Archive for the ‘Eurodollar Options’ Category
Jan 4. Ten year yield ends year near high yield.
Jan 4, 2010. Another big sell off in US interest rate futures to cap the year. Bearish factors included much lower than expected Jobless Claims, though Emergency Unemp Comp hit new record to 4.5 million in the week ended Dec 12. In all likelihood census hiring will help the employment picture in the first qtr. […]
Dec 29. Treaury supply weighing
Dec 29. Eurodollars continue to plunge as the Fed announced an interest bearing term deposit facility which could serve to drain excess reserves. Red pack fell over 6.5 bps. Ten year yield rose 3.5 bps to 3.84% as the treasury auctions 5 year notes today, followed by 7’s tomorrow. Consumer Confidence also today, expected 53.0 […]
Dec 28
Dec 28. Short end was clobbered late in the day with EDZ10 down 8 bps to 9856.0. Total open interest in eurodollars was down 34k, so it feels mostly like forced exits rather than new positions. –The administration lifted a $400 billion cap on aid to Fannie and Freddie, essentially providing a blank check of […]
Dec 22. Yields on the rise
Dec 22. Yields exploded higher Monday, with tens up over 13 bps to 3.68%. Curve steepened to new high, with 2/10 spread up 6 bps to 263.4. It’s also worth noting that ten year tip to treasury spread blew out to 235 (up 5+). Having watched this spread in relation to other market indicators, I […]
Dec 21. China warns about treasury purchases
Interest rate futures fell Friday. Ten year yield got back above 3.5%, closing at 3.544%. Light volume, though there continues to be buying in EDH10 9975c, for 0.75 and 1.0 bp. –From the Shanghai Daily quoting Zhu Min, deputy governor of the PBoC: “The United States cannot force foreign governments to increase their holdings of […]
Uneasiness about financial system returns
Dec 18. German business confidence surprised on upside today. –Yields fell yesterday as uneasiness sets in again about the financial system. Ten yr dropped 10bps to close below 3.5%. Citi fell 7%, now hovering about halfway back from the crisis low of 1 and the high just over 5. JPM made a 5 month low. […]
Dec 14. Flow of funds thoughts
Dec 14. Stronger than expected Retail Sales and Consumer Sentiment sent eurodollars tumbling. The curve steepened again to a new high with 2/10 treasury spread out to 272. Red/gold pack spread was up over 3.5 bps (rolled to March). Ten year rose over 5 bps and closed at 3.53%. –Implied vol was better bid in […]
Dec 9. Fixed income regains losses from NFP
–Yields dropped yesterday as stocks slumped and the dollar rose. The sell off from Friday’s better than expected employment report was erased as tens traded the same level as late Thursday. Ten year yield closed 3.39% in front of today’s auction. –(AP) President Barack Obama outlined new multibillion-dollar stimulus and jobs proposals Tuesday, saying the […]
Dec 4. Employment report
Dec 4, 2009. Significant curve steepening on the eve of the employment report. Ten year yield rose 6 bps to 3.38%; about 19 bps higher than the low set in the beginning of the week. Rumors circulated yesterday that Japan’s Ministry of Finance was informing the US of a move to sell $100 B of […]
Dec 3. Bernanke reappointment hearing
Dec 3. Yields rose modestly yesterday, with ten year yield up 5 to 3.27%. Today treasury announces size of next week’s 3,10, 30 year auctions. Though supply weighs on the market, it’s worth noting that Japan 10-year rate is 200 bps below the US at 1.27% (and edging lower), though its fiscal position is worse. […]
