Among the many things that vex my feeble mind ( such as why does the sun rise in the east and set in the west) recently I have been wondering why short rates in Europe as measured by euribor contracts have been moving higher (reflecting declining sep. euribor futures) and Eurodollar contracts have been moving higher reflecting falling rates. Some of the explanations I received have made sense and been helpful. Such as
- The recent roll off of the large LTRO facility led to uncertainty in the market and a decrease in the supply of funding as it was replaced with smaller shorter term loans.
- Upcoming stress tests have led to sharp fluctuations in euro ois and euro libor relative to other currencies the last two sessions.
I’m sure there are even more reasons – and I would love to hear them but given this Fridays potential importance I would think things may change once the tests are presented and digested.
We are seeing a fairly active session in Eurodollar option activity today as Sep. contract now trading 9951.5/52 and the Dec. is not far behind @ 9946.5/47. Maybe we will hear something about additional quantitative easing from Bernanke this week. Markets seem to be pricing in very low borrowing costs for and extended period.
Players are listed below:
Note something interesting in Fed fund options: Note good buying in Nov. 9987.5 calls. The effective rate currently is around .19 which would imply a contract value of 9981. Current talk going around is that the Fed could end the policy of paying 25 basis points on excess reserves. This supposedly could push excess reserves into the funds market and send that rate sharply lower.
| 7/20/2010 | |||||
| Screen this A.M.: | |||||
| edq0 9937 put trades 1.25, 1000 | |||||
| shrt eou1 9912 call trades 9.5, 1000 | |||||
| shrt eoq1 9862 put trades .5, 700 | |||||
| edz0 9925/9937 p/s trades 2, 500 | |||||
| edu0 9950 call trades 5, 1100 | |||||
| edz0 9962 call trades 1.5, 1000 | |||||
| edu0 9962 call trades .75, 500 | |||||
| Open Outcry | |||||
| Paper | S | 1,500 | EDU191/92 c spread | 12 | 9913 area |
| RBS | B | 5,000 | E2U/E2Z82/85/87 cfly stupid | 12.5 | N/A |
| New edge | B | 10,000 | EDU093 call | 16 | ^ 70% 9950.5 |
| BCM | S | 2,500 | EDH192/96 c 1X3 | 19 | 9941 |
| JP Morg | B | 1,000 | EDZ282/85/87 c fly | 5.5 | 9806 |
| Deutche | B | 5,000 | EDZ080/85 p spreads | 1 | 9947 |
| Paper | B | 2,000 | EDU097 calls | 0.25 | N/A |
| Locals | B/S | 5,000 | EDU093/95/96 c fly | 5.5 | 9951 |
| Paper | B | 5,000 | EOU91/92/93 cfly w/ EOZ90/91/92 cfly | stupid @ 5.5 | N/A |
| TJM | S | 500 | EDZ0 9950 strad | 19 | 9947 |
| Fortis | S | 10,000 | EDZ/H/M 86 pfly | 2.5 | N/A |
| Paper | S | 1,500 | EDU091/92 s spread | 0.25 | 9952 |
| Paper | B | 5,000 | EDZ88/93 p1X2 | 1 | 9947/47.5 |
| Paper | B | 2,500 | EOQ9925c | 2.5 | 9914 |
| Paper | S | 5,000 | EDZ0 86/93 squash call over | 14.5 | 9946.5 |
| New edge | S | 1,500 | EOZ 85/87 c spread | 20 | N/A |
| Mann | B | 1,500 | EDZ095/96/97 c fly | 4 | 9947 |
| straddles: | |||||
| edQ0 9950 7/7.5 f=9951.5 | |||||
| edU0 9950 10.5/11 | |||||
| edV0 9950 14.5/15 shorts | |||||
| edZ0 9950 18.5/19.5 f=9946.5 EOQ 9912 13.5/14.5 | |||||
| edH1 9937 29/30 f=9941 EOU 9912 19.5/20.5 | |||||
| edM1 9925 43/44 f=9929 EOV 9887 28.5/29.5 | |||||
| EOZ 9887 40/41 | |||||
| reds EOH 9875 56.5/58 | |||||
| edU1 9912 60.5/61 f 9914 EOM 9850 74.5/75.5 | |||||
| edZ1 9887 78.5/79.5 f=9893 | |||||
| edH2 9875 90/91 f=9873 | |||||
| edM2 9850 103.5/104.5 f=9851 | |||||
| RBS | B | 5,000 | EDU2/EOZ2 82/85/87 cfly stupids | 13 | N/A |
| Barclay | B | 10,000 | EDH19962.5 call | 2.5 | 9941/41.5 |
| TY | |||||
| JP Morg | S | 4,000 | TYQ122/125 c spread vs. see below | 12308 to 06 | |
| JP Morg | B | 4,000 | TYV123/126 d spread | .32 to .30 Q over | 12308 to 06 |
| Swiss B | B | 1,500 | TYU119.5/122.5 strangle | 1.29 | ^12307.5 |
| Mann | S | 500 | TYQ122/123/124 c fly | 0.27 | 12307/07.5 |
| 1st Op | B | 500 | TYQ124 c | 0.06 | 12306.5/07 |
| 1st Op | B | 1,000 | TYQ124 c | 0.08 | 12311.5/12 |
| Paper | S | 500 | TYU123.5 straddles | 1.59 | N/A |
| Paper | S | 1,000 | TYU123.5 straddles | 1.57 | ^12310 |
| Paper | S | 2,500 | TYZ117/122.5 p1X2 | 1.07 | 122'20 |
| 1st Op | S | 1,000 | TYQ124/124.5 c spreads | 0.06 | 12316.5/17 |
| BCG | S | 1,000 | TYU127c | 0.06 | 12314/14.5 |
| New edge | B | 1,500 | TYQ122p | 0.02 | 12315/15.5 |
| New edge | S | 2,000 | TYZ119/126 strangles | 1.22 to 1.19 | 12309.5 to 14 |
| Swiss B | B | 1,000 | TYU125c | 0.23 | ^12310 |
| Fed Funds | |||||
| 92 | Bot | 5000 | X87c | 0.25 | X9979+/80 |
| 737 | Sold | 300 | X87c | 0.25 | X9979+/80 |
| 690 | Bot | 500 | X81/87c 1x3 | 0.75 | X9979+/80 |
| 690 | Sold | 1500 | X81/87c stupid | 1.75 | X9979+/80 |
| 690 | Sold | 600 | U81Stdl | 2.75 | U9980/80+ |
| 690 | Bot | 500 | U81Stdl | 2.75 | U9980/80+ |
| 915 | Sold | 450 | U81Stdl | 2.75 | U9980/80+ |
| 714 | Bot | 1000 | Q75p | 0.25 | Q9981/81+ |
| 690 | Sold | 500 | H75Stdl | 12.5 | H9972+/73 |
| 287 | Bot | 200 | H75/81c 1x2 | 2.25 | H9972+/73 |
| 193 | Bot | 250 | Z/G 87cstupid | 0.75 | |
| 690 | Sold | 250 | Z/G 87cstupid | 0.75 | |
| 92 | Bot | 100 | Z/G81c cal | even | |
| 714 | Bot | 900 | Z81c | 1.5 | Z9979/79+ |
| 915 | Sold | 400 | G81c | 1.5 | |
| 690 | Sold | 500 | G/Z81c cal | even | |
| 690 | Sold | 1000 | X87c | 0.25 | X9979/79+ |
| 714 | Bot | 1000 | X87c | 25 | X9979/79+ |
Comments