Archive for the ‘Eurodollar Options’ Category
Debase
October 6, 2025***************** –Gold closing in on $4k with GCZ5 3963, up $54. Bitcoin $124k. In France Lecornu quit and in Japan, Sanae Takaichi is poised to become next prime minister…both contributing to the debasement trade. EURJPY at all-time high >175. Nikkei has exploded to a new high this morning, up 54% from April’s low […]
The Man with The Golden… oh, I don’t know, earring? Or i-Phone. Maybe that’s better
October 5, 2025*****************Sanitization, shattered dreams, student loan garnishment, smaller economy. First, in the clearest sign yet of the coming apocalypse, “Amazon has decided to remove guns from the key art used on all the James Bond films on Prime.” Below is a link with the sad picture. Two words. Cracker Barrel. https://x.com/WallStreetMav/status/1974223969596117086/photo/1This is better: Second, there’s […]
Base case is 25 bp cuts. There could be more
October 3, 2025***************** –Quiet session Thursday. Little change across SOFR strip with contracts out to 4 years unch’d to -0.5. Tens fell 1.7 bps to 4.087%. Premium continues to compress. As an example, TYZ5 settled +2.5/32 at 112-295. TYZ5 113c settled 49 which was DOWN 1/64 on the day (1’39 in the straddle, from 1’46 […]
The Gov’t Closed. Open a HOOD account
October 2, 2025***************** –Yields fell yesterday led by the front end as ADP came in weak at -32k with the previous month revised down to -3k. SFRM6, U6 and Z6 were strongest on the strip at +6.5 (9678, 9691.5 and 9697). Peak contract remains H7 at 9697.5, just over 3%. Slight steepener: the 2y yield […]
You Got a Friend
October 1, 2025*****************–What if they shut down the US Gov’t, and the treasury market didn’t care? Pre-shutdown TYZ5 settled 112-165. This morning, TYZ5 112-160. Probably not welcome news for the guy accumulating TYZ calls covered. Yesterday, bought 75k TYZ5 113c paid 46 for 50k vs 112-19, 42d and paid 49 for 25k vs 112-22 with […]
Wake up call
September 30, 2025*********************–End of month and quarter, with gov’t shutdown looming. Hegseth and Trump mass meeting with the military’s top brass is also today. –New recent low in 5/30 yesterday at 96.7 (3.628/4.706). Through the month of September, 5/30 has steadily declined from a high of 123.6 on September 2. Similarly, 2/10 was 61.7 on […]
In: Eurodollar Options
The First shall be last
Sept 29, 2025***************–I’m not usually a big fan of ‘AI summaries’ but I like the wording of BBG’s regarding the failure of First Brands: “The direction of travel is troubling, with private asset managers pushing to get more money from ordinary folks’ savings and non-banks borrowing increasing amounts from banks, inviting fresh horrors and strain for more […]
In: Eurodollar Options
The Anguish of Central Banking… the ghost of Arthur Burns is returning to haunt us
September 28, 2025 – Weekly Comment****************************************** Arthur Burns was the Fed Chair from 1970 to 1978. Fifty years ago. In September of 1979, he gave an address titled The Anguish of Central Banking. Here’s the link:https://fraser.stlouisfed.org/files/docs/publications/FRB/pages/1985-1989/32252_1985-1989.pdf It’s well worth reading due to today’s parallels. I have excerpted several passages that are at the end of […]
In: Eurodollar Options
Stripping out an ease
September 26, 2025*********************–In a simplistic sense, pre-FOMC the Fed Effective Rate (EFFR) was 4.33%. If the Fed cut 25 bps each in Sept, Oct and Dec, that would be a cumulative 75 bps, equating to EFFR of 3.58 or a price of 9642.0. The high in SFRZ5 on Sept 17, Fed Day, was 9642.0. Right […]
In: Eurodollar Options
Shaking out weak longs
September 25, 2025********************* –In the wake of the FOMC, rate futures have gently pulled back, with inflation concerns being voiced by several officials. For example, the peak SOFR contract, SFRH7, hit a high of 9712 the day prior to the Fed, but settled 9696 yesterday, down 3.5. TYZ5 posted a high settle of 113-21 on […]
In: Eurodollar Options
