Archive for the ‘Eurodollar Options’ Category

Non-profits saw solid demand…oh great

May 30, 2024************** –Both stocks and bonds weak.  7 year auction tailed by 1.3 bps at a yield of 4.65% but treasuries stabilized post-auction.  On the day, the ten year yield rose 8.2 bps to a new recent high of 4.622%.  Treasury rolls have been substantially completed with heavy trade yesterday.  Of course, June open […]

Posted on May 30, 2024 at 5:13 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Supply weighs on bonds

May 29, 2024************** –Yields rose yesterday as 2 and 5 year auctions underwhelmed. 5y was 4.54 pre-auction but tailed over 1 bp with a result of 4.553%.  Ten year yield up 7.4 bps to 4.54%.  New high this morning in 10y JGB yield, over 1.10%.  Contributing to weakness was buying of 26k each TYN 108.5/111.5 […]

Posted on May 29, 2024 at 5:31 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Short end yields under pressure, long end eases

May 28, 2024************** –Friday featured new recent lows in some curve measures.  For example, 2/10 hit a new low for the year of -48.5 (though low in December was -53.6).  5/30 hit a recent low of 4 bps, not quite at April’s low of 1.7.  On the SOFR strip, SFRM5/M6 posted a new low -54.5, […]

Posted on May 28, 2024 at 5:28 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Later

May 27, 2024 – Weekly note****************************** Japan 10y yield 1.00%, new high for the year.  Was 61 bps on Dec 29, 2023. Now at the highest since 2012.  The 20y yield is 1.856% also at a new high. Highest since 2011. The weakest contract on the SOFR strip was SFRM5, down 17.5 on the week […]

Posted on May 27, 2024 at 7:54 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Waller slow walking eases

May 21, 2024*************** –Quiet session Monday with slight drift towards higher yields.  Tens +1.7 bps to 4.435%.  SFRU4 featured a couple of block sales at 9487 and 9486.5, settled 9486 with open interest down 21.7k so it appears to be liquidation.  Buyer of 20k 0QH5 9475/9424ps for 4.75; settled 4.25 ref 9598.5.   –Several Fed speakers […]

Posted on May 21, 2024 at 5:00 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Jokers and Thieves

May 19, 2025 – Weekly Comment*********************************** Jokers and thievesMay 19, 2024 Alex Manzara/ Interest Rate Strategy and Execution/ amanzara@rjobrien.com______________________________________________________________________ There must be some kind a way outta hereSaid the joker to the thief –Jimi  Hendrix  All Along the Watchtower The youtube clip is a rendition of this song by Playing for Change, “…using music as […]

Posted on May 20, 2024 at 4:42 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Game over

May 17, 2024************** –Pressure continues on both the curve and vol.  New recent low in 2/10 spread at -41.4 (2y 4.789, +5.5 and 10y 4.375. +2.1).  Red/green SOFR pack spread also edged to a new low at -31.25 (reds 9585.875, -7.375 and greens 9617.125, -4.5).  With Fed officials throwing cold water on the prospects of […]

Posted on May 17, 2024 at 5:43 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Vol deflation (though not yet apparent in ice cream)

May 16, 2024************** –Implied vol was hammered as CPI eased to 3.4% yoy with Core 3.6%.  Retail Sales 0.0% on the month.  As yields plunged, calls on treasuries underperformed.  Attached chart is 1-month TY vol, about as low as it has been since the hiking cycle started.  Ten-year yield fell 9 bps to 4.354%.  TYN4 […]

Posted on May 16, 2024 at 5:17 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Squeezy

May 15, 2024*************** –Copper continues to scream higher, now over $5.  Chart at bottom, but here’s a chart of the July/Sept calendar spread. There’s plenty of nervous excitement about short squeezes in GME and AMC, but less so about a critical input to energy infrastructure which is in supply deficit (according to Druckenmiller, Gromen, etc).  […]

Posted on May 15, 2024 at 5:36 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Labor mandate

May 14, 2024************** –Looks like Roaring Kitty has gotten involved in the copper market;  HGN4 is 4.83 this morning, which is up about 25% since March.  Of course GME was up 74% yesterday alone.   –NFIB Small Business Optimism today, was in the dirt last time at 85.5, now expected 85.2.  Indeed, the job search/placement company […]

Posted on May 14, 2024 at 5:42 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options