Archive for the ‘Eurodollar Options’ Category
Market continues to peg terminal at 3.0-3.25%
February 26, 2026 ********************–Yields edged a bit higher yesterday with red, green, blue and gold SOFR contracts -3 to -4.5. Red to green SOFR pack spread settled at just 10.25 a new low (reds are 2027 contracts, price 9691.375, and greens are 2028 contracts, price 9681.125). Those two forward years are consistent with a terminal […]
Just loosen the standards
February 25, 2026******************* –Doesn’t appear to be much reaction to State of the Union speech. Stocks have edged higher and bonds lower. –Part of the bond move could be related to weakness in Japanese bonds as Takaichi nominated two new BOJ board members who are seen as dovish. Though JGB yields are well off highs […]
And I’m Never Wrong About This Stuff
February 24, 2026*******************–The main driver of markets yesterday was a report by Citrini Research, a thought experiment as if written a couple of years into the future, describing economic carnage wrought on workers by the onslaught of AI agents. It should have been clear all along that a single GPU cluster in North Dakota generating […]
Flattened
February 23, 2026*******************–Curve flattened Friday as the Supreme Court ruled that President Trump exceeded the powers to impose tariffs under the emergency provisions of IEEPA. A lower court will now decide on whether refunds will have to be made. Stocks rallied, though the idea that trade uncertainty has lifted is a stretch. Trump has now […]
Massive SOFR call buying
February 18, 2026*******************–Massive buying of SOFR calls on Tuesday, primarily the 9800 strike. These are all new positions: +45k SFRU6 9800c cov 9680.5, paid 4.5. Settled 4.5 vs 9679 +125k SFRZ6 9800c cov 9696 and then 91.5, paid 7 and 7.5. Settled 7.5 vs 9692 +40k 0QM6 9750/9800cs 4.0, settled 3.75 vs 9697 +50k 0QU6 […]
Treasuries once again act as safe harbor
February 17, 2026*******************–Treasury futures are currently at two month highs as stocks can’t seem to hold a bid. TYH6 is 113-11+, with 10y yield 4.027. FVH6 is 109-255 with 5y yield 3.581, There are three lows in 5y around 3.56… Sept 8, 3.562, Oct 16, 3.548 and Nov 25, 3.564. A breakdown through 3.55 should […]
Lower yields with or without the Fed
February 16, 2026*******************President’s Day Holiday. Banks and treasury market are closed. –Slightly soft CPI (+0.2 m/m, +2.4 y/y) capped a week of falling yields. On the week 10s sank 15.8 bps to 4.058% and 30s fell 15.1 to 4.702%. 10y yield dropped 4.4 Friday. The ten-year inflation breakeven has ranged between 224 and 238 since […]
New lows in yields coming?
February 15, 2026 – Weekly Comment**************************************** Two-yr yield has been between 3.43 and 3.63 since October. On Friday it ended at 3.41, a clear breakout to a new low. The 5y had lows of 3.56 in Sept, 3.55 in October and 3.56 in November. 5y yield popped to a high of 3.86 in Jan, but […]
Dispersion
February 13, 2026******************* –Rate futures surged, led by longer maturities, as Existing Home Sales came in at just 3.91m vs 4.15m expected, and the tech (& bitcoin) sell off resumed. SPX -1.6% on the day, Nasdaq -2.0%. The 2y yield fell 4.6 bps to 3.464%, but tens fell 6.8 bps to 4.102% and thirties fell […]
Rate cut odds fizzle after jobs report
February 12, 2026******************* –There are a couple of articles this morning analyzing tomorrow’s CPI release. As if it matters. –After being led to believe payrolls would be weak, actual data showed NFP rose at a solid 130k, nearly double the expected number, with the unemployment rate falling to 4.3%. Annual benchmark revision showed a loss […]
