Archive for the ‘Eurodollar Options’ Category

Preparation is key

February 6, 2023 –Huge NFP of 517k saw rate futures fall like an anvil.  Red pack in SOFR (H4, M4, U4, Z4) down 24.75, but the average price is still above 9651, or just 3.49% when the Fed just hiked to 4.50-4.75.  FFG4 settled -25.5 at 9559.0 or 4.41%.  This contract captures the next eight […]

Posted on February 6, 2023 at 5:15 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Jay’s World

February 5, 2023 – Weekly Comment Let me bring you up to speed. My name is Wayne Campbell. I live in Aurora, Illinois, which is a suburb of Chicago – excellent. I’ve had plenty of jo-jobs; nothing I’d call a career. Let me put it this way: I have an extensive collection of name tags […]

Posted on February 5, 2023 at 11:31 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Transitioning

February 3, 2023 –Employment data today with NFP expected 190k and Avg Earnings yoy at 4.4% (from 4.6 last).   Jobless Claims were again low yesterday at 183k, but Challenger layoffs jumped.  I’ve attached a chart and link from Chris Long, “Excluding 2020, we haven’t seen anything like this since Nov 2008 and January 2001.”  At […]

Posted on February 3, 2023 at 5:19 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Powell greenlights risk

February 2, 2023 –A friend deemed yesterday as a “tactical error” by Powell, which would create a rally in risk and housing, thereby encouraging the same conditions that helped spark inflationary impulses in the first place.  The gold market likes it, with GCJ at new recent highs of 1971, up $28/oz.  Powell sees disinflation in […]

Posted on February 2, 2023 at 5:45 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

FOMC day

Feb 1, 2023 –What happened Tuesday?  Monday was reversed, that’s all.  FVH3 settle Friday 109-10, yesterday 109-0775.  TYH3 Friday 114-195, yesterday 114-165, USH 130-05, yest 129-28.  SFRM4 9652.5 to 50.5.  ESH3 4084.25 to 4090.0  CLH3 79.68 to 78.87.  FOMC today.  Powell pushback against pivot.  June’23/Dec’23 SOFR calendar settled -48 (9510.5/9558.5).  If Powell is successful, then this […]

Posted on February 1, 2023 at 5:13 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Fed staff supports Powell

January 31, 2023 –A tweet from WSJ’s Timiraos yesterday: “Last month, the Fed’s staff revised its economic outlook in ways that imply inflation will be more persistent. ‘It was a significant move,’ said Riccardo Trezzi, a former Fed economist. ‘The staff is telling the committee, You cannot give up now.’” –In a way, that clip […]

Posted on January 31, 2023 at 4:57 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Funding

January 29, 2023 – Weekly Comment The above is a chart of various rates.  White is Fed Funds midpoint, blue is the 2y treasury, purple the 10y, green the bankrate avg 30y mortgage, and red is yoy CPI.  Next week the Fed is going to raise the FF range to 4.5-4.75% with a midpoint of […]

Posted on January 29, 2023 at 8:45 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

PCE prices today to set tone for FOMC next week

January 27, 2023 –Today’s news includes the Fed’s preferred measure of inflation, PCE prices.  M/M expected 0.0 with Core +0.3%.  YOY expected 5.0% from 5.5% with Core 4.4% from 4.7%.  FOMC is Wednesday. –Yesterday’s economic data generally good, with Jobless Claims surprisingly low at 186k.  Advance Q4 GDP 2.9%.  The last Atlanta Fed Q4 GDP […]

Posted on January 27, 2023 at 5:04 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

The Vengeance

January 26, 2023 –Large trade yesterday was a block of 49k buys SFRZ3/Z4 for -146.  Said to be an exit; open interest rose 880 in Z3 and fell 44294 in Z3.  The most inverted one-yr calendar remains SFRU3/U4 at -162.5 (9531.5/9694.0) up 5.5 on the day, having posted an all-time low of -177 last week. […]

Posted on January 26, 2023 at 5:07 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

The world goes on

January 25, 2023 –Yields fell yesterday with tens down 5.5 to 3.466%.  Five yr auction today, with wi 3.565%. –“Glitch” on NYSE caused havoc at open, with some trades canceled.  This follows the “glitch” related to air traffic control a couple of weeks ago that grounded all flights. –Vol easing with VIX at 20, but […]

Posted on January 25, 2023 at 5:06 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options