Archive for the ‘Eurodollar Options’ Category
It’s a league game Smokey
October 3, 2024*****************–Given all the other things going on in the world, I hadn’t thought much weight would be placed on tomorrow’s payroll data. The Boeing strike and longshoreman strike and effects of Helene will probably make this data volatile over the next few months. However, they were happy to use stronger than expected ADP […]
In: Eurodollar Options
Strikes and strikes
October 2, 2024******************–Background: Israel weathers strikes by Iran. Massive damage from Helene. Longshoremen strike; they’re against automation. Right. Let’s bring back all futures pits…my trading jacket is still hanging in the closet, ready for action. –At one point ESZ4 was down 80 before coming back to settle -54.5 at 5759.75, down around 1%. In some […]
In: Eurodollar Options
Recalibration
October 1, 2024*****************–Powell’s speech was succinct. Here’s all you need:That decision [50 bps] reflects our growing confidence that, with an appropriate recalibration of our policy stance, strength in the labor market can be maintained in an environment of moderate economic growth and inflation moving sustainably down to our objective. Looking forward, if the economy evolves […]
In: Eurodollar Options
Bowman and Powell today
September 30, 2024**********************–Bowman, the lone dissenter at the FOMC, who preferred a cut of only 25, speaks this morning at 8:50 EST. Powell later this afternoon at 1;55, both speaking on economic conditions. This morning also features Chicago PMI, expected 46.0 vs 46.1 last, and Dallas Fed Mfg expected -10.3 from -9.7. Quarterly Grain report […]
In: Eurodollar Options
Risks from many directions
September 29, 2024 -weekly comment********************** Little net change in US markets last week, even as huge events shook various parts of the globe. The US 10y yield rose just 3 bps to 3.751%. The 30y was up 3.2 to 4.099%. SPX +0.6% to 5738.17. On the financial scoreboard, China’s stimulus package sparked a big rally […]
In: Eurodollar Options
Selling pressure on front end
September 27, 2024*********************–Main feature yesterday was weakness in front end. Almost like a delayed reaction to Wednesday’s large block sale of 118k SFRZ4 at 9606.5; on Wed SFRZ4 settled 9606, but yesterday it dropped 5.5 to close at 9600.5. Vol was bid. Changes from Wednesday to Thursday: SFRZ4 9606.25^ 28.75 to 31.25. SFRZ4 9600^ 28.5 […]
In: Eurodollar Options
Full Steam Ahead
September 26, 2024*********************–There was a BLOCK seller of 118k SFRZ4 at 9606.5 yesterday, but the contract held (had been trading slightly higher at time of block post) and settled 9606. On huge volume of 650k in Z4, open interest was up 15.6k. Perhaps the guy was long 60k and doubled up to now get short. […]
In: Eurodollar Options
Curve steepening, but it’s already been a big run
September 25, 2024*********************–New high settle 9607.5 in SFRZ4. Curve trades made new highs, 2/10 up to 19 (3.546, -2.6 bps and 3.736, -0.2 bp). 5/30 up to 61, also a new high. Slight new high in 10y breakeven at 218 bps. On the SOFR strip, Z4 +3.0 at 9607.5, Z5 +3.5 at 9714 (peak contract), […]
In: Eurodollar Options
China Stimulus
Sept 24, 2024**************–Curve steepening as the market continues to expect front-loaded easing. Look at this for example: Oct/Feb Fed Fund spread, FFV4/G5 captures 3 FOMCs, Nov 7, Dec 18, Jan 29. It settled yesterday at -110, 9517.5 and 9627.5. Then look at FFG5 to FFG6… that one-year spread is only -91. In other words, the […]
In: Eurodollar Options
A little TOO smart
September 23, 2024*********************–Friday featured continued strength in front-end contracts with SFRZ4 at a new high settle 9603.5. (86 bps premium to the new EFFR of 4.83%) Peak contract on the SOFR curve has moved forward to SFRZ5 at 9710.5; Z4/Z5 spread settled -107. There was a late block buy of 10k SFRZ4 9600/9575p 1×2 for […]
In: Eurodollar Options
