Archive for the ‘Eurodollar Options’ Category
May 31. Knee-jerk reaction to Spain downgrade by Fitch
Friday’s economic data was weaker than expected with Chicago PMI 59.7 vs 62 and consumer spending 0.0 vs +0.2 expected. Fitch cut Spain’s debt rating, causing equity weakness and bond strength. BP again failed in its effort to stop the oil spill in the Gulf of Mexico. –Although financial concerns in europe resurfaced with Fitch’s […]
May 28. Near eurodollar contracts rally
Total protronic reversal as near eurodollar contracts exploded higher, euro rallied, stocks rallied, curve rallied. EDU10 jumped 12 bps to close 9917.0. Ten year yield rose 13 bps to 3.34%. The DJIA gained 2.85% while SPX was up 3.3%. Red/gold pack spread was up over 15 bps to 240. –The question now is whether this […]
May 26. Rumor of ECB rate cut
There was a rumor yesterday that the ECB was considering an emergency 50 bp cut which seemed to coincide with a general market turnaround. However, it seems more likely to me that it was related to talk about cutting the ECB’s punative 100 bp add-on to Fed’s swap line to a less punative 50 bp […]
May 25. Funding pressure evident in EDM10 contract
Interest rate contracts fell Monday, with red pack down nearly 10 bps. Ten year treasury yield rose about 3 bps to 3.23%. EDM0 has only three weeks until expiration and though the LIBOR setting continues to edge up (now around 50 bps), EDM0 contract is fully 21 bps cheap to the setting at 99.29 (or […]
May 24. Eurodollar calendar spreads under pressure
All eurodollar calendar spreads are being crushed. The first four contracts (whites) to reds as avg spread is only 60 bps. Red/green spread is only 88 bps. One month ago the front one-yr spreads were around 140 and red/grn was 120, so this has been quite na inversion. There are huge strains and funding concerns […]
May 21. Deflation pressures still abound
The market is screaming deflationary impulses. Stocks had only a tiny reprieve as EUR staged a strong rally off the lows, but then new selling emerged and SPM made new lows. –Almost all eurodollar calendar spreads made new lows. EDZ10/EDZ11 spread is only 70 bps in an environment where some people are still thinking the […]
May 20. Fed in no hurry to sell MBS according to minutes
Fed minutes..no hurry to sell MBS. Not much change in rates yesterday. However, Aussie was crushed along with many commodities. Platinum down 5%. This month Aussie (June futures) has gone from 92 cents to 84. Yesterday it plummeted 200 to a low of 8331, which is well lower than Feb low of 8473. July Crude […]
May 18.
Euro rebounded from new lows Sunday night as selling pressure fizzled out. Stocks followed the same pattern. However, copper and crude oil were crushed, with copper down around 19 cents. Both of these industrial commodities neared lows set in February of this year. As a comparison, SPM which was trading 1135 late yesterday was as […]
May 17. Curve flatter
Tremendous flattening in dollar curve Friday. Red/gold pack spread fell 8.5 bps to 263. EDU10/EDU11 euro$ spread made a new low at 72.5 bps, down a whopping 14 bps on the day. 2/10 treasury spread fell only about 4 bps to 266. Nearly all one yr spreads nearing 100 bps…(probably too low). –Ten year yield […]
May 11. Europe’s huge bailout already fading
Though the Dow gained 400 points yesterday, some of the market moves associated with Europe’s huge weekend bailout package are fading. For example, EUR/USD traded as high as 131 early yesterday, but is right back to Friday’s level of 127.30. The dollar funding crunch was apparently significantly alleviated as EDM0 settled up 14 on the […]
