Archive for the ‘Eurodollar Options’ Category
Little fear of CPI
September 11, 2025*********************—ECB today. –PPI lower than expected, yet yields little changed in front end. SOFR contracts in first three years from Z5 to Z8 up 1 to 1.5 bps. 2y yield -1.1 at 3.531. Solid 10y auction, 4.046 immediately before, and actual result was 1.3 bps through at 4.033. 2/10 at new recent low […]
In: Eurodollar Options
BLS revision to -911k jobs not enough to sustain hopes for 50
September 10, 2025*********************–Is ANYONE working? Benchmark revision from the BLS shows 911k fewer jobs than originally reported. Perhaps that was better than expected as yields ROSE on the day, led by shorter maturities. 2y note up 4.9 bs to 3.542% while tens +2.6 to 4.072% in front of today’s auction. Thirties tomorrow. On the SOFR […]
In: Eurodollar Options
Would you care to take this outside?
September 9, 2025********************–Surprising outperformance by the long bond, with the 30y yield down 8.2 bps to 4.689% in front of this week’s auctions. By comparison, 5s fell just 1.4 to 3.568% and 10s -3.8 to 4.046%. Within a week, since Tuesday 2-Sept, the 30y yield has plunged from 4.962 to 4.689 or over 27 bps. […]
Quick notes. NFP seals ease.
September 8, 2025********************–Weak employment report (22k NFP and 4.3% rate) removed any doubts of an ease next week, and caused some to speculate on 50 bps. SOFR curve steepened. SFRH6 was the strongest contract, +11.5 to 9663.0. H7 (peak contract on strip) +6.0 to 9713, H8 +5.0 to 9697.5 and H9 +6 to 9677. By […]
The Price is Right
September 7, 2025 – Weekly comment***************************************** Payrolls were weaker than expected, though better than the worst fears, at +22k. The unemployment rate hit a cycle high of 4.3%. The last time the rate was here was in late 2021, before the hiking cycle began. I don’t feel the data were weak enough to justify a […]
Yields going down faster than you can say LULU Lemon
September 5, 2025********************–Payrolls today expected +75k with a rate of 4.3%. Perhaps unsurprisingly, interest rate futures went out on the beat highs, as whisper numbers are low. They’ve been inhaling calls. FFV5 settled exactly at 4.08% or 9592.0, representing a 25 bp cut on 17-Sept. However, FFF6, which covers both the 29-Oct and 10-Dec FOMCs, […]
Imagine
Sept 4, 2025**************–Trading without much imagination in rates….just sort of pegging Sept and putting in a 25 bp ease every quarter. For example, SFRU5/U6 one-yr calendar settled -100.5 (9592.5/9693.0). SFRZ5/H6 settled -25.0 (9624.5/9649.5). SFRH6/M6 settled -26.5 (9649.5/9676.0). Many prices are in neat 25 bps increments. Z5/Z6 is almost -75 (-76.5) and H6/H7 is almost -50 […]
Weak stocks, strong gold
September 9, 2025******************** –Bounce from early weakness in stocks yesterday, with ESU5 continuing to firm overnight, now close to Friday’s lows. GOOGL relief rally of 8% as its antitrust trial ended without significant penalty (not required to divest Chrome). Gold made a new high and continues to press this morning with GCZ5 above 3600. On […]
Bonds at Inflection Point
September 2, 2025*********************–It’s not escaping the press that gold is making new highs, with GCZ5 currently +31 to 3547; most newsclips cite the likelihood of rate cuts. On August 22, just before Trump fired Fed Governor Cook, GCZ was 3381. Of course Trump’s moves to get a rubberstamp Fed are having an effect on both […]
Jobs
September 1, 2025 – Weekly note************************************* On Tuesday we get ISM Mfg data. Since the Fed’s focus has turned squarely to the labor market, I just highlight data related to jobs this week, of which there is plenty. The Employment Index in last month’s ISM Mfg was 43.4, the lowest since the pandemic. In the […]
