Archive for the ‘Eurodollar Options’ Category
Leverage works BOTH ways
October 17, 2025******************–I had mentioned the other day that the first red SOFR contract rallied over 200 bps during the regional banking crisis of March 2023 (which ultimately culminated with the SVB bankruptcy). It was an extremely volatile period, (chart attached) but the key point was that the high was over 9700. Same type of […]
What’s in YOUR private credit book?
October 16, 2025****************** –It’s sort of like a Samuel L Jackson Capital One credit card ad: “What’s in YOUR wallet?” Except that it’s Jamie Dimon asking “What’s in YOUR private credit portfolio?” And his answer is, when you see one cockroach, there’s usually more. From Dimon: “These are very smart players: they know what they’re […]
Pre-set path… with a kicker
October 15, 2025******************–Yields continue to grind lower. TYZ5 settled 113-13, +8/32, with cash 10s 4.019%. USZ5 settled 118-09, +11/32 with 30s marked at 4.621%. SOFR contracts +0.5 to +1.5, with SFRZ6 and SFRH7 tied for peak contract at 9705 or 2.95%. Trade of the day was a new buyer of >100k 0QZ5 9800c (initial +80k […]
and….Bears win
October 14, 2025******************–Yesterday’s highlight was the Monday Night Football fabulous rendition of the National Anthem by Generald Wilson! The National Anthem will be performed by retired Navy Petty Officer First Class Generald Wilson, a premier National anthem soloist known for his powerful renditions at major sporting events across the country—including previous Commanders games. –Market action was […]
Gold and Silver indicate stress is still present
October 13, 2025*******************–I guess it was inevitable that Trump would backtrack from initial China threats with SPX -2.7% on Friday. While stock futures have had a nice bounce this morning, with ESZ5 up around 90 (6682 last), red SOFR contracts are only down 1 bp from Friday’s gain of 9.5 to 10. Peak contract is […]
Rare Leverage
October 12, 2025****************** The camera pans over a crowded investment conference cocktail party. A sonorous voice asks in near disbelief, “How could all of these sophisticated investors not have seen the warning signs of over-leverage and fraud?” The broad answer of course, is that some DO see it and actively participate. Really sophisticated ‘investors’ get […]
Cui Bono
October 10, 2025****************** “To the extent we have been successful, it is because we concentrated on identifying one-foot hurdles that we could step over rather than because we acquired any ability to clear seven-footers.” -Warren Buffet I don’t really think Argentina is a one-foot hurdle, but that didn’t stop the US Treasury from directly buying […]
Could the Fed Cut 50 in October?
October 9, 2025*****************–Not much worth noting in rate futures trading, aside from continued accumulation of call spreads based on SFRZ5 trading above 9650 (or higher). For example, more buying of SFRZ5 9650/9662.5cs for 1.25. SFRZ5 9650c have whopping 878k in open interest relative to 1.5m in Z5 futures, and settled 2.25 with 0.19d, ref Z5 […]
Gold on the Ceiling
October 8, 2025*****************–Yields eased yesterday with 10s down 3.5 bps to 4.125% in front of today’s auction. Fed Effective has been 4.09% so 10s are hugging that level. SOFRRATE 4.15% on Monday. 30 year auction tomorrow. 30y yield fell 3.3 bps to 4.724%. Treasury vol probing new lows. Peak SOFR contract SFRH7 was +3.0 at […]
Maybe a little caution?
October 7, 2025***************** –Tens up 4.3 bps to 4.16% Monday in slow trade. New highs in stocks, bitcoin, gold. However, a yellow flag warning for unrepentant bulls in Applovin (APP) as the stock plunged 14% late with the SEC said to be investigating data collection practices. Huge range 664 to 545, closed 587. –Vol continues […]
