Archive for the ‘Eurodollar Options’ Category
Consolidation after end of week explosions
Nov 14, 2022 –New lows in near one-yr ED and SFR calendars. Lowest is now EDM3/EDM4 at -114.5. Lowest outright SOFR contracts are H3 and M3 at 9514.5 and 9517…not quite to 5%, but close. Stocks built on Thursday’s spectacular rally on Friday, but bonds have retreated slightly. Even with the collapse of FTX, SFRZ2/EDZ2 […]
It will never be exactly right
November 13, 2022 Wild week. CPI slightly lower than expected. Elections; Republicans regain the House. FTX/crypto implosion. Powerful equity rebound as yields plunged. SPX up 5.9% on the week and the ten year yield plunged over 30 bps to 3.83% by Thursday’s close. In this note I am just focusing on the front end with […]
In: Eurodollar Options
Veteran’s Day
November 11, 2022 –Yields imploded as CPI printed softer than expected 7.7 vs 7.9 expected and Core 6.3 vs 6.5. Tens were auctioned Wednesday at 4.14% and were 3.827% at futures settle, with TYZ up 2-06 at 112-165. Red euro$ pack up over 40 bps with EDM4 the star, up 42. New lows in one-year […]
Bad news trickle starting to accelerate
November 10, 2022 –Attached chart shows SFRU3/U4 which settled at a new low -88.5 yesterday (9510/9598.5). EDM3/EDM4 settled -91.0. These are new lows for the most inverted 1y calendars on the strips; the implication is a strong possibility of eases starting some time next year. In late 2007 the most inverted 1-yr calendar was the […]
Ten year auction today
November 9, 2022 –Ten year yield fell 8.6 bps in front of today’s auction and election results. In part, a bid for safety was supported by the crypto conflagration, with bitcoin below 18k, its lowest level since late 2020. “Sam Bankman-Fried’s $16 billion fortune is eviscerated” according to BBG. Negative covid news from China also […]
You can drive away in this FTT token TODAY!
November 8, 2022 –Election day and 3-yr auction. I’m leaving now to get to the voting booth (for the FIRST time today) –According to coinmarketcap.com FTX token FTT is down over 21% today. Bitcoin is down over 5%, as there appears to be a run on FTX. Binance is said to be liquidating its holdings […]
Treasury auction test this week
November 7, 2022 –On Friday 10/21, FVZ2 posted a new contract low 105-14.75. It was an outside day with a higher close. By the next Friday it had reached 107-18.25. Last Friday, FVZ2 posted another outside day with a low just above the October 21 low: Friday’s range 105-18.25/106-11.25, with a higher close 106-065. Selling […]
Too Tight?
November 6, 2022 – Weekly Comment “Interest rates are still accommodative, but we’re gradually moving to a place where they will be neutral. We may go past neutral, but we’re a long way from neutral at this point, probably.” –Jerome Powell, October 3, 2018 On Sept 26, 2018, with inflation remaining near 2%, the Fed […]
Maybe not today, but there will be a negative payroll number next year
November 4, 2022 –It might not be captured in today’s data, but there are widespread reports that a powerful engine of the US economy is about to announce massive layoffs. Yes, Twitter. –From FT today: ‘China’s central bank struggles to force tech groups to share user data with state.’ I guess that’s another example of China […]
We have some ground to cover
November 3, 2022 –Powell’s catchphrase was “we have some ground to cover”. EDH3/M3 settled at a new high of -0.5, having recently been as low as -10.5, and SFRH3/M3 at 0.0; pricing for possible easing in Q2 is getting squeezed out. On the other hand, more deferred calendars made new lows. For example, SFRM3/SFRM4 settled […]
