Archive for the ‘Eurodollar Options’ Category
When does hard data catch-down?
April 25, 2025****************–Yields fell Thursday with 10s down 8 bps to 4.303% (close to EFFR of 4.33%). Seven year auction was solid. Cleveland Fed President Hammack said in an interview that the Fed could ease in June “if we have clear and convincing data”. June FOMC is the 18th, 7.5 weeks away. Later in the […]
The Trump Whisperer
April 23, 2025**************–Is Bessent getting Trump to modify his most strident pronouncements? All of a sudden some softening on removing Powell and on China tariffs, leading to an unwind of Monday’s price action. The curve flattened, stocks jumped, gold reversed. –In rates, the 2yr note rose 5 bps to 3.802% (old 2y) and the 30y […]
Similarities 2007 and now
April 22, 2025*************** –On April 14, it was announced that RJ O’Brien would be acquired by StoneX (SNEX). It’s not the first time RJO was sold.In 2007, Spectrum Equity Investors and Technology Crossover Ventures bought a majority stake in RJ O’Brien & Associates. I found an old article which notes the deal from May 28, […]
Easter Monday
April 21, 2025***************–News this morning: Pope Francis has died. Gold is making new all-time highs as the dollar slides to a new low. DXY current 98.10 (low in Jan 2021 89.21). Curve is making new recent highs with 2/10 now 59.5 (I marked at 53.3 on Thursday’s futures settle; high in Jan 2021 was 158), […]
The Devil’s Triangle
April 19, 2025 – Weekly Comment************************************ On Sept 1, 2000 SPX closed 1521, testing the all-time-high earlier in the year of 1527 in March. Fed Funds were 6.5%. By April 3, SPX had declined 27% to 1107. Nasdaq fared much worse: from Sept 1, 2000 to April 3, 2001, it was crushed …down 66%. Starting […]
Stretching it out
April 17, 2025************** –Not now…later. That’s the markets interpretation of Fed policy, and it didn’t change after Powell’s comments yesterday. For example, SFRM5/SFRM6 one-year calendar settled down 6.5 bps at a new low close of -87.5 (M5 9592.5, unch’d and M6 9680.0, +6.5). Just over three months ago on Jan 13 it settled nearly positive […]
It’s a bull market in moral hazard (gold)
April 16, 2025************** –I was away from work for the past week, near Mount Hood, Oregon for a wedding. Also visited N. California and Eugene and Portland, OR. Beautiful country, but in Eugene, Oregon and in Portland, the drug and homeless problem is overt. I would say that what struck me at the wedding festivities […]
Dislocations
April 9, 2025*************The bond market is breaking. The collapse of swap spreads is a terrible development. The pressure on the basis trade does not bode well. It shows funding issues, and also indicates that end demand for treasuries is drying up versus supply. –From ‘Swap Spreads: Should We Be Worried’ by Kevin Muir, The MacroTourist, yesterday. –ECB […]
Wild price action
April 8, 2025**************–Wild price action Monday. ESM5 had a range of 454 points, around 8%, 5286.5 to 4832. At the low SPX was off a bit over 21% from the February high. Long end of the curve also had a monster outside range day, with USM5 range nearly 5.5 points! 122-05 to 116-24 with a […]
A few early levels
April 7, 2025*************A few updated levels show early panic, now subsiding. These prices are from approx 5:00 am EST. FFK5 high 9601.0 now 9580.0 +4.5 (If the Fed eases on May 7, then FFK5 goes to 9586.5)FFF6 high 9707.5 now 9685.0 +16.5 (at the high, sub-3% by year end) SFRM5 high 9657.0 now 9618.5 +12.0 […]
