Archive for the ‘Eurodollar Options’ Category
Bananas
July 18, 2026 **************************************************************** Remember this? It was an art installation by Italian artist Maurizio Cattelan. A banana taped to a wall with duct tape. 2019. “The artwork made international headlines when a duplicate sold for a staggering $6.2 million at an auction in New York.” From Wikipedia; Maurizio Cattelan is an Italian artist known for […]
Anchovies
July 5, 2026************ NOTE TO READERS:Due to compliance issues, I will not be publishing my daily/weekly notes on this site henceforth. I may publish articles like the one below, that are more for personal entertainment. I began writing my notes as a way to organize my own thoughts. I never put my notes behind a […]
Disinflationary Bounce
June 28, 2026 – Weekly Comment**************************** The week featured lower yields in the context of a slight bounce in the curve, as inflation proxies fell. CLQ6 (WTI) settled at a new recent low 69.23, down 30% from May’s high. One-year CL calendar U6/U7 settled 2.93, from a high mark over 19.00 in May. Ten year […]
Rate futures holding a bid going into today’s July treasury opt expiry
June 26, 2026*********** –After a blazing upside move in chips following MU’s stellar earnings report, we’re seeing a bit of a pullback this morning with KOSPI down around 6%, and MU down 5% pre-open with SNDK in a similar decline. AAPL fell 6.1% yesterday wiping out about $240b in market cap as an announcement of […]
MU post-close earnings rescues stocks
June 25, 2026*********** –PCE prices today with yoy expected 4.1 from 3.8 and Core 3.4 from 3.3. Perhaps not as important given oil’s slide, with WTI now sub-70 and dollar index making new highs. 2/10 treasury spread closed at a new recent low 26.5, not seen since March 2025, indicative of what might be framed […]
Micron earnings this afternoon, on the heels of yesterday’s rout
June 24, 2026*********** –Curve steepened yesterday with a solid front-end bid as stocks slid. 2y yield down 4 bps to 4.19% (good auction yesterday) while tens fell 1.6 bps to 4.493%. SPX down 1.4% while NDX dropped 3.3%. Island (possible blow-off) tops in SNDK and MU, the latter of which reports this afternoon with EPS […]
Greenspan 2000 (but Kospi right now)
June 23, 2026************* –Near SOFR contracts made new lows for the move, with the lowest contract being SFRH7 at at price of 9581, down 4.5 on the day to a yield of 4.19. Red contracts were hit hardest, with Z7, H8 and M8 down 8.5 to prices of 9596, 9602.5 and 9606. Even though oil […]
Stress
June 22, 2026************* –I recreated a chart posted on X, attributed to Apollo. VXN/VIX *nasdaq vol/spx vol. I added notation for previous high in June 2017 (tech flash-crash). I had seen demand for tech name CDS as banks protect themselves from lending to AI names, but this is a more elegant way to track […]
Popping Balloons
June 20, 2026 – Weekly comment*************************** This is Larry’s Lawn Chair. Decidedly pre-AI. Larry, an aviation buff, decided to scratch his itch to fly by buying 42 weather balloons, attaching them to this sturdy chair, which he bought on sale from Sears, and taking off on July 2, 1982. [links to Larry at bottom. If […]
Curve Implosion
June 19, 2026*********** –Thursday featured continued curve flattening as the attached image shows. Since the beginning of Feb, red/gold SOFR pack spread has gone from 72 bps to zero. It settled +1.625 bps with the red pack 9606.5 and gold pack 9604.875. 2/10 is now 27.4, down 1.5 on the day; high in Feb was […]
