Archive for the ‘Eurodollar Options’ Category
Dec 2. Dubai recedes/curve steeper
–Yields rose as the dollar fell and gold made a new high. However, the two year note briefly traded at the crisis low interday below 65 bps (Dec 2008). Ten year yield gained 7.5 bps to end at 3.27%. –Curve steepened with 2/10 treasury spread up 6.5 bps yesterday to 260. Implied vol was softer […]
Dec 1. Two year note nearing crisis low yield
–Japan announced ten trillion yen emergency lending facility that accepts a wider variety of collateral, though didn’t increase QE purchases. Concerns about Dubai are receding. –Chicago PMI stronger than expected at 56.1. ISM today expected 55.0 from 55.7. For comparative purposes, between July 2006 and July 2008 ISM bounced around between 49 and 54. –Two […]
Nov 25.
Nov 25. Fed minutes say zero rates might be fueling financial speculation. Gee, really? If only there was some sort of simple indicator they could use to test their hypothesis, like gold for example. –Interesting observation from minutes: “Participants noted that the dichotomy between significant easing of conditions in capital markets and continuing tight conditions […]
Nov 24. Theme continues to be questionable lending
The good news is that Existing Home Sales were up 10% and credit card deliquency rate edged slightly lower in Q3. The not so good news is that China is asking its largest banks to submit plans for raising capital, ironically at the same time the US is pressing TARP recipients about repayment plans. The […]
Nov 23. FHA farce
–Curve edged a bit higher Friday. Treasury option expiration was uneventful as tens rejected the 120 strike. Rates were a bit higher even as stocks traded soft. Ten year yield up 2 bps at 3.363%. –Existing Home Sales today expected 5.70M rate. Existing Home Sales have been trending up for most of this calendar year […]
Nov 20. T-bill rates near zero
–Short end yields continue to slide, with three month t-bill now at 1 bp. Two year note yield is 71.5, down 3 bps yesterday. Fed’s balance sheet hit new record high yesterday. –Treasury bill yields at these levels can only mean stress, though not apparently in the stock market. However, some banking names are showing […]
Nov 18. All one-yr eurodollar calendar sprds <140 bps
Quiet yesterday in spite of -0.6% drop in Core PPI. Today CPI expected +0.2 with Core +0.1.Housing Starts expected .600M from .590M –Roubini says worst is yet to come regarding employment. –From Bernanke yesterday “We are attentive to the implications of changes in the value of the dollar.” I suppose he is throwing that hot […]
Nov 16. New highs gold
–Gold has exploded to a new high this morning, negating last Thursday’s reversal. –News today includes Retail Sales expected +0.9% from-1.5, and +0.4% x-auto. Empire State Survey expected 29 from 34.57. –Related to retail: “American shoppers are splitting again: The affluent are finally starting to buy, picking up designer clothes at places like Nordstrom, while […]
Nov 13. More bad real estate news
Nov 13. Once again the dollar is trying to bounce from oversold levels, which hurt stocks and gold. Gold had a key reversal; made a new contract high, but had an outside day and closed lower. SPZ again rejected the 1100 level, profit taking there as well. Job Claims were *only* 502k, but interest rates […]
Nov 11.
Quiet day Tuesday. Ten year note lost some ground after the auction, but generally rates were marginally lower and the curve slightly steeper. Red/gold eurodollar pack spread edged to a new high at 249, and 2/10 treasury spread remains around 264. In early June red/gold pack spread traded 300, while 2/10 was around 275. –There […]
