Archive for the ‘Eurodollar Options’ Category
Jan 18.
Is it any wonder that NY Fed’s Dudley last week soothed the market by saying the duration of “extended period” of low rates is from 6 months to two years, just as the markets are wringing their collective hands about the end of MBS QE? Is it any wonder that changes continue to occur with […]
Jan 15. Weak retail, job claims up, Greece CDS soar
Jan 15. The last leg of the auction was easily absorbed and yields continued to edge lower, while stocks maintained a solid bid throughout the day. Retail Sales were unexpectedly weak at -0.3%, and Jobless Claims a bit higher, adding to a string of disappointing data. NY Fed’s Dudley indicated an “extended period” of low […]
Jan 14
Yields were up yesterday as the Treasury completed the ten year auction (30’s today) and the Beige Book was a non-event, though weakness in CRE was noted. JPM’s Dimon said CRE is a train wreck, but the serious problems have already happened. –CA downgraded. Liscio Report says sales tax revenues improving, but “Rockefeller Institute of […]
Jan 13. Financial Crisis Inquiry Commission begins
–Stocks, gold, oil, grains all fell yesterday, as did yields, in spite of this week’s treasury supply. Ten year fell nearly 10 bps to 3.72%. The curve finally flattened, with red/gold pack spread in by 8 bps. –Ten year note auction today, followed by the Beige Book. –(Reuters) – “President Barack Obama’s emergency spending measures […]
Jan 12.
Light volume day in eurodollars with decided upside bias in the short end. The curve steepened again to a new high. Red/gold pack spread exploded another 7 bps higher. In front of the auctions over the next couple of days 2/10 spread edged out to 289 (new high). 30-yr bonds actually rose 3 bps in […]
Jan 11. Employment weak. Cons Credit weaker.
“Good News: The unemployment rate hasn’t gone up. Bad News: because so many people have just given up and quit looking” (from Fark.com). NFP fell 85k. Labor force decreased by 610k. Participation rate fell to 64.6, lowest since 1985. Just as stunning was consumer credit, which fell a whopping $17.5 Billion in Nov. (Chgo Trib)- […]
Jan 8. Employment report
–Unemployment report today with NFP expected around flat. Rate expected to rise slightly from 10.0. –The curve continued to steepen with red/gold up over a bp to 267. 2/10 now at 280.5 vs recent high of 284. –Near contracts are resiliently bid, even though Hoenig made some hawkish comments yesterday. Buyer of 30k EDM 9975 […]
Jan 7. Fed minutes prompt curve steepener.
Jan 7. Fed minutes indicated no imminent tightening; concerns about the tapering down of Fed’s MBS buying and possibly higher rates at the long end caused the curve to steepen significantly. While the eurodollar red pack was up 2.25, golds fell over 6.25; red/gold spread made a new recent high of 266.7. Two year note […]
Jan 6. Yields fall in front of employment data
The rally in interest rate futures continued, and even included longer maturities yesterday. The ten year yield dropped 8.5 bps to 3.755%. Curve flattened slightly. Having shaken off a solid ISM number Monday, what happens if the employment data is much weaker than expected Friday? Market is apparently expecting +10k for NFP with rate of […]
Jan 5
Red eurodollars had a strong rebound yesterday, closing up 10.5. The curve steepened aggressively, with red/gold pack spread up nearly 11 bps. Ten year yield was unchanged at 3.84%. 2/10 spread up 5.5 to nearly 276. –ISM, though stronger than expected at 55.9 only caused a minor setback in the front end eurodollar rally. For […]
