Archive for the ‘Eurodollar Options’ Category
If we weren’t in recession before, we are now
Sept 22, 2022 –As expected the Fed hiked 75 to 3.0-3.25%. New EFFR should be 308. FFV2 settled +4 at 9691.5. Projections were much different from my estimates. FF end of 2022 estimated at 4.4% which indicates another 125 bps in the next two meetings. FFF3 at 9575 is 4.25%, a spread of 116.5 to […]
In: Eurodollar Options
Fed day
September 21, 2022 –Yields pressed higher in front of today’s FOMC decision. Tens up 8.1 bps to 3.57%. Twos are nearing 4% ending at 3.96. –The Riksbank surprised with a hike of 100 bps yesterday, but the Fed is nearly a lock for 75. However, FFV2 still settled 9687.5, which is 4.5 under the new EFFR […]
In: Eurodollar Options
Keep at it? Or pivot due to crumbling economy?
September 20, 2022 –Yields continue to press higher with the 2yr leading the way +9.2 bps to 3.946%. Tens rose 4.2 in yield to 3.489%. –WSJ article by Nick Timiraos leaked the Fed’s displeasure over rising asset prices following last meeting. Inflation is still job number 1. The last dot plot was in June (which […]
In: Eurodollar Options
Signs the Fed’s strategy is ‘working’
September 19, 2022 –With December now the front contract in ED and SOFR, there is not a single positive one-year euro$ or sofr calendar spread until Sept’25/Sept’26, both settling +2. EDZ2/EDZ2 on Friday settled -37 (9547/9584) and SFRZ2/SFRZ3 at -31.5 (9578.5/9610). The most negative ED calendar is EDM3/EDM4 at -76.5 (9548.5/9625). –I read a clip […]
In: Eurodollar Options
FF > CPI by Q2?
September 18, 2022 – Weekly Comment The event of the week is, of course, the FOMC result and press conference on Wednesday. Though there are a few outliers looking for a rate increase of 100 bps, FFV2 ended the week at 9688 or 312 bps, close to what will be the new EFFR of 308 […]
In: Eurodollar Options
Curves wailing
September 16, 2022 –Reds were crushed yesterday with EDU’23 thru M’24 down 12.875. Curve flattened to new recent lows. Two-year up 8.5 bps to 3.867, highest since 2007. 5’s up 7.5 to 3.671, highest since 2008. Bond yield barely changed, lashed to the mast of 3.5%, sailing past Scylla with sirens wailing all around. Oct […]
In: Eurodollar Options
Runaway train
September 15, 2022 –In my opinion, a rail strike would be bad. In previous years, I had the sense that major issues would be solved, usually at the last minute, but that worst case scenarios would be gingerly side-stepped. I now have no confidence in that viewpoint. It’s all like watching, well, a slow-motion train […]
In: Eurodollar Options
Staircase up (trap door) elevator down
September 14, 2022 –CPI yoy expected 8.1% actual was 8.3%, Core was 6.3 vs 6.1 expected. Front end was annihilated. EDH3 down 29 bps. SFRH2 down 29.5…biggest move and the lowest contract on the strip at 9573.5 (prints even lower at 9569.5 this morning). On the FF strip the largest net change was FFJ3 -31 […]
In: Eurodollar Options
Decelerating inflation supports bonds, but someone still has to BUY them
September 19, 2022 –CPI today expected 8.0 yoy vs 8.5 last, with Core 6.1 vs 5.9. USD continues its retreat this morning, with some looking for a 7 handle on the headline number. –Yesterday the NY Fed released Consumer expectations:“Median one- and three-year-ahead inflation expectations continued their steep declines in August: the one-year measure fell […]
In: Eurodollar Options
Near term policy path more certain
September 9, 2022 –USD weakening this morning, giving a boost to commodities, precious metals. ECB hiked 75 yesterday and Lagarde said there’s more to come, though 75 bp moves are “not the norm.” Powell repeated his pledge for price stability. US markets have solidified expectations for 75bps on Sept 21. Oct Fed Funds settled 9695.0, […]
