Archive for the ‘Eurodollar Options’ Category
What’s priced
November 2, 2022 –Is the market that good on pricing? Previously, I had thought that one-year calendars on the euro$ strip were great guideposts for pricing the extent of hiking. Not this year. Early in the year, the peak one-yr spreads came nowhere close to capturing the aggressiveness of this year’s hikes. More below, but first, with […]
Mission accomplished by June
November 1, 2022 –Weakness in interest rate futures being reversed this morning. At futures settle, the ten year yield was up 7 bps at 4.08% with TYZ2 110-19. Current TYZ2 is 111-06. The Treasury’s refunding announcement was initially met with selling as 4th quarter borrowing needs rose to $550 billion, $150b higher than the initial estimate. […]
No Day
October 28, 2022 –The ten year yield fell back below 4%, easing 7.2 bps to 3.941% as anticipation of a Fed pause into next year grew. A change to the QT schedule could also occur at next week’s FOMC meeting. My bias is for a long pause rather than pivot to actual ease, but short […]
Solid demand for treasuries
October 27, 2022 –Bank of Canada hiked only 50 bps vs expected 75 to 3.75%. ECB today. Nov Fed Funds (FFX2) settled 9621.0, fully priced for a 75 bp hike by the Fed next week. –Ten year yield flirting with 4%; closed 4.013% down 9.3 bps on the day. Yesterday featured large new buying of […]
Fulcrum word
October 26, 2022 –Ten year yield fell 12.4 bps yesterday to 4.106%. Fives fell nearly 10 bps to 4.26% in front of today’s auction. Consumer Confidence was lower than expected, housing prices are easing. Open interest gives a strong clue as to the power of the FI rally: TY added 96k contracts, TU +26k, FV […]
Fed…stops short?
October 25, 2022 –Composite PMI was just 47.3 vs expected 49.2. Ten year yield +1.3 bps to 4.23%. News today includes Consumer Confidence, Richmond Fed, 2y auction. GOOGL, MSFT, Visa report today. USDCNY is 7.309 this morning, a new low for the Chinese ccy. –SFRZ2 9575/9587.5cs bought yesterday for 0.75 in size of 100k. Looks […]
Bad reaction to China
October 24, 2022 –China GDP 3.9% but CNY hits 7.26, a new low for the yuan. (Have to go back to the start of 2008 for a lower print). JPY currently 149.40; prior to Friday’s intervention, it had reached 150.29 on Thursday, and is nearly back to that level. Chinese stocks were crushed, with SHCOMP […]
Signals
October 23, 2022- Weekly comment A WSJ article by Nick Timiraos on Friday about the Fed stepping down the size of Fed rate increases symbolized a change in policy as surely as Hu Jintao being publicly shuffled out of China’s Party Congress cemented Xi’s control. Of course, hints were already in place. Powell at the […]
Bonds melting
October 21, 2022 –Yields continued to make new highs, with tens up 10 bps to 4.222% at yesterday’s future settlement, going into today’s November option expiration on treasuries. TYZ settled 109-115 and is currently 109-06 (5:50 EST) while USZ is down one full point this morning at 119-14. TYX 109p settled at 9/64 yesterday, an […]
New high yields
October 20, 2022 –Yields continue to surge. 2y +11 to 4.546%, 5y +12.7 to 4.343%, 10y +12.5 to 4.121% and 30y +10 to 4.119%. The first three are at highs since 2007, the bond since 2011. High prints in 2006 (pre-GFC): 2y 5.15, 5y 5.09, 10y 5.14, 30y 5.19…so all a bit over 5% as […]
