Archive for the ‘Eurodollar Options’ Category

Which Consumer

October 20, 2024- Weekly Comment*************************************** Does this make sense?  I set the time period as the last twenty years, from 2004 to 2024.  Covers the mortgage bubble, zirp, QE, covid, etc.  In Q2 2004 Household Assets were $64.9T and Liabilities $10.5T.  Currently, Q2 2024, Assets (green) are 185 and Liabilities (red) are 20.7.  So assets […]

Posted on October 20, 2024 at 12:12 pm by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Bonds. Monday’s weakness wasn’t an aberration

October 18, 2024****************** –Housing Starts today.  Waller speaks at 12:10 on Decentralized Finance.  Kashkari at 10:00.  Some have said that Kashkari’s recent remarks are concerned with excessive bond market (funding) volatility, so worth noting. –Data stronger than expected yesterday with Retail Sales +0.4, Philly Fed 10.3 from 1.7 last and Jobless Claims 241k from 260.  […]

Posted on October 18, 2024 at 5:46 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Changes

October 17, 2024 ******************–Retail Sales today expected 0.3 from 0.1, ex-auto and gas +0.3 from 0.2.  Jobless Claims 260k, Ind Production -0.1 from +0.8.  Philly Fed 3.0 from 1.7. –As attached chart shows, new recent low yesterday in SFRH5/H6 at -61.5 (9608.5/9670). SFRU4/U5 is -134 (U4 continues to trade) and Z4/Z5 is -99 (9655.5/9665.5) so […]

Posted on October 17, 2024 at 5:13 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Round trips

October 16, 2024*******************–The Columbus round-trip: On Monday ESZ4 sailed, with a range of 5850.0 to 5918.50, settling 5908.25, +48.50.  Tuesday’s range was almost exactly the same in reverse, testing the high early at 5915.50, with a low of 5850.0 and settle of 5962.75, -45.50.  Weakness in semis was sparked by a 4-letter stock ASML, on […]

Posted on October 16, 2024 at 5:15 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Waller’s gone soft

October 15, 2024******************–Waller’s speech yesterday pretty much describes no landing or a soft landing.  Job market coming into better balance.  Wage growth decent. but perhaps not inflationary with productivity growth as an offset.  Summary: With the labor market in rough balance, employment near its maximum level, and inflation generally running close to our target over […]

Posted on October 15, 2024 at 5:10 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Just add that interest payment to principal. We good with that?

October 14, 2024******************–Yields eased Friday led by front end.  2y down 5 to 3.94. 10y down 2.3 to 4.07 and 30s down just 1.2 to 4.38 as sentiment shifts on the long-end.  Similar with SOFR curve: reds +6.75, greens +4.5, blues +2.375 and golds only +1.5.  I marked 10 year breakeven at 233.3 bps, a […]

Posted on October 14, 2024 at 5:40 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Really Awesome

October 13, 2024 -Weekly comment************************************** One of Bloomberg’s top headlines on its website Sunday is:Retail Traders Embrace Market Turbulence With Bets on Volatility Here’s a quote: “We’re starting to get into unprecedented territory here,” says Akshay Aravindan, a 25-year-old software engineer at Microsoft who trades early in the morning before work starts. “This market is […]

Posted on October 13, 2024 at 1:38 pm by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Closing out the week

October 11, 2024*******************–You’re not going to find this interesting, but I’m throwing it out there anyway.  On Wednesday, SFRZ5 settled 9655.  The October midcurve 9556.25^ settled 15.25 with two days to go (expires today).  Pumped up, because of Milton and the CPI data, both of which came and went by yesterday afternoon.  SFRZ5 settled up […]

Posted on October 11, 2024 at 5:12 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

CPI might be lower, but inflation expectations edging up

October 10, 2024******************–CPI today expected 0.1 with Core 0.2.  On yoy basis, 2.3 expected from 2.5 last with Core 3.2, same as last.I would note that the ten-yr breakeven (treasury – tip) rose to 229.5.  Exactly one month ago on 10-Sept it hit the cycle low at 202.8.  Those that believe the Fed made an […]

Posted on October 10, 2024 at 5:43 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Calm before the storm

October 9, 2024*****************–Little change in rates Tuesday as selling pressure related to NFP abated.  SFRH5 settled 9609, +3.0, the strongest contract on the strip.  Every contract on the SOFR strip from SFRZ5 to SFRZ7 is between 9660 and 9666.  In fact, Z5 is 9660 and Z7 is 9661, a spread of just -1.  On June […]

Posted on October 9, 2024 at 5:22 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options