Archive for the ‘Eurodollar Options’ Category
Strap in
January 26, 2025****************** –Net changes in rates Friday were modest. Ten year yield -1.2 bps to 4.235%. SOFR strip from H6 to H0 +0.5 to +2.0. –I mentioned some of Friday’s large trades in the weekend note. +50k TYK6 109.5p 19. Settled 20 vs TYM 111-155, open interest +49k+50k TYK6 108.5p 11. Settled 12, open interest […]
A few trades in a crazy week
January 25, 2026****************** BBG headline late Friday:BlackRock Cuts Value of Private Debt Fund by 19%, Waives Fee The fund is small, only $497 million [and getting smaller]. “…a string of troubled loans weighed on results” of TCP Capital Corp. One company, Renovo Home Partners, has declared bankruptcy. From a previous BBG article:About a month […]
Can’t MOVE. It’s below 0 Fahrenheit here in Chicago
January 23, 2026*******************–Flattener yesterday as econ data keeps chugging along. Two-yr yield +1.5 bps to 3.61% and tens -0.6 to 4.247%. Vol continues to get absolutely crushed. MOVE ended yesterday at 56.5; it’s been a steady slide since the Liberation Day April high of 140. Example was a new seller of 8k TYH6 111-112.5 strangle at […]
Veronika the cow shocks scientists by using a tool
January 22, 2026***************** –Trump announces framework for Greenland deal and drops tariff threat. It’s better now. “Hey Elsie, cover my mini shorts and reverse to go long. While the rest of the herd was out grazing I saw a Bloomberg headline that Trump won’t use force to take Greenland.” “Ok Veronika” Veronika the Cow shocks […]
Stocks and Bonds hit
January 21, 2026******************–One-two punch of new highs in Japan bonds and Trump’s Greenland obsession roiled markets and steepened the US curve. SPX ended -2.06% with Nasdaq -3.54%. Two year yield edged half a bp lower to 3.593% while 30s jumped 8.1 to 4.919% (Friday to Tuesday moves). Flight-to-quality flows into gold, which was up 3.7% […]
A Lower Strike Fed Put
January 20, 2026***************** –It could be the beginning of a large risk-off adjustment, but this time not just stocks are wobbly, so are long-dated treasuries. 10y yield now 4.286, up 6 bps from Friday; I project the target from the Sept thru Dec bottom to be around 4.43. The 30y target is 4.98 and it’s […]
Friday seems like a long time ago
January 19, 2026****************** –The US honors Martin Luther King today, with most securities markets and banks closed, but CME has an abbreviated morning session. –It’s a bit surreal that trade tensions have been ratcheted up over Greenland with a new round of Trump tariffs, but that’s where we are, with gold up $75 this morning […]
Pizza, Beer and Cheap Gas
January 18, 2026 – Weekly Comment****************************************It’s somewhat ironic that Trump is shifting domestic policy priorities to pizza and beer (or bread and circuses) with a flurry of pronouncements attempting to quell the affordability crisis, which he initially attempted to shrug off: “The word ‘affordability’ is a con job by the Democrats” At the other end […]
Front end hammered
January 16, 2026*******************–Thursday featured dramatic flattening with the 2y yield up 5 bps to 3.562% and 30s down 0.7 to 4.789%. TYH6 was -8/32 to 112-07 while USH6 was unch’d at 116-10. Attached is a chart of FVH6 which closed at the low and appears vulnerable to lower levels. Only the 2-yr now has a […]
Rate futures locked down like the border
January 15, 2026****************** –Wednesday featured falling yields, partially due to increasing tensions with Iran. Tens down 2.9 bps to 4.14%. TYH6 +6.5/32 to 112-15. TYG6 112.5^ settled 28/64, expiring one week from tomorrow. DV01 on the contract is $66.60, so straddle is roughly 6.5 bps. This morning oil has reversed, from a high of 62.20 […]
