Archive for the ‘Eurodollar Options’ Category
Mar 26. New high in dollar/stocks
Some big moves yesterday. New high in the dollar. Euro plunged as Trichet denigrated IMF involvement with respect to Greece. Curve was much steeper. Stocks rallied early but faded late, producing an outside day with close at the bottom of the range. Yields on the long end of the curve broke out of recent ranges, […]
Mar 25. Treasury yields at year’s high
Interest rates surged yesterday, related in part to exit of swap spreads, but also perhaps partially due to Portugal downgrade and general distrust of sovereign debt. A poor 5 yr auction added to selling pressure, with 7 yr scheduled today. This year the yield in tens has been in a range of around 3.60% to […]
Mar 24. Ten yr swap spread goes negative
Mar 24. For the first time the ten year swap spread edged into negative territory, -1 bp. The 30 yr is around -18 while 2 yr is +17. Bloomberg described this pressure as related to corporate bond issuance which is swapped back to floating rates. In my opinion it could have something to do with […]
Mar 23. Reform GSE’s?
While initial reaction to the passage of the healthcare bill was negative for equities, early weakness was completely erased and stocks closed at their highs. Yields were also lower on the day with tens falling 2.5 bps to 3.66%. The curve flattened slightly, with 2/10 notching a new low just below 269 bps. Treasury kicks […]
Mar 22. Sentiment shift reflects increased funding pressures
Near contracts continue to be pressured with red eurodollar pack -6.625 bps. There has been a sentiment shift as talk has grown about a discount rate hike that would force funding away from the window and to the open market. Coupled with that are sev’l other factors, including a surprise hike of 25 bps by […]
March 19. Speculation increasing about discount rate hike
Several stories circulated yesterday about the Fed raising the discount rate again (as early as yesterday afternnon, which obviously didn’t occur). From Bloomberg: “There has been no decline in borrowings [from the discount window] since the discount-rate increase, which is why it is entirely possible they want to raise the discount rate in the days […]
March 18. 2/10 flattens slightly
Quiet yesterday. Eurodollar straddles fell 1-2 bps. New recent low in 2/10 treasury spread at 272 bps, down 2.5 on the day. PPI of -0.6% had little effect. –The situation with Greece is again causing some concern, with possible IMF involvement. BBG says the aid package is “unravelling”. –However, right here in the US there […]
Mar 17. No change in FOMC
The Fed changed little in its FOMC statement, causing a rally in, well, everything. Ten year yield fell over 5 bps to 3.65%. Gold soared $20. Stocks rallied to new highs. It’s all about liquidity. –New lows in near eurodollar calendar spreads, with EDM0/EDU0 at 15.5 bps. EDM0/EDM1 matched its previous low at 114.5. EDZ10/Z11 […]
Mar 16. FOMC today
Light volume Monday in front of today’s FOMC. Curve steepened somewhat. Though Moody’s warned of a possible downgrade of US debt, and TIC data revealed that China and Japan reduced holdings of treasuries in January, yields were little changed. –FOMC meeting today. The last statement was generally supportive of growth going forward; I think it’s […]
March 15. Repo 105 as negative catalyst?
Interest rate futures immediately sold off on stronger than expected Retail Sales, but snapped back with notable curve flattening on the rebound. 2/10 treasury spread fell 2 bps to 275.5. Red/gold pack spread (new) fell 3.5 bps, with reds down by 1.75 and golds up by an equal amount. The market appears to be anticipating […]
