Archive for the ‘Eurodollar Options’ Category
The $64,000 question
December 17, 2025*********************–The $64,000 Question is an American game show broadcast in primetime on CBS-TV from 1955 to 1958, which became embroiled in the 1950s quiz show scandals. Non-farm payrolls yesterday, 64,000. Reverse the digits and get the unemployment rate of 4.6%. Time for mimosas and holiday parties. So, yields eased a bit and 5/30 […]
Told by an idiot, full of sound and fury. Signifying nothing
December 16, 2025******************* –PAYROLL data today! Curve edged steeper in anticipation. New high for the year in 2/10 at 67.4 (3.506 and 4.18). 5/30 also gained 2.2 bps to 112. On the SOFR strip all back spreads made new highs. As an example, red to green pack spread is +21.625 (9681.125 & 9659.5). I have […]
Friday steepener
December 15, 2025*********************–Friday featured a new high in 2/10 for this calendar year just above 66 bps with 2y unch’d at 3.526 and 10y + 5 bps in yield to 4.192%. 5/30 made a new recent high at 111 (hi of the year is 123.6). Long-end contracts trade weak, but the re-introduction of Warsh as […]
For What It’s Worth
December 14, 2025********************* There’s something happening hereWhat it is ain’t exactly clearThere’s a man with a gun over thereA-telling me I got to beware -Buffalo Springfield – For What It’s Worth This song keeps running through my mind, originally released in 1966, a protest ballad of the day which rings true right now.There’s battle lines […]
In: Eurodollar Options
Don’t forget the ‘Industrials’
December 12, 2025*********************–The attached chart that’s going vertical? Nope, not silver. It’s the Dow Jones Industrial Avg. Record close 48704. Since the low in 2009 it’s up 7.5x. It’s also near a record gap to the 200 month moving average (now 105% above the 200 MA). In Dec 2021 the price was 109% of 200ma prior […]
In sync
December 11, 2025********************* –Fed cut to 3.5-3.75% and is buying $40b t-bills to alleviate pressure on reserves going into tax season. Powell deems the new FF target as being at the upper end of neutral and was generally optimistic about inflation trending lower, saying that service inflation is easing and that goods inflation at present […]
FOMC / Sentiment shift regarding future cuts
December 10, 2025******************** –FOMC today. Fairly quiet session which featured a solid 10y auction, but rate futures settled at the low end of ranges. The treasury curve was flatter with 2s +3.2 bps to 3.611% and 10s +1.6 to 4.184%. 30y bond actually eased slightly in yield; USH contract +3 to 115-06 and WNH +5 […]
Cracks beneath the surface
December 9, 2025******************* –Apart from very front contracts, yields continued to press higher. In front of today’s ten-year auction, the yield rose 3.1 bps to 4.188%. 30s closed 4.183%, up 2.2 bps. Although the financial press is trying to manufacture a bit of drama around tomorrow’s FOMC, front contracts are priced near certainty of an […]
Some prices go down
December 8, 2025******************* –Despite early block trade buys of 90k FVH6 ~109-11+ and 80k TYH6 112-23+ on Friday, futures closed lower. FVH6 settle 109-07+ and TYH6 112-16+. FV buys appear new with prelim OI +47k and TY exit with OI -35k. Ten year yield up 2.7 bps on the day to 4.137%. Three year auction […]
Stand and De-lever
December 7, 2025 – Weekly comment****************************************This week BOE warned about the basis trade in gilts. The Fed has also been monitoring basis trades. On 4-Dec, the US Office of Financial Research released a report ‘Sizing the US Repo Market’. “According to new data collected by the OFR, the U.S. repurchase agreement (repo) market averaged about […]
