Archive for the ‘Eurodollar Options’ Category
Mar 12. Curve flatter in spite of bond auction
Selling pressure continues in eurodollars, though net change was modest with reds -3.25 bps. There was a seller of 40k (or more) EDM0 9962c at 5.5. The treasury completed this week’s auctions with the 30 yr bond, and surprisingly enough, that was the only place where yields fell. Tens were unchanged at 3.72%, bond yield […]
March 11. Eurodollar option put buyers in front of next week FOMC
March 11. There was a tremendous amount of put structure buying yesterday on EDH11 and EDM11. Open interest in midcurve puts on EDM11 (short Apr, May.June) was up 240k contracts. A big chunk was additional purchase of 20k EOM 9837/9800/9762p fly for 5.5 (80k). The point is that some players are setting up for downside. […]
March 10, C, AIG, FNM, FRE surge
March 10. Comments by China supported the treasury market. Three year note auction went well. Tens auctioned today. –Treasury vol is at recent lows and pressing lower. –The crap owned by the gov’t all surged yesterday. AIG +12.6%, FRE +7.5%, FNM +5.9% and Citi +7.3%. There were rumors about the gov’t selling some or all […]
March 9. Liquidity driven trade; NASDAQ at high of year
March 9. For a quiet trading day there seems to be a lot of “big picture” items to note. According to BBG, GSE debt spread to treasuries is at a record low (Barney Frank’s recent comments notwithstanding). –The Obama administration is unveiling a new plan to streamline short home sales, giving cash compensation as incentive. […]
March 8. Some signs of better growth ahead
March 8. Employment picture was better than expected with NFP -36k. Stocks rallied, EUR/JPY had a powerful bounce, oil and copper both rose. In many ways it’s surprising that eurodollars didn’t have more of a pull back, for example EDH1 and EDM1 ended only 10 bps below Tuesday’s settles, which were new highs. Tens have […]
Mar 5. Curve flattener
March 5. Huge curve flattening yesterday. Red/gold pack spread fell 9.25 bps with reds -4.5 and golds +4.75. 2/10 treasury spread was down 7 bps. Implied vol was crushed in treasuries. FNM apparently cut lines to some european banks, (and DB long term debt was downgraded by Moodys), causing concerns of funding pressures. Even near […]
Mar 3. New highs red euro$’s
New highs in red eurodollar contracts, with red pack +3.0 on the day. Volume was light. Curve edged steeper, with 2/10 up 1.5 bps to 281.5. New lows in near one-year calendar spreads, with EDM10/M11 down 3 to 114.5. Gold had a nice rebound yesterday, gaining $15 and poised for a further run. –The ten […]
Mar 2. US States fiscal problems
Light volume Monday with interest rates little changed and stocks again pushing higher. However, sterling plunged early before rebounding somewhat…this is the sort of move one might expect as nations race to devalue their currencies in an effort to improve competitiveness, but now most are shackled by the euro. Gold fought back from early losses […]
Mar 1. Liquidity driven
Interest rate markets continue to seek lower yields. Ten year note fell 5 bps to 3.59%. The curve flattened with 2/10 treasury spread down 2.5 to 279 bps and red/gold euro$ pack spread 280 bps, down 5.5 on the day. All euro$ calendars are trending lower, with the highest one year spread, EDZ10/EDZ11 at 142, […]
Feb 26. Foreclosure ban?
–Price action in interest rates remains bullish (lower yields). New lows in near calendar spreads with EDM0/EDU0 at 16 bps and EDM0/M1 at only 119. Ten year yield fell another 5 bps to 3.64%. Eurodollars closed near highs of the day, even as stocks recovered early losses and gold had a big reversal, from a […]
