Archive for the ‘Eurodollar Options’ Category
BOJ surprise
December 20, 2022 –Yesterday I linked a story from Reuters that reported BOJ might change its ultra loose policy in April with a new BOJ Governor. Today the BOJ surprised markets by expanding the band (cap) on JGBs from 25 to 50 bps, but also vowed to buy more bonds. Ten yr JGB had been […]
Repo Man
December 19, 2022 –Both Daly and Mester made hawkish comments about the Fed’s resolve to beat inflation, yet front SOFR contracts closed higher on the day, with H3 +5 at 9519.5, M3 +8 at 9520.5, U3 +8.5 at 9540.5, and Z3 +6.5 at 9575.0. The Fed’s just released dot plot suggests a FF target over […]
Fading the Fed’s Fantasy Forecasts
December 18, 2022 – Weekly Comment History tells us that sharp reversals in confidence happen abruptly, most often with little advance notice. These reversals can be self-reinforcing processes that can compress sizable adjustments into a very short time period. Panic market reactions are characterized by dramatic shifts in behavior to minimize short-term losses. Claims on […]
OpEx might lead to exaggerated moves
December 16, 2022 –Large equity option expiry today, along with December midcurves in rates. Data yesterday was generally weak, with Retail Sales -0.6%, Philly Fed Business Outlook -13.8 vs -10 expected. Today’s news includes S&P Composite PMI, expected 46.9 from 46.4 last, the year’s low has been 44.6. –Vol crushed again in rates with TYG3 […]
The Fed is buying it, just after the fact
December 15, 2022 –Finally a headline on BBG that captures price action: ‘Powell sees rates higher for longer, but the market doesn’t buy it’. I didn’t see the entire press conference, but my takeaways are: The Fed is currently not restrictive enough. No rate cuts until the Fed is confident that inflation is moving down […]
FOMC Day
December 14, 2022 –CPI lower than expected, up just 0.1 month/month with yoy 7.1% vs 7.3 expected and Core 6.0 vs 6.1 expected. A Timiraos (WSJ) bullet point followed: “THE FED IS ON TRACK TO RAISE INTEREST RATES BY 50 BASIS POINTS TOMORROW, BUT LOWER INFLATION COULD COMPLICATE THE 5% TARGET – WSJ” Bloomberg this […]
CPI today as NY Fed cites lowered expectations
December 13, 2022 –Yields rose Monday in front of today’s CPI report, the curve was flatter with the 2y yield +7.3 bps to 4.401% and tens up 5 bps to 3.615. On the ED & SOFR curves, reds (2nd year forward) led the way lower, -7.375 while greens (3rd year) were -6.875 and blues -4.25. The ten year […]
EDZ2 going out with a bang?
December 12, 2022 –Stocks and bonds both closed Friday on a weak note. Ten year yield up 7.2 bps to 3.565% with three- and ten-year auctions today. Yellen says inflation is coming down, noting shipping cost declines, delivery times are improving and gas prices are lower. CPI released tomorrow. –EDZ2 expires one week from today, and […]
Another Pezzonovante
December 11, 2022 – Weekly Comment “Now listen. Whoever comes to you with this Barzini meeting, he’s the traitor. Don’t forget that.” -Don Corleone to his son Michael I was looking over old Godfather clips this weekend, for personal reasons that are probably clear to the euro$ pit community. Vito Corleone knew the signals before […]
Taking hardship distributions is NOT a sign of excess savings
December 9, 2022 –Yields regained much of Wednesday’s decline, with tens up 9 bps to 3.493%. Curve edged slightly steeper; on the ED curve reds -9.0, greens -10.625, blues -12.625. 2/10 spread +2.7 to -81.7. –In front of today’s PPI data, crude oil (CLF3) broke to a new low for the year. In January, CLF3 […]
