Archive for the ‘Eurodollar Options’ Category
Getting close to a treasury market put?
March 6, 2026***************** –Both CLK6 and Brent (COK6) are at new highs, 81.35, +2.71 and 87.21, +1.80, but the spread has come down significantly from Wednesday’s high of 7.94. Hormuz closure causing intensifying pains. (as of early morning writing). Oil is still the lifeblood of the global economy. –US treasuries continue to slide this morning […]
Rate futures pare early losses
March 4, 2026*************** –On the day rate futures showed little net change. Weakness at front end with SFRZ6 -4.0 (9677.5), but every contract from SFRZ7 out to the next three years was unch’d to +1. 2y yield rose nearly 1 bp to 3.492, 10s and 30s nearly unch’d at 4.05% and 4.698. However, intraday action […]
Hormuz blocked
March 3, 2026*************** –Sunday night all interest rate futures posted new highs, but faded from there, with huge outside day ranges and settles near the lows. Typically this type of formation signals a reversal as buying pressure has been shut down. Late yesterday Iran said it was shutting down the Straits of Hormuz; oil is […]
Iran attack fallout contained
March 2, 2026****************US/Israel attacks on Iran this weekend. –On Sunday morning I had thought that red SOFR contracts might test old highs around 9725 on the Sunday pm opening. That was wrong, as SFRH7 and SFRM7 only made a high of 9711.5. As of this writing red SOFR contracts are marginally lower than Friday’s settles […]
Any bears in here?
March 1, 2026 – Weekly comment************************************ Short note today as the weekend’s US/Israel attack on Iran dominates news and markets. First, it’s clear that treasuries have regained safe haven status, with yields ending the week at recent lows. A bear market in equities may or may not be the outcome, but it’s prudent to exercise […]
Yields breaking important support
February 27, 2026******************** –Yields continue to press lower, due in part to scant signs of progress in Iran negotiations. (CLJ6 is 66.40 this morning, +1.20). Ten year ended (at futures settle) at 4,016, down 3.2 bps. This morning it is sub-4% (3.992). The attached chart shows the five-year yield, with support represented by the triple […]
Market continues to peg terminal at 3.0-3.25%
February 26, 2026 ********************–Yields edged a bit higher yesterday with red, green, blue and gold SOFR contracts -3 to -4.5. Red to green SOFR pack spread settled at just 10.25 a new low (reds are 2027 contracts, price 9691.375, and greens are 2028 contracts, price 9681.125). Those two forward years are consistent with a terminal […]
Just loosen the standards
February 25, 2026******************* –Doesn’t appear to be much reaction to State of the Union speech. Stocks have edged higher and bonds lower. –Part of the bond move could be related to weakness in Japanese bonds as Takaichi nominated two new BOJ board members who are seen as dovish. Though JGB yields are well off highs […]
And I’m Never Wrong About This Stuff
February 24, 2026*******************–The main driver of markets yesterday was a report by Citrini Research, a thought experiment as if written a couple of years into the future, describing economic carnage wrought on workers by the onslaught of AI agents. It should have been clear all along that a single GPU cluster in North Dakota generating […]
Flattened
February 23, 2026*******************–Curve flattened Friday as the Supreme Court ruled that President Trump exceeded the powers to impose tariffs under the emergency provisions of IEEPA. A lower court will now decide on whether refunds will have to be made. Stocks rallied, though the idea that trade uncertainty has lifted is a stretch. Trump has now […]
