Archive for the ‘Eurodollar Options’ Category
Ugly week
November 21, 2025*********************–Massive reversals in stock futures following brief elation associated with NVDA results. You know how it is. –SPX -1.56% and Nasdaq Comp -2.15% sparked a modest bid in the front end. Two-yr yield fell 4.2 bps to 3.556% while tens eased 3.1 bps to 4.102%. So, 2/10 spread pushed to a new recent […]
Delayed Nov Jobs means no ease?
November 20, 2025*********************—NVDA post-close earnings sparked a hard bounce in equity index futures, and has helped bitcoin recover from a new low of 88.5k yesterday; XBT is 91.6k as of this writing. The BLS is not going to release the November jobs report until Dec 16, which is after the Dec 10 FOMC. January Fed […]
Consumers pulling in the reins (and shunning TLT as well)
November 19, 2025*********************–Today’s news includes FOMC minutes, followed by NVDA. Given that many Fed officials have recently articulated their outlooks, the minutes probably aren’t important. FFF6 is closely bouncing around either side of 50/50 for a cut/no cut at next month’s FOMC. FFF6 settled 9625.5 or 3.745% vs current EFFR of 3.88 or 9612. –I […]
Adding up the ‘one-offs’
November 18, 2025*********************–Weak front end yesterday with SFRZ5 and SFRH6 both settling -1.0 at 9617.5 and 9638.0. Overall activity was light, but some of the near calendars posted new recent lows, for example, SFRH6/M6 at -24.5, down 1.0 (9638/9662.5) and SFRH6/H7 one-year calendar at -51.5, down 2.5 on the day. While the two front contracts […]
Nobody likes data centers
November 17, 2025*********************–Early Friday swoon in stocks was substantially reversed at day’s end. However, bonds closed near the lows of the day with TYH6 112-15 (-7.5) and USH6 116-05 (-19). Ten year cash yield ended at 4.146%, up 3.8. SOFR strip was -1.5 to -2.5 from H’26 through the next five years. Peak contract SFRH7 […]
Bigger risk premium for long assets
November 16, 2025 – Weekly comment******************************************NOTE: RJ O’Brien is now a division of StoneX, a publicly traded company (SNEX). Any readers looking to discuss a new clearing arrangement with RJO/StoneX please contact me directly. amanzara@rjobrien.com Quick notes this week. The treasury futures roll should be quite active and interesting this cycle with several factors at […]
It’s getting illiquid in here. Almost TOO illiquid
November 14, 2025*********************–Reserves: from abundant to ample in years. From ample to scarce in about two weeks. The market trades as if liquidity is becoming questionable. FFF6 (Jan Fed Funds) settled -3.0 at 9626, now reflecting around 50/50 in terms of a rate cut in December. [current EFFR is 3.87. A cut in Dec means […]
Yes, We’re Open
November 13, 2025*********************–Continued build of long TYF6 114.0c covered. Yesterday paid 27 for 28k covered 112-28, 29d (1’62^). There are also some sellers coming in, for example an early buyer 15k TYF 113/114/114.5c tree covered 112-255, 3 paid 15k. In any case, I believe total position is ~200k TYF 113.5c and 120k 114c. Highest price […]
Large interest rate option trades
November 12, 2025******************–Though cash treasury market was closed, it didn’t stop the covered call buyer, who moved up a strike to TYF6 114c: TYF 114c cov 112-30.5 31% paper pays 29 on 50k (1’61^)TYF 114c cov 112-31.5 30% paper pays 29 on 40k (1’59^) –TYH6 settled 112-31, +11.5, with an increase in OI of 37.5k.TYF6 […]
VETERANS DAY
November 11, 2025 ************************ Any nation that does not honor its heroes will not long endure – Abraham Lincoln Did they get you trade your heroes for ghosts? – Pink Floyd. Wish You Were Here –The total position in TYF6 113.5c after yesterday is around +200k calls vs -65k TYH6. Early yesterday paid 28 for […]
