Archive for the ‘Eurodollar Options’ Category
Feb 25. Bernanke confirms low rates/ New Home Sales Plunge
Bernanke says rates to remain low, cited unemployment as a bigger problem than inflation. New Home Sales plunged to 25 year low, notwithstanding the homebuyer tax credit. Fed wants to gauge the effect of ending MBS purchases (thought to be modest). At the same time this week’s treasury sales are not causing any type of […]
Feb 24. Bernanke today/ Consumer Confidence plunges
Consumer Confidence plunged to 46 rather than expected 55. The forward looking Expectations fell 13 to 63.8. Lest one thinks this number’s an outlier, ABC Consumer Comfort fell to -50, lowest since Oct ’09 and only 4 pts off 24 year low. –Ten year yield dropped over 10 bps to 3.69%. The curve flattened as […]
In: Eurodollar Options
Discount rate hike spurs curve trade unwinding
Fairly significant curve flattening in response to the Fed’s discount rate hike. Sev’l Fed officials immediately reassured the market that the move was mostly symbolic. 2/10 treasury spread fell under 286 bps from record 293 Thursday. Red/gold pack spread in euro$’s dropped 8 bps to close near 280. Reds took the brunt of the selling […]
In: Eurodollar Options
Fed Raises Discount Rate to 0.75%
On the day when PPI came out +1.4% and Core +0.3% Fed raised the Discount Rate to 0.75%. Though it had been discussed and is most likely a symbolic gesture, the market is now wondering if the “exit” may now begin in earnest. Prior to the Fed action, the curve had made another new high, […]
Feb 18
Even before the Fed minutes were released there was pressure on interest rate futures, which accelerated into the end of the day. Fed staff raised growth estimates; there’s a general shift toward less accommodation and the possibility of asset sales by the Fed. –The curve steepened to new highs with 2/10 spread at 289 and […]
President’s Day. New high in curve.
Feb 15. Interest rate futures rallied and curve steepened to new highs. Retail Sales were slightly stronger than expected. Stocks bounced. I marked red/gold pack spread at a new recent high of nearly 282 bps. Last year the highest I marked this spread was a little over 300 bps, but that was in June 2009 […]
Feb 12.
Feb 12. The EU gave a statement of support to Greece which calmed markets. For one day. This morning euro is at new low as Germany apparently isn’t willing to sign a blank check. In the US, the 30-yr auction pressured interest rate futures, which then rallied after the results. The curve steepened a few […]
Feb 11. FNM/FRE to buy delinquent loans
Interest rate futures fell as Bernanke outlined exit strategy steps, including near term discount rate increase. Mediocre ten year auction was also a negative. Job Claims expected 467k and 30 year auction today. –FNM and FRE to buy back delinquent loans, which they say will be less expensive than making guaranteed payments. ($127B and $70B […]
Feb 10. Bernanke/ten year auction
Feb 10. Rate futures pulled back on Tuesday, weighed down by treasury supply (10 year today) and a possible bailout for Greece. Today Bernanke testifies before the House on “Unwinding Emergency Fed’l Reserve Liquidity Programs”, also likely to be a bit more negative for the market. However, there is clearly an underlying bid, as evidenced […]
Feb 9. Ebb and flow with Greece
Stocks slipped late in the day, causing the Dow to close below 10000. Volume was light in interest rate futures in front of this week’s auctions, with prices softer due to supply. –The main feature early was buying of EDU 9875/9837p spreads and 9875/9850p spreads. About 30k…appears to be an exit of previous ‘sell put […]
