Archive for the ‘Eurodollar Options’ Category
No Ceiling, just open sky
May 30, 2023 –After closing lower in 11 of the last 12 sessions, SFRZ3 is getting a small bounce. Settled 9501.5 on Friday, now 9507.5. On March 8 the settle was 9446.5, the high settle a week later, following SVB was 9616.5. This latest sell-off started with a high close of 9579.5 on May 10, […]
In: Eurodollar Options
Feeling the blues
May 28, 2023 -Weekly Comment ***************** As far as I know, David Zervos, Chief Market Strategist for Jeffries, coined the memorable catchphrase “SPOOs and Blues” a short time after the financial crisis. It’s not always the case, but since the Fed began hiking rates, the two have pretty much traded in tandem, with moves in […]
In: Eurodollar Options
Washout
May 26, 2023 –Washout in rates continues. SFRZ3 settled -15 at 9508. Range on the month in that contract has been 108.5 bps and high settle to yesterday’s low settle is 89.5 bps. New highs in near SOFR calendars as another near-term hike is priced: FFQ3 settled 9467 or 5.33%, exactly 25 bps above the […]
In: Eurodollar Options
A soft, easy hike
May 25, 2023 I left a good job in the cityWorking for the man every night and day -Tina Turner Proud Mary –Jobless Claims today expected 245k. 7yr auction. As Waller said yesterday, the labor market remains tight and inflation is stubbornly high, but credit conditions are a wild card which could lead to a […]
In: Eurodollar Options
Front contracts weak
May 24, 2023 –Short end rates continue to press higher; weakest SOFR contract was SFRZ3 at 9531.5 (-3.0) but Z4 closed UP 2 at 9677 and Z5 UP 2 at 9691.5. So, the curve flattened with 2/10 at a new recent low of -63.5. Regarding SFRZ3, on May 10 the settle was 9579.5, and since […]
In: Eurodollar Options
A quiet economic warning from copper
May 23, 2023 –ZH quotes Zoltan Poszar about banking issues: “It’s basically lessons in not being able to run interest rate risk, not knowing how to make a loan that will be weathering a rising interest rate storm.” Of course, deposit flight due to “bail-in” fears is a big part of the problem. Jamie Dimon […]
In: Eurodollar Options
Pause
May 22, 2023 –Debt ceiling talks continue. –Powell on Friday: FED WAS EXPECTING FURTHER TIGHTENING UNTIL RECENTLY @NickTimiraos Powell: “The risks of doing too much versus doing too little are becoming more balanced.” –From MarketWatch“Fed’s Kashkari says he’s open to a pause in rate hikes in June”. The tide appears to favor a pause at this […]
In: Eurodollar Options
Rumbling beneath the surface
May 21, 2023 – Weekly comment ******************************* In the past week, yields rose aggressively. The five-year ended at 3.74%, up about 30 bps on the week. The thirty-year bond added 17 bps, to 3.944%. On the SOFR curve, June’24 (SFRM4) was the weakest, down 39 bps in price to 9625.5 or 3.735%. The treasury curve […]
In: Eurodollar Options
Brainiacs
May 19, 2023 –Lorie Logan yesterday (Dallas Fed President and former head of the NY Markets desk). “The data in coming weeks could yet show that it is appropriate to skip a meeting. As of today, though, we aren’t there yet.” –August Fed Funds (FFQ3) closed down 6.5 at 9485.5 or 5.145% vs current EFFR […]
In: Eurodollar Options
Feel-good
May 18, 2023 –June’23 SOFR options expire 16 June, four weeks from tomorrow. SFRM3 settled 9486.5, or 5.135% with EFFR pegged at 5.08% (9492.0). The contract has 1.296 million open. What is pretty amazing is the amount of put open interest on SFRM3, a total of 5.146 million. Over 900k puts traded yesterday. For example, […]
In: Eurodollar Options
