Archive for the ‘Eurodollar Options’ Category
May 10. Gov’t end game
Talk of a liquidity package from the ECB and the Fed re-instituting dollar swaps helped to stabilize markets. Near eurodollar contracts were able to bounce back with EDM0 up 6 on the day, but at 99.35 (or 65 bps) still about 18 bps below the current libor setting. –High frequency trading is being blamed for […]
May 7. Down plunges 1000 on ‘fat finger?!”
An extraordinary day Thursday. By now everyone is aware of the possibility of a “fat finger” error, and contagion due to Greece. However, these are the “broad strokes” as I see them. First, when a market hits a vacuum where there are no bids (like stocks yesterday), it’s typically because of an imbalance where there […]
May 5. 1997 Asian contagion revisited
Stocks tumbled and treasuries rallied as the euro plunged below 130. This episode is bringing back memories of the Asian episode in 1997, but instead of a run on peripheral players like the Thai baht or Malaysian ringgit, (or even Greek drachma) the stage is now set with the euro as the main tragic figure. […]
May 4.
Stocks continue to rebound after every sell off (though lower this morning). Interest rate futures sold off as Greek rescue package reassured markets and ISM was slightly stronger than expected. Ten year yield rose about 5 bps to 3.70%. –There was a seller of about 1000 TYU 114/119 strangle at 1-24; could be the start […]
May 3. Terrorist scare in NYC. Worsening oil spill.
Intererst rate futures rallied as stocks sold off. Buffett’s comments over the weekend supporting GS are likely to help stocks, as is the IMF package to Greece. However, negative factors include the the disastrous oil spill, the defused car bomb in Times Square, China’s increase in bank resserve ratios. A theme of “big is bad” […]
April 28. FOMC today
Turnaround Tuesday. Treasury yields plunged as Greece and Portugal were downgraded. Ten year fell 12 bps to 3.69%. All eurodollar calendar spreads declined to new lows, with the highest one year spread, EDZ10/EDZ11 at only 127.5, down 13.5 bps on the day. Red/green pack spread fell further to just under 112 bps. Volume was heavy. […]
April 27. 2 yr auction and Goldman subprime testimony today
April 27. Quiet Monday in interest rate futures. UBS a buyer of about 10k of both TYM 115p (13 and 14) and TYM 115.5p (18). –Financials were weak in front of today’s Goldman inquisition and government plans to sell its position in Citi. Citi -5.1% on volume of 1.24B shares (over 20% of all NYSE […]
April 22. Steepeners unwinding
April 22. Curve flattened further yesterday, with 2/10 treasury spread down 5 bps to 273.5. Red/gold pack spread was down 6.5 bps to 261. EDZ10/EDZ11 spread, the largest one year calendar spread, fell 4.5 bps to a new low of 139. One year spreads that average around 125 to 130 are not indicative of a […]
April 21. TYM vol hitting new low, as Bank of Canada hints at hike
April 21. The Bank of Canada indicated rate hikes were on the way causing BAs to plunge, but eurodollars registered only slight declines and came back to close with modest losses. However, the curve flattened with reds down 3.125 bps while golds were actually up 2.5 bps. 2/10 treasury spread fell about 3.5 bps to […]
April 20. Goldman news discounted, move back to risk assets
Stocks rebounded, bonds fell, as news about the SEC’s action against Goldman dissipated like a wisp of smoke. Copper, crude, aussie all fell but have rebounded sharply this morning. Today Geithner and Bernanke testify about Repo 105…they will probably laud its use as evidence of superior financial engineering, cementing the stature of the US as […]
