Archive for the ‘Eurodollar Options’ Category
It’s all ‘money-good’
March 21, 2023 –US is looking at ways to guarantee all depositors, which should effectively end the worst of this crisis. However it doesn’t alleviate funding problems for long-dated assets in an inverted curve (like commercial real estate). In front of tomorrow’s FOMC, April Fed Funds settled 9524.5, a price between 0 and a hike […]
In: Eurodollar Options
First day of Spring!
March 20, 2023 –UBS ‘saves’ Credit Suisse. CS bondholders bailed in. New low crude oil around $65/bbl. The good news is that the SPR can be refilled at a reasonable price. The bad news is that the architecture of western finance is being destroyed. Win some, lose some.–Ten year inflation-indexed breakeven to 10y hit new […]
In: Eurodollar Options
Biden, Buffett and Yellen walk into a bar…
March 19, 2023 -Weekly Comment ************************************** Biden, Buffett and Yellen walk into a room together… Sounds like the start of good joke, doesn’t it? But apparently that’s the triumvirate at work on solving the latest banking crisis. Elizabeth Warren wants a Congressional investigation into SVB. “We took zero % deposits and put them into 1.5% […]
In: Eurodollar Options
Faith in the system
March 17, 2023 –Bank of America, Citigroup, JPMorgan Chase and Wells Fargo each making a $5B uninsured deposit into First Republic Bank. – Goldman Sachs & Morgan Stanley are each making uninsured deposit of $2.5B and BNY-Mellon, PNC Bank, State Street, Trust and US Bank are each making an uninsured $1.1B deposit, for a total deposit from 11 banks of $30 […]
In: Eurodollar Options
What? Are you mad at money?
March 16, 2023 –Title was a Tom Dittmer classic, who ran Refco before a graceful exit and apparently didn’t like it when people did stupid things with money. –El-Erian, “What we saw in a couple of financial institutions exposed something much bigger…” –Credit Suisse thrown a $50b lifeline by SNB. Temporarily stabalizes markets. ECB today […]
In: Eurodollar Options
Beware the ides
March 15, 2023 –Front end reverting back to lower levels as deposit guarantees remove immediate domino concerns. On Monday morning SFRM3 put in a high of 9582. It settled Tuesday at 9533.5 and this morning printed 9504.0. There has been some massive buying of April expiration puts on SFRM3. For example, +60k SFRJ 9525/9487.5ps for […]
In: Eurodollar Options
Might even call it a black swan
March 14, 2023 –On March 8, the low contract on the FF curve was October 2023 at 9431.5, which you might call the peak terminal rate of 5.685%. The FFU3 contract was close at 9533.0. Yesterday, FFV3 settled 9577 or 4.23%, a rally of 145.5 bps in a few sessions! Currently the low on the […]
In: Eurodollar Options
Near SOFR contracts continue to explode higher
March 13, 2023 –SFRU3 the strongest contract as of this writing, up an even 50 bps to 9537.5 as Goldman now says Fed will not hike next week. Thursday’s low in SFRU3 was 9429.5, so up over 100 in a couple of days. April FF had traded as low as 9498 as calls for a […]
In: Eurodollar Options
Summers and El-Erian
March 12, 2023 – weekly comment Last week I wrote this (emphasis added) in my ‘Won’t Risk a Backslide’ missive: Every so often, big name pundits proclaim the Fed is losing credibility or is way ‘behind the curve’. Obviously, the Fed was late in starting this hike cycle. However, it has been an incredibly aggressive […]
In: Eurodollar Options
Jitters
March 10, 2023 –Silicon Valley Bank? Really? Well, ok. As shown, KBWB (bank etf) was down 7.6% yesterday and there’s a whiff of panic in the air. Now I suppose we see whether a Fed put still exists. –Yesterday there was a late buyer of 25k TYK3 114.5c for 17. Settled 17 ref 111-155, expires […]
In: Eurodollar Options
