Archive for the ‘Eurodollar Options’ Category
Feb 8
US yields continued to fall Friday as Greek contagion concerns are a dominant theme. Two year yield is down to 75 bps, the crisis low in Dec ’08 was around 65 bps. In eurodollars, one year calendar spreads made new lows. The highest one-yr calendar is now EDZ10/EDZ11 which is only 135.5 bps, signaling a […]
Feb 1. Bearish reaction to strong GDP
In spite of robust 5.7% growth rate for Q4 GDP, stocks fell and bonds rallied. (ten yr yield to 3.61% from 3.66). SPX had an outside month in January: higher high, lower low, lower close. (I would note that in the rally from 2003 to 07, this happened at least 5 times without lasting damage, […]
Jan 29. Bernanke confirmed
Bernanke was approved for a new term. Q4 GDP today expected +4.6% on inventory swing. India rasied reserve requirements more than expected as Asia continues to lead in the withdrawal of stimulus. –Stocks have no bounce, and continue to probe lower levels. However, it’s not providing much of a boost to treasuries, and vol is […]
Jan 28.
Interest rate futures sold off in the wake of the FOMC statement. The curve flattened with red/gold pack spread falling over 6 bps. 30 yr bond future actually closed slightly higher on the day, in spite of an outside day with a lower close in tens. Ten year note continued to probe lower levels as […]
Jan 27, FOMC, more of the same
Jan 27. Not much change in fixed income prices yesterday. The stock market tried to rebound but slid into a weak close, and I doubt today’s FOMC or Obama’s speech is likely to be a catalyst for buyers. Maybe Geithner and Paulson in front of Congress will help! (Watch out below). –New Home Sales today […]
Jan 26. Stocks remain pressured
The stock market remains under pressure (despite positive news from AAPL earnings report). I saw an item on zerohedge that said with 20% of companies reporting, revenues ex-financial, are down something like 5%. So cost cutting has been major driver of positive EARNINGS reports. Also, because of relaxed accounting rules and the steep curve financial […]
Jan 25.
Jan 25. Stocks were hit again Friday, bringing the loss over the past three sessions to around 5%. Obama’s plan to restrict some trading activity on banks re-introduced the idea that funding may not come quite as easily to trading operations, reflected by slight selling pressure on the front end of the eurodollar curve. However, […]
Jan 22. Obama handcuffs banks
Stocks had some tough sledding thursday, with DJI down over 200 points (2%) and SPH down 23 points. There was a large chunk of volume around 1121 to 1122, about 300k e-mini S&P or more went through, supposedly some 60k from one seller, who was also said to be buying VIX. Never was the market […]
Jan 21
BBG reports that Obama will propose rules on banks’ proprietary trading. Looks like a win for Volcker and de-emphasis of Geithner/ Summers. –Stocks and commodities tumbled yesterday as the dollar soared. Gold fell $30. Dollar index appears poised for further gains, which could cause flows out of risk assets into treasuries. Curve flattened with 2/10 […]
Jan 20. Brown wins MA election
Jan 20. News of the moment is Brown’s win (and Obama/Frank) defeat in MA election, but EU problems with Greece and Chinese moves to curb lending might overshadow domestic issues. While the election might slow down or stop some federal initiatives, it might also tend to slow or stop aid to cash strapped states, requiring […]
