Archive for the ‘Eurodollar Options’ Category

Positioning for NFP

April 4, 2024************* –New lows in treasury futures on heavy put buying first thing yesterday morning.  TYM4 low 109-09+ which was -13+ and USM4 116-24 which was -31.  Big pre-data TY put buys TY wk-1 109.00p cov 109-135, 11 paid 10kTY wk-1 109.25p cov 109-125, 18 paid 15kFV wk-1 105.75p  5.5 paid 50kWeek-1 options expire […]

Posted on April 4, 2024 at 5:05 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Powell again; Taiwan earthquake

April 3, 2024************* –7.4 earthquake in Taiwan.  (sell USD assets to pay for re-building?) –Eurozone inflation falls to 2.4% vs expected 2.6%.  Core 2.9% vs 3.1% last. –From MNI yesterday:  Cleveland Fed Mester (’24 voter but retiring in June) won’t rule out a rate cut in June, while SF Fed Daly said three rate cuts in […]

Posted on April 3, 2024 at 5:39 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Oil bid

April 2, 2024************** –The May WTI contract (CLK4) hit a high of 84.96 this morning, up 1.25.  This eclipses the high from last September.  Escalation in mideast hostilities as Israel bombed Iran’s embassy in Syria is a likely contributor.  However, US treasuries aren’t really seeing a safety bid, even after a hard sell off yesterday. […]

Posted on April 2, 2024 at 4:34 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Record high Gold

April 1, 2024************* –Little reaction to Friday’s PCE data (essentially as expected with PCE yoy 2.5% and Core 2.8%) and Powell’s patience with respect to cutting the funds rate (“we don’t need to be in a hurry to cut”). –TYM4 settled 110-255 Thursday and prints 110-265 this morning while USM settled 120-14 and prints 120-05.  […]

Posted on April 1, 2024 at 5:25 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Is Treasury Issuance an Emergency?

March 30, 2024***************** A Fed paper from June 29, 2023 is entitled ‘Impact of Leverage Ratio Relief Announcement and Expiry on Bank Stock Prices’.  That’s one of the google results when I searched for information on the March 5, 2024 ISDA letter requesting agencies (starting with the Fed) to “…revise the SLR to permanently exclude […]

Posted on March 30, 2024 at 11:56 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Balance of risks says WAIT

March 28, 2024***************** –From Waller last night: My judgment on the balance of risks for monetary policy, which I explained in a speech on February 22, hasn’t changed: The risk of waiting a little longer to cut rates is significantly lower than acting too soon.  https://www.federalreserve.gov/newsevents/speech/waller20240327a.htm –Curve flattened in response with red SOFR contracts bearing […]

Posted on March 28, 2024 at 5:29 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Fed HODL

March 27, 2024***************** –Yields down slightly in a quiet session.  Tens -1.7 bps to 4.234%.  Implied vol continues to compress in front of the long weekend. Good 5yr auction.  Capital Goods Orders non-defense solid at +0.7.  However, consumer confidence slipped to 104.7, lower than 107 expected (middle of the 2023 range, so no big deal). […]

Posted on March 27, 2024 at 5:08 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Accidents will happen

March 26, 2024****************** –Yields rose Monday with tens up 3.5 bps to 4.251% and SOFR contracts down 3.5 to 4.0 from Dec’24 to Dec’28. The lowest contract on the strip is front June’24 at 9489.0 while the peak is Dec’26 at 9635.5, a spread of just -146.5 over two and a half years. Just in […]

Posted on March 26, 2024 at 5:51 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Lemons

March 24, 2024 – Weekly Comment ************************************* The Fed kept three cuts for 2024 in the Summary of Economic Projections (SEP).  The Bank of Japan hiked, eliminating the negative funding rate and YCC.  The Swiss National Bank eased by 25 bps.  Mohamed El-Erian says this might be the week that Central Banks (with emphasis on […]

Posted on March 24, 2024 at 1:54 pm by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Pitchforks and Torches

March 22, 2024**************** –April treasury option expiration today. –Rates showed little net change, weakest SOFR contract was SFRM5, closing -3.5 at 9596.0.  Tens were about unchanged at 4.269 while twos rose 3.2 bps to 4.63%.   –A couple of large new trades:In TY Week2 (April 12 expiry) +50k 110.75c 0’42 covered 110-23, 50d+50k 110.50p 0’42 covered 110-18, […]

Posted on March 22, 2024 at 5:48 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options