Archive for the ‘Eurodollar Options’ Category
Slower easing?
September 24, 2025********************* –Powell’s speech suggested caution with respect to the easing cycle, yet yields edged slightly lower. SOFR contracts out to the greens were +1.0 to +2.5. Peak contract SFRH7 settled 9699.5, +1.5, essentially at 3%. Tens eased 2.1 bps to 4.118%, hugging the new Fed Effective rate. Worth noting is that EFFR never […]
In: Eurodollar Options
Powell speech today
September 23, 2025***********************–Fed speeches today from Bowman at 9 and Powell at 12:30. Yesterday Miran gave a speech indicating the neutral rate could be around zero, due to the reversal in immigration and fiscal policies: “R* reflects the balance of saving and investment in an economy and it evolves over time with demographics, productivity, fiscal […]
In: Eurodollar Options
Gold new ATH as bitcoin falters
Sept 22, 2025**************–Bitcoin down to 112,500 this morning; on the Sept futures contract it prints -2770. However gold is making a new all-time-high with GCZ5 up $52 at 3758. Rate futures little changed after Friday’s pullback. On Friday the SOFR curve was slightly steeper with SFRZ5 -0.5 to 9634.5, Z6 -1.5 to 9699, Z7 -2.0 […]
In: Eurodollar Options
Eat another breadstick. They’re FREE!
September 19, 2025********************* –Continued unwind of trades predicated on a more dovish Fed. Ten year yield +3.2 bps at 4.102%. Peak SOFR contract, SFRH7 was -3.5 at 9701.5, right around 3%. (High settle Tuesday 9712) Near SOFR 1-yr calendars made new recent highs, for example, SFRZ5/Z6 which is now the lowest, settled -65.5, +2.5 on […]
In: Eurodollar Options
Fed Cuts 25 bps. yay
September 18, 2025********************** –Fed cut 25 as expected, citing the labor side of the dual mandate. However, subsequent price action indicated hopes for a more dovish press conference. At one point Powell said ‘you can think of this 25 bp ease as a risk management cut’. Not exactly a green light signaling a string of […]
In: Eurodollar Options
Things don’t change that much
September 17, 2025********************* –Fed day. Small chance of 50. Likely to be three dissents for 50. –But rather than go into detail on that, here’s something actually worth watching! A classic clip from Three Days of the Condor with Robert Redford. Joe Turner (Redford) works for the CIA in NY at a front called the […]
In: Eurodollar Options
Retail Sales. I guess they’re not buying paint.
September 16, 2025**********************–On April 29, Harley Bassman, Convexity Maven, put out a piece “Chekhov’s Gun” which a friend forwarded to me. This was shortly after the ‘Liberation Day’ announcement and huge rips in VIX and MOVE. On page 4 he says, “I would propose that these jumps in the MOVE and the VIX are not […]
In: Eurodollar Options
US rate markets chill in front of FOMC
September 15, 2025*********************–MOVE Index ended Friday at the lowest level since early 2022 at 73.37. Treasury curve has been flattening thru the month of September, with 2/10 ending at a new recent low 105.5 (high near 123 on 02-Sept). On Friday, SFRU5/SFRU6 one-year calendar went out at -100.75 bps (9596.75/9697.50). FFV5/FFV6 settled -106.5 (FFV5 already […]
In: Eurodollar Options
Suppress
September 14, 2025 – Weekly comment****************************************** There’s an old favorite cartoon of mine. The foreman is poking his head out of the Jury Room door, giving a lunch order to the bailiff: 11 turkey sandwiches, 1 tuna. 11 fries, 1 cole slaw. 11 Cokes, 1 Sprite. Going into Wednesday’s FOMC, it doesn’t matter whether Lisa […]
In: Eurodollar Options
Yields grinding lower
September 12, 2025*********************–Jobless Claims yesterday at 263k highest since 2021. CPI higher than expected 0.4% vs 0.3 exp. However, yoy 2.9 as expected. FFF6 post data print 9644, settled 9641. A price of 9642 is 3.58% which is exactly 75 bps below the current EFFR of 4.33%. I.e. 3 cuts by year end. The 10y […]
In: Eurodollar Options
