Archive for the ‘Eurodollar Options’ Category
Flight to… somewhere
January 14, 2026*******************–Massive trades in TY options Tuesday. TYH6 settled +4 at 112-085, with cash 10y yield -1.9 bps to 4.169. Despite small price/yield change, open interest in TY rose 87k, up around 1.5%. Trades heavily weighted to new call buys (May) and a roll from long March puts into long May puts.(However, attached chart […]
Little concern about outlier CPI
January 13, 2026****************** –BBG headline: Takaichi’s Early Japan Election Plans Jolt Yen, Bonds and Stocks. New high in 10y JGB yield at 2.17. $/yen is nearing the 2024 high (yen weaker), currently 158.91 (161 in 2024). Nikkei up 3% to a new high 53549. –Early weakness in US stocks and bonds related to a criminal […]
Sell Mortimer, SELL
January 12, 2026****************** The views in this note are my own, and don’t necessarily represent those of RJO. –The Trump admin launched a criminal probe against Jerome Powell regarding the renovation of the Fed’s headquarters. Asinine. Anyone with a shred of self-respect currently under consideration to take over as Fed Chair should quietly remove themselves […]
Weeks Where Decades Happen
January 11, 2026 – Weekly Comment*************************************** You can tell we’re in the Fourth Turning. The last time the Chicago Bears beat the Green Bay Packers in a playoff game was 1941. A saeculum ago. Right after the Pearl Harbor attack formally brought the US into WWII. Nail-biter come-from-behind win for Chicago! The original book The […]
I can recall when there were RULES against front-running
January 9, 2026****************–Payrolls expected +70kUnemp rate expected 4.5% from 4.6% Prelim Mich Sentiment expected 53.5 from 52.91y inflation 4.1% from 4.2% –Huge trade of the day, buyer of approx 230k 0QU6 9750c, mostly paid 7 outright for 150k, then paid 7 covered 9678 (17d) for 45k and 7.5 (17d) vs 9680 for 35k. Prelim CME […]
New Fed Chair sits on his hands?
January 8, 2026****************–Near contracts suggest that a January ease is becoming less likely. SFRH6 settled -1 at 9645.5 and FFG6 (February is a clean month which prices the Jan 28 FOMC) also settled -1.0 at 9640. Current Fed Effective is 3.64 or 9636.0, so FFG suggests only ~15% chance of ease. While SFRH6 was -1.0, […]
SOFR contracts indicate nagging concerns of stronger growth and higher inflation?
January 7, 2026**************** –Early yesterday morning Fed Governor Miran suggested the Fed may have to ease by more than 100 bps this year. However, by day’s end the SOFR curve had flattened with SFRH6 down 2 bps to 9646.5 and M6 down 3 bps to 9667.0 while more deferred contracts were -0.5 to unch’d. The […]
Muted market reaction
January 6, 2026**************** –Markets were calm following the weekend extraction of Maduro. Like a bad tooth. With an immediate implant all ready. US interest rate futures drifted higher in quiet trade. On the SOFR strip reds through golds (years 2, 3, 4, 5) were up 2.5 to 3.5, with peak contract remaining SFRZ6 at 9690.5 […]
Happiness is a warm gun (not the warmth of collectivism)
January 4, 2026 – Weekly comment*************************************Today’s title contains quotes from the Beatles and NY Mayor Mamdani. I favor the Beatles. The summary below from Kathryn Rooney Vera, Chief Market Strategist at StoneX, captures the essence of Venezuela. Venezuela. After years of hyperinflation, capital flight, institutional collapse, and destruction of productive capacity, Venezuela’s economy has been […]
Going Back
January 2, 2026*****************–Wednesday featured a new high in 2/10 treasury spread at 68 bps (3.463/4.143). The low for the year was posted in February at just over 18 bps. Wed’s high hadn’t been seen since early 2022, just prior to the onset of the (flattening) hiking cycle. Since early April the spread traded a relatively […]
