Archive for the ‘Eurodollar Options’ Category
Bonds remain weak going into CPI
January 15, 2025****************** –Steeper curve yesterday with some large TY option trades going into today’s CPI data (more below). 2s fell 3.6 bps to 4.36% while 10s were down 1.4 to 4.784%. On the SOFR strip SFRZ5 was strongest +4 at 9591.5 (also peak price). Net changes tailed off from there. SFRZ6 +3 at 9580.5, […]
If neutral is lower, why are real yields going higher
January 14, 2025****************** –USH5 contract made a new low 110-25. The low for the front US contract in October 2023 was 107-04. On the cash 30y bond, the high yield in October 2023 was 5.115%. I marked 4.984% at the time of futures settlement USH5 110-27. Worth noting is that the 30y inflation indexed note […]
January Resolutions in Turmoil
January 13, 2025****************** –January 10 was Quitter’s Day. The second Friday in January is apparently when most resolutions go out the window. If the resolution was ‘support financial assets’ then indeed, it seems to have crumbled. –Yields soared on Friday’s blowout +256k payroll number. Curve flattened, giving back some of the steepening seen over the […]
Do Bond Yields Continue Higher?
January 12, 2025 – Weekly Comment***************************************I don’t believe the payroll data. However, there’s no doubt that the US economy has been resilient. In any case, the employment report (NFP 256k) bolsters the last Fed dot plot which ratcheted up inflation estimates. (PCE price estimate for 2025 in September was 2.1%, moved up to 2.5% in […]
Payroll Friday!
January 10, 2025****************** –Payrolls today expected 165k with rate of 4.2%. LA fire damage now estimated $150B and going higher. Likely inflationary at the margin. –On a half day there were some fairly large trades. In the long end, weighted to the downside. In SOFR there were some decent size call buyers.[half day due to […]
New high Gilt yields
January 9, 2025**************** –UK assets continue to deteriorate, with 10y yield at a new high 4.83% and GBP 1.2260 (from 1.3440 three months ago). Gilt yield high was 4.75% in August of 2023. –Estimate on BBG says LA fires could cause $57b in damage. –US futures close at noon today in honor of President Carter. […]
Rates higher…
January 8, 2025*****************…is it due to a whiff of inflation, or borrowing to buy Greenland? –Data stronger than expected Tuesday with ISM Services 54.1 vs expected 53.5. Prices Paid were 64.4, highest in the past two years. JOLTS continued to rebound, up to 8098k. Treasuries were inspired to make new lows (price). High 30y yield […]
Price action in rate futures remains bearish
January 7, 2025**************** –30y bond exceeded last year’s high yield, printing 4.86% yesterday. marked at 4.835% at futures close (USH5 113-04s). In tens there was an early buyer of 50k TYH5 106p for 14, adding. Settled 15 vs 108-17. Open interest now 108k. The 106 strike is approximately 5% yield. Today tens are auctioned, followed […]
Super Highways
January 5, 2025 – Weekly Comment*************************************First, a couple of Fed snippets which highlight a shift back to favoring the inflation mandate (as if the increased inflation dots in the last SEP were too subtle of a hint): From Tom Barkin’s Fed speech on Friday, Jan 3: Basically, consumer strong but pickier. Jobs balanced, not as […]
Bond supply…then payrolls
January 3, 2025****************** –Treasury auctions of 3, 10, 30y moved to Monday, Tuesday, Wednesday due to memorial day for President Carter on Thursday. Payrolls on Friday. –Yields were lower yesterday morning to start the year but ended around unch’d with tens 4.573%. SOFR contracts -1 to +1.5 out to golds (5th yr). There was fairly […]
