Archive for the ‘Eurodollar Options’ Category
Confused by price action on the first day of the year!
January 3, 2023 –A boost to the dollar, bonds, stocks, gold to start the year. ECH3 (euro) at 1.0589 is below every price from the middle of December, GCG3 >1840 is above every price since July. SOFR contracts from March’25 back are up 8.5 to 10 bps. –Fighting in Ukraine seems to be accelerating with […]
Brief note
January 1, 2023 – Weekly comment There’s a LOT of end-of-year summaries, and a lot of forward projections circulating around. It’s a bit overwhelming. Or perhaps tedious is a better word. I’m just going to keep this note brief and highlight short-end changes over the past week or two. On the week, I marked the […]
Warren Zevon sums up 2022
December 30, 2022 –Happy New Year! –Minor rebound in financial markets Thursday. 10y yield down 5 bps to 3.835%. SPX up 1.75%. 2/10 eased back down to -53 from -47.–A few of the near one-year spreads squeaked up to new highs, for example, SFRU3/U4 settled +0.5 to -125.5; it’s still the most inverted one-year calendar […]
2/10
December 29, 2022 –Weakness in both stocks and bonds yesterday with SPX -1.2%, Nasdaq Comp -1.35%, and the ten year yield up 3.6 to 3.885. with the 30yr closing in on 4% (3.974). The standout feature was curve steepening, with the 2/10 spread slightly breaking a downward sloping trendline in place since October of last […]
Longer term funding at 3.25%, tens 3.75%
December 28, 2022 –Yields jumped Tuesday with tens at 3.85%, up over 10 from Friday, and 30s nearing 4% at 3.935%. Two year auction well received with a yield of 4.373; fives auctioned this afternoon. SFRZ3 closed -10 on the day at 9551.0. That’s a rate of 4.49% with the FOMC FF projection at 5.1% […]
Possible inflection point in the US curve?
December 26. 2022 –Yields rose Friday with tens up 7 bps to 3.743%. This week brings auctions of 2s, 5s and 7s starting today (Tuesday). –Large new buyer Friday of SFRM3/U3 calendar at -19. Volume was >50k, open interest up about 11k in both contracts. SFRH3/M3 is -0.5 (9512/9512.5) so if the Fed is able […]
Stocks and Commodities
December 25, 2022 The chart below is SPX divided by the BBG Commodity Index, stocks priced in terms of commodities. The real acceleration/breakout started from around 2012. From 2012 until the beginning of 2021, yoy CPI ranged from 2.9% to 0, with the majority of data 1.2 to 2.2%. Inflation was a little bit below […]
Deep freeze in Chicagoland, but only a dusting of snow
December 23, 2022 –It’s -6 farenheit, -21 celsius. –Weakness in stocks yesterday abated slightly near the end of the session. SPX ended -1.45% and Nasdaq Comp -2.2%. Yields ended slightly higher with SFRM3 weakest on the strip at 9515.0, down 5 on the day. March’23 is the lowest contract, settling 9514.5, down 3.5. Q3 GDP […]
Getting ready for the (Chicago) deep freeze
December 22, 2022 –On Tuesday I noted that 2/10 rallied following the BOJ decision to widen the band/cap on 10y JGBs. I cited a downward sloping trendline from October 2021, that came in at -52. Yesterday 2/10 closed at -53, up another 5 on the day. Is it a change in trend? Maybe, and maybe […]
Can 2/10 get above -52?
December 21, 2022 –The days get longer from here! –Driving factor yesterday was Japan’s surprise widening of band on the 10yr JGB to 50 bps, essentially a hike. JGB went from 25 bps to 42. –Steepening result in the US with 2/10 at -58 bps, highest since mid-November with the historic low of -84.3 in […]
