Archive for the ‘Eurodollar Options’ Category
Post FOMC notes as Q2 GDP spells recession
July 29, 2022 –Post-FOMC notes as Advance Q2 GDP printed -0.9%. FFQ2 settled exactly 75 above the previous Fed Effective (EFFR) of 158 at 233 bps or a price of 9767.0. The October contract captures the next FOMC on Sept 21; FFV2 settled 9710.5 or 289.5. If the Fed goes 50 at that meeting Oct […]
Fed hikes 75 but Powell scales back hawkishness
July 28, 2022 –Fed hiked 75 as expected. Powell mentioned growth risks a couple of times and said FF are now around neutral. He also said that at some point it will be appropriate to slow the pace of rate hikes. –Aug FF settled 9766.5, just 0.5 away from the new EFFR 233 bps. Oct […]
FOMC day
July 27, 2022 –Attached is a chart of SFRZ2/SFRZ3 one-year calendar. At 9:45 EST there was a 67k block buy at -63.0 (when the spread was offered at -65.5). By the end of the day the spread was trading -54, for a gain of ~$15m ($1.675m DV01). At the 3:00pm EST futures settle, the SOFR […]
Consumer Stress
July 26, 2022 –Nat Gas is currently 8.75, having set a low in the beginning of the month at 5.32 (NGU2). It’s nearing the high of 9.60 set in June as Russia’s supplies to Europe appear increasingly questionable. Late yesterday Walmart cut forward profit guidance and the stock sank after hours on the news. From […]
Employment numbers will be important again
July 25, 2022 –Yellen had a pretty good run as Fed Chair from 2014 to 2018. However, the entire administration is being tested and Yellen’s interview with Chuck Todd on Meet the Press isn’t likely to age well. She maintains that the economy is not in recession because today’s slowdown is not a broad-based contraction; […]
Spreads indicate a tightening vise
July 24, 2022 On July 21, Scott Minerd of Guggenheim tweeted this: After four consecutive monthly declines, the leading economic indicators signal that recession is on the way. You’ve been warned. Of course, the Eurodollar curve inversion has warned for many months that recession is on the way. On March 3, I mentioned it in […]
Transmission Protection
July 22, 2022 –Blistering rally in fixed income even as the ECB hiked 50 to end the negative rate regime. At futures close tens were down 12.4 bps to 2.91%, and in another hour and a half at 3:30 CST TYU had rallied from 118-29 at the 2:00pm settle to 119-05 and the cash yield […]
ECB day
July 21, 2022 –Relatively low volume on Wednesday, but after a strong open there was selling pressure in rate futures throughout the day. For example, TYU opened the US session just above 118-16 and settled 117-25, despite a well rec’d 20 year auction (3.42% vs 3.445 just prior to auction). The 30 year future settled […]
Steer clear of the magnetar lighthouse
July 20, 2022 -In the US red eurodollars were the weakest part of the curve, closing -10. On the treasury curve it was the 5-yr, ending up 7.5 bps to 3.148%. Tens rose 5.2 to 3.015% as stocks rallied on news that Nordstream would come back on line as scheduled. ERU2 (front Sept euribor) made […]
Deterioration
July 19, 2022 –Quiet session in rates Monday. Tens rose about 3 bps to 2.963%. Today’s news includes Housing Starts; yesterday’s Nat’l Association of Home Builders index plunged to 55 from an expected 65, the lowest since 2015. The NY Fed’s Business Leaders Survey shows conditions deteriorating, with expectations rapidly declining. AAPL said it would […]
