Archive for the ‘Eurodollar Options’ Category
I’ll just camp out in the 2 year for a while…
February 6, 2026******************–Rates cratered yesterday with the 2y down 7.5 bps to 3.481% and 10s -6.8 to 4.208%. 2/10 treasury spread squeaked out a new high for the move at 72.7. The rally was sparked by weakness in labor indicators: large jump in Challenger Job Cuts, Jobless Claims up to 231k and, perhaps the biggest […]
Curve grinds steeper, 5y swap in futures
February 5, 2026****************** –Once again, despite some wild moves in other markets, rate futures ended little changed. SOFR strip +0.5 to +2.0. Peak contract SFRZ6 +1.5 to 9679. In treasuries the bias was steeper. 2y -1.3 bps to 3.557%, 10y +0.5 bp to 4.276, and 30y +1.1 to 4.914%. TYH6 settles: Monday and Tuesday 111-190, […]
The WACO kid
February 4, 2026****************** –Interest rate futures ended exactly unchanged across the board on Tuesday. Well, not exactly, the SOFR strip was -1.0 to +1.5. TYH6 unch’d at 111-19 with 10y yield 4.271%. 30y yield unch’d at 4.903%. –Gold vaulted higher, with GCJ6 now 5084, about halfway back from last week’s high print (5627) to Monday’s […]
Not lower rates
February 3, 2026******************–Yields rose Monday led by the red SOFR pack which ended down 5 at an average price 9671.25. Peak contract still SFRZ6 at 9678 or 3.22%, which is only 42 bps under the current Fed Effective rate of 3.64. For all the talk about Warsh being able to lower rates in the context […]
notes
February 2, 2025****************** –WSJ warns markets are ‘choppy’. Overnight ranges ES 100 points, Gold $456, Silver $11. I believe CME has announced that silver margins will increase again post today’s close. Bitcoin is around 77.7k this morning, from 82.8k Friday. –Small rally in rate futures. Market action being attributed to Warsh, but if stocks really […]
Warsh-out
February 1, 2026 – Weekly comment*************************************** In the midwest (Wisconsin), some people say “warsh” instead of “wash”, Well Friday was a wash-out in precious metals, but in honor of Eau Claire, WI and my sister-in-law Darla, we’ll call it a Warsh-out. Precious metals were trounced. SIH6 down 35% from Thursday’s high print to Friday settle, […]
Insiders
January 30, 2026******************–Largest trade of the day Thursday was +50k USK 128/131cs for 2. Settled 3 vs 114-24 in USM. Disaster insurance; neither strike had open interest coming in. This morning however, it appears that insurance premium would have been better spent on the downside, as USH6 currently prints 114-23, down half a point from […]
I will not be ignored, Jay
January 29. 2026******************–Title is from the movie Fatal Attraction (Michael Douglas, Glenn Close, Anne Archer) –Yesterday, Powell was asked if the Fed takes any signal from the move in gold: (from Google AI) –Gold instantly exploded, trading to a high around $5500, having closed 4980 to end last week. “Man of the worldly mind! DO […]
Sliding Confidence
Janaury 28, 2026****************** –Curve steepened Tuesday with the dollar center-stage, like a bad lounge act (“Murph and the Magic Tones?”). Trump accelerated the move with late comments that he didn’t think the dollar had weakened too much; “it’s great”. Late DXY price 95.74; the low in 2025 was 96.22 coinciding with the September ease, Low […]
Can everybody meet their contractual obligations with moves like this?
January 27, 2026******************–Yields across the board down 1 to 2.5 bps. Tens end 4.211, down 2.4. Implied vol in rate futures continues to languish. TYH6 111.75^ settle 0’57 (3.8) with 25 days left. New buyer of 50k SFRZ6 9750/9850cs for 3.5. Settled there ref 9675.0. So Dec’26 is at a yield of 3.25% with FF […]
