Archive for the ‘Eurodollar Options’ Category
Massive SOFR call buying
February 18, 2026*******************–Massive buying of SOFR calls on Tuesday, primarily the 9800 strike. These are all new positions: +45k SFRU6 9800c cov 9680.5, paid 4.5. Settled 4.5 vs 9679 +125k SFRZ6 9800c cov 9696 and then 91.5, paid 7 and 7.5. Settled 7.5 vs 9692 +40k 0QM6 9750/9800cs 4.0, settled 3.75 vs 9697 +50k 0QU6 […]
Treasuries once again act as safe harbor
February 17, 2026*******************–Treasury futures are currently at two month highs as stocks can’t seem to hold a bid. TYH6 is 113-11+, with 10y yield 4.027. FVH6 is 109-255 with 5y yield 3.581, There are three lows in 5y around 3.56… Sept 8, 3.562, Oct 16, 3.548 and Nov 25, 3.564. A breakdown through 3.55 should […]
Lower yields with or without the Fed
February 16, 2026*******************President’s Day Holiday. Banks and treasury market are closed. –Slightly soft CPI (+0.2 m/m, +2.4 y/y) capped a week of falling yields. On the week 10s sank 15.8 bps to 4.058% and 30s fell 15.1 to 4.702%. 10y yield dropped 4.4 Friday. The ten-year inflation breakeven has ranged between 224 and 238 since […]
New lows in yields coming?
February 15, 2026 – Weekly Comment**************************************** Two-yr yield has been between 3.43 and 3.63 since October. On Friday it ended at 3.41, a clear breakout to a new low. The 5y had lows of 3.56 in Sept, 3.55 in October and 3.56 in November. 5y yield popped to a high of 3.86 in Jan, but […]
Dispersion
February 13, 2026******************* –Rate futures surged, led by longer maturities, as Existing Home Sales came in at just 3.91m vs 4.15m expected, and the tech (& bitcoin) sell off resumed. SPX -1.6% on the day, Nasdaq -2.0%. The 2y yield fell 4.6 bps to 3.464%, but tens fell 6.8 bps to 4.102% and thirties fell […]
Rate cut odds fizzle after jobs report
February 12, 2026******************* –There are a couple of articles this morning analyzing tomorrow’s CPI release. As if it matters. –After being led to believe payrolls would be weak, actual data showed NFP rose at a solid 130k, nearly double the expected number, with the unemployment rate falling to 4.3%. Annual benchmark revision showed a loss […]
Payrolls guided lower
February 11, 2026******************* –Yields sank to recent lows Tuesday, in front of today’s delayed Payroll report. Soft data reports yesterday, with Retail Sales 0 vs 0.4 expected, and ECI +0.7 vs 0.8 expected. Peter Navarro warned of lower employment data on the heels of Hassett’s alert the day before. The company line is that job […]
Downplaying payrolls
February 10, 2026*******************–Light volume Monday. Yields eased 1 to 2 bps, with tens -1 at 4.196%. Early bid attributed to Hassett: “I think that you should expect slightly smaller job numbers that are consistent with high GDP growth right now,” Hassett said Monday on CNBC. “One shouldn’t panic if you see a sequence of numbers […]
brief notes
February 9, 2026****************** –Takaichi win in Japan sends stocks there to record. $/yen slightly weaker at 156.63. –Little change (once again) in US rate futures Friday. 2y up 1.2 bps to 3.493%. 10y nearly unch’d at 4.206%. 3, 10 and 30 year auctions this week, with the 10yr on Wednesday following NFP and annual benchmark […]
Have you ever seen the rain
February 8, 2026 – Weekly Comment*************************************** Someone told me long ago, There’s a calm before the storm.–CCR, John Fogarty On a societal level, it’s storming. In interest rate markets, it’s relatively calm. On the week, SOFR contracts from Dec’26 (peak contract, at 9686.5) to Dec’28 ended +4. The next four countracts were +4.5. SFRZ6 is […]
