Archive for the ‘Eurodollar Options’ Category
What now?
June 13, 2025***************–Israel attack on Iran’s nuclear facilities last night is the dominant factor. In my opinion, secondary effects and responses are likely to drain confidence from consumers. U of Michigan Sentiment comes out today (already old data at this point) and is expected 53.6 from last at 52.2, which was already near historic lows. […]
Run for cover
June 12,, 2025***************–Early in session…post-CPI but pre-10y auction, over 13k TYZ5 108p sold 52 to 51 cov 110-16+ with 28 delta. (Settled 50 vs 110-20). Coming into the day there was only about 7k open across all TYZ puts. 2.5 points otm put is ~ 35 bps…so strike is right around the year’s high set […]
CPI and 10y auction
June 11, 2025*************** –Relatively quiet session, marked by flatter curve. Two year rose 1 bp to 4.008 as the three-yr auction was slightly soft. Ten-yr was down 0.8 to 4.472 in front of today’s auciton and CPI. 30y auction is tomorrow, with 30y yield 4.938, down 1.5. –CPI today expected +0.2 with Core +0.3. Risk […]
Notes. Gold/Silver
June 10, 2025***************–Yields down a bit on Monday, with 10s -2.8 bps to 4.48%. SFRZ6 is the peak SOFR contract, and it was also the strongest performer yesterday, +6 bps to 9662.5. –3y auction today. NFIB Small Business Optimism as well, expected 96. CPI is Wednesday, expected 0.2 with Core 0.3 m/m, 2.5 and 2.9 […]
CPI Wednesday. Eases to be pushed further back?
June 9, 2025************* –Higher than expected NFP (+139k) sent yields soaring, with reds leading on SOFR strip, down 15 on the day. Peak SFRZ6 contract is now (Fri) at a price of 9656.5, down from a high print on Thursday of 9683.5, just over a quarter percent from Thusday’s high to Friday’s low. 9640-9650 should […]
Breaking Points
June 8, 2025 – Weekly Comment*********************************** Below is a chart of the copper/gold ratio compared to the 10y treasury yield. I had first heard it mentioned by Jeffrey Gundlach of DoubleLine. From 2019 (DoubleLine website) Broadly speaking, the ratio of copper to gold can serve as an indicator of the market’s appetite for risk assets […]
Data spasms – NFP today
June 6, 2025*************–In my highschool biology class, we did that little experiment with a dissected frog leg, using a couple of wires off a C battery, touching the ends to the leg and getting a twitch. It’s ALIVE! That’s how the market is trading: a news flash comes out saying the Trump and Xi spoke […]
Sluggish data
June 5, 2025************* Alex Manzara Thu 6/5/2025 5:19 AM –Fives, tens and bonds fell nearly 10 bps yesterday, to 3.93%, 4.363 and 4.886. The Fed Effective rate of 4.33% has been a magnet for the 10y yield, and once again the two are nearly equal. SOFR contracts up 8 to 9.5 from SFRH6 to SFRH9. […]
Hedge against a Fed shift to HIKE?
June 4, 2025*************–Yields up slightly in the front end as JOLTS higher than expected at 7391k. Contributing to a risk-off environment, the asset cap on Wells Fargo was removed, allowing that bank to grow again (regulatory relief across the economy). Also ZH notes that yesterday’s treasury buyback at $10 billion was the largest on record, […]
Cover your ass
June 3, 2025*************–June SOFR options expire a week from Friday. SFRM5 has traded 9571 to 9567 since middle of May, settling Monday at 9568.75. Yesterday, otm calls were bought: 20k M5 9600c for 0.5, 30k 9631.25c for 0.25 and 35k 9662.5c for 0.25. Also a buyer of 30k SFRN5 9675c for 1.25 (SFRU5 settled 9590.5. […]
