Illinois is quite frank and stark, so I decided to check a few others. While the Fed’l gov’t paints a rosy picture of improvement, the guys in the trenches are rather glum. –Alex Manzara Illinois Comptroller Dan Hynes http://www.ioc.state.il.us/news/isp.cfm an […]
July 9. Near ED contracts signal lower LIBOR
July 9. Near eurodollar contracts continued to rise. July 3-month contract (EDN0) settled 99.4775, a rate below yesterday’s 3 month Libor setting of 53 bps. EDZ0 was the strongest contract, up 3.5 on the day. It appears as if there was a significant amount of liquidation in Sept/Dec/March butterfly which has traded from +2.0 to […]
July 8. Stocks roar higher
July 8. Stocks roared higher yesterday and near eurodollar contract also rallied, though longer treasury rates edged up as the curve steepened. 2/10 spread moved to 235 from 232. New low in EDU10/EDZ10 at only 8 bps. –Washington Post has an article today saying the Fed may consider taking steps to revive the economy if […]
July 7
July 7. Stocks rebounded from Monday’s low on light volume; unconvincing fashion. Ten year note yield again fell, down to 2.93%. Back month eurodollar calendar spreads edged to new lows. Red/green pack spread settled 85.5, down 1 bp. –There has been a string of disappointing economic data with yesterday’s Service ISM adding to the list, […]
