Archive for the ‘Eurodollar Options’ Category

Sept 28. Flatter curve. Financial capital trusts.

Sept 28. Friday’s big story was curve flattening in response to Warsh comments (Fed’s Warsh said the central bank may have to be as aggressive in removing stimulus as it was in adding).  Two year note rose 6 bps in yield, while tens fell nearly 5 bps; 233 spread, new recent low.  Red/gold pack spread […]

Post FOMC; Sept 24

Sept 24.  The FOMC announcement overwhelmed mediocre 5-yr auction results as (once again) “…economic conditions are likely to warrant exceptionally low levels of the federal funds rate for an extended period.”   Those anticipating a more hawkish statement were forced to cover.  Tens ended around 3.40%, down about 4.5 bps.  In the previous statement the Fed […]

Sept 22. New dollar low

2 year auction today. FOMC result tomorrow.  Tens rallied early then failed Monday on extremely light volume. The rally coincided with Treasury’s QE purchase of $4B 5 years, (for which $15B was submitted).  Clear some paper off the books to be replaced during this week’s auctions.  In any event, tens are still flirting with 3.5% […]

Sept 21. Still about real estate

Contrast these two snippets that were cited in Prudent Bear: September 16 – Bloomberg (Dan Levy):  “Tom Perkins, the venture capitalist whose firm helped finance Google Inc. and Amazon.com, paid $9.35 million for a penthouse condominium in the Millennium Tower, San Francisco’s tallest residential tower.  The 4,806 square-foot apartment is on the top floor of […]

Sept 18

Sept 18.  Data was mixed yesterday, with Job Claims lower than expected but continuing claims higher.  Philly Fed was a strong headline number but components within the survey paint a different picture, with employment lower, input pricing higher but prices rec’d under pressure. –After a lower open, treasuries rallied.  The curve flattened aggressively with red/gold […]

Sept 17

Sept 17.  Significant reversal in eurodollar contracts Wednesday.  Early in the morning reds were up about 9 bps, but closed -7.25, as rumors swirled about a Medley piece claiming two Fed governors were in favor of near term tightening, (though most would prefer to wait at least six months). –The curve flattened. Price action in […]

Sept 11

Sept 11.  Rates continue to slide with 2-year note below 89 bps.  Tens ended at 3.34%, down 13bps on the day.  The low on March 18 was 2.535, the high on June 10 was 3.95%. Halfway is 3.24% which appears to be the target. –Though stocks continue to climb the interest rate environment doesn’t indicate […]

Sept 10

Sept 10.  New highs in stocks yesterday.  Interest rates steady with falling vol. –(Bloomberg) — The Federal Reserve said 11 of its 12 regional banks reported signs of a stable or improving economy in July and August, adding anecdotal evidence that the worst U.S. recession in seven decades is over. –(Bloomberg) — The Federal Deposit […]

Sept 9

Sept 9. Astoundingly large (record) drop in consumer credit in July of 21 billion. Sixth month of consecutive decline. –Today’s features include the ten year auction ($20 B), Beige Book, and comments by Chicago Fed’s Evans and Dallas’ Fisher. Other Fed speakers are slated for tomorrow. –Eurodollar curve continued to steepen with reg/gold pack spread […]

Aug 10

Aug. 10–Better than expected employment data (NFP -247k vs -300exp) sent rates higher.  Red pack fell over 16 bps; ten year yield rose nearly 11 bps to 3.85%. –This week brings the quarterly refunding and the FOMC meeting, which should keep the market under pressure.  In the auctions a couple of weeks ago, poor 2 […]

• ABOUT:
  Former member of the CME specializing in interest rate options and yield curve strategies.

  The risk of loss in trading futures and/or options is substantial and each investor and/or trader must consider whether this is a suitable investment. Past performance, whether actual or indicated by simulated historical tests of strategies, is not indicative of future results.