Archive for the ‘Eurodollar Options’ Category
Message shift from immediacy to duration
September 8, 2022 –WSJ article by Timiraos suggesting Fed will hike 75 in two weeks had the effect of flattening the curve. FFV2 settled 9697.5 (-1), nearing the 9692 price which would occur on 75 bp move. Greens and blues rallied over 10 bps. The ten year note yield fell 6.7 to 3.263. In an […]
Bailouts for everyone. We’ll just BORROW it
Sept 7, 2022 –Large jump in yields. US tens surge 14 bps to 3.33 while bonds closed at the highest yield level since 2014 at 3.475, up 13.4. Twos gained 9.2 to 3.49%. Tens still haven’t taken out the high from mid-June this year, which was 3.476. After that, it’s back to the 2011 high […]
Flows
September 5, 2022 – Weekly comment When I was on the CME trading floor, I recall a particularly busy day. The details are a bit fuzzy, but something like the first two greens in euro$ futures were getting pounded relative to other contracts. What I remember clearly was that I had done some sort of […]
Let’s tweak NFP for Labor Day
September 2, 2022 –30y yield ended 3.371, just 5.6 bps away from the year’s high at 3.427. On a continuous US1 futures chart, the low for US on June 14 was 132-09. USZ2 settled yesterday at 133-18. Near ED calendars made new highs, but the lowest one-year spreads remain deeply inverted, EDM3/M4 is -68 and […]
Bear Steepener?
September 1, 2022 –Whether related to end of month adjustments or belated realization that increased QT might remove the marginal bid for treasuries, there was a late drop (post-settlement) in long treasuries and stocks. For example, WNZ2 settled 149-16 and was a point lower an hour and a half later at 148-13, and last print […]
Cracks worsening
August 31, 2022 –New low 5/30 treasury spread -5.5. Fives were +1.2 to 3.275 while thirties were down 2.6 bps to 3.22. Low so far this year -17 and low in 2006 was -8.3. Late price in CLV2 was 91.72, down 4.47 as the demand destruction campaign spills into energy markets. This morning CLV2 is […]
A lot can change in a couple of years
August 30, 2022 –August 27, 2020…two years ago. The Fed released its new statement on Longer Run Goals: On price stability, the FOMC adjusted its strategy for achieving its longer-run inflation goal of 2 percent by noting that it “seeks to achieve inflation that averages 2 percent over time.” To this end, the revised statement […]
New high 2y yield 3.46. Bonds also breaking
August 29, 2022 –Bonds breaking even as stocks continue to decline. Powell disabused the market of thoughts that eases will shortly follow front-loaded tightening. As of this writing on Monday morning the red SOFR pack (SFRU3, Z3, H4, M4) is printing down 13.5 bps. Near one-year spreads have rallied; if the Fed isn’t going to […]
You’ve got one job
August 28, 2022 – Weekly Comment Powell’s Jackson Hole speech: No mention of “financial conditions”. No mention of the dual mandate with “maximum employment”.* Focus is on bringing down inflation. Like the Bundesbank of old. No talk of soft landings. From the speech, “While higher interest rates, slower growth, and softer labor market conditions will […]
SOFR put fly: higher for longer
August 26, 2022 –It’s all about Powell today. Yesterday, rate futures rallied as those who had needed short hedges were already done by yesterday morning, leaving little remaining upside resistance. Tens fell 8 bps to 3.024%. On the eurodollar curve longer contracts led the way: red pack +2.5, greens +4.125, blues +5.75 and golds +8. […]
