Archive for the ‘Eurodollar Options’ Category
June 21. China reval
In what was perhaps a foreshadowing of China’s weekend revaluation announcement the curve steepened Friday with red/gold pack spread up over 6.5 bps. –The initial response Sunday evening to China’s announcement indicates a return to risk assets, though moves are muted at best. Treasuries are lower; a better indication of ramifications will likely occur with […]
June 18. Curve flattening
Tremendous flattening as data was weaker than expected, with Philly Fed expected 20 but actually an anemic 8. Jobless Claims were much higher than expected at 472k. While the first four eurodollar contracts were barely higher, reds were up 8 and golds were up 13.5. 2/10 treasury spread fell 6 bps from 255 to 249. […]
June 17.
Interest rates edged lower even as stocks pressed higher. Implied vol was lower as trading range remains tight and volume low. TYU has been in a range of about 3/4 point for the past week. However, there was again a buyer of 5k TYQ 127.5c for 2. –BP set aside $20 B and scrapped its […]
June 15.
Moody’s downgraded Greece to junk, which halted a rise in both stocks and treasury yields. Net change in eurodollars was 0 to down 3, after being down 6 in deferred contracts early. Every time yields appear set to rise and risk assets regain solid footing, it seems as if some piece of news comes out […]
June 14. Obama urges new $50 bln “emergency” spending
Yields fell Friday and the curve flattened as 2/10 treasury spread dropped 4 bps from 253 to 249. Ten year fell to 3.22% from 3.31%. Near eurodollar one-year calendar spreads plunged, with EDZ0/EDZ1 down 9.5 bps to 79.5. –From yesterday’s Washington Post…Obama urges $50 bln “emergency” spending measure for state and local gov’ts to save […]
June 9.
Heavy interest rate option volume Tuesday, dominated by call structure buying in treasuries. UBS a buyer of TYU 121/123/125 c 1x3x2 paying 11 for the body in size of 40k x 120k x 80k. Appears to be a roll out of lower strikes leaving long 123-125 c spreads. Also bought TYQ 126/28c spd for 7 […]
June 7. Disappointing payrolls
It seems to me there is no way to put a positive spin on the jobs report, with an increase of only 41k private payrolls. Going forward many domestic stimulus measures are expiring, and the idea of fiscal austerity has taken hold throughout the industrialized world. Government spending was supposed to be the spark to […]
June 4. Expecting big nonfarm of 600k
A bit more decoupling as euro closed near its low while stocks shrugged off selling attempts and closed at the high of the day. Employment report today universally expected to show a large rise in nonfarm payrolls, from 500-700k. –Mostly bearish (insurance?) structures in interest rate futures. For example Merrill bought about 15k TYU 114p […]
June 3.
Yields edged higher Wednesday in front of this week’s employment data. A rise in stocks was also negative for fixed income. –Though volume was light there were a couple of large trades relating to EDZ10/EDZ11 spread. There was a block trade of 5k in the spread itself, I believe at a price of 83.5. The […]
June 2. Canada hikes
Relatively quiet Tuesday with US interest rates little changed from Friday though Canada became the first G7 country to raise rates, moving to 0.50%. –US equities were weak as the US opened a criminal probe into BP. BP stock was down 17.6%, but Halliburton (HAL) was also down 17.4% and there was spillover into other […]
