Archive for the ‘Eurodollar Options’ Category
Waller unintentionally takes himself out of the running for top job
August 29, 2025*****************–Waller says he favored a 25 bp cut in July and wants to ease in Sept. No surprise there. He is squarely focused on weakness in the labor market. A couple of lines from the speech: After accounting for these revisions and what we will learn in a couple of weeks, the data […]
If intellectual property is worth less, isn’t the stock market as well?
August 28, 2025*****************–Large trades include buy of 40k SFRH6 9675/9725cs for 8.5. Recall August 20 a buyer of 60k SFRH6 9725c 6 to 6.5. I had thought the call spread was a roll, but open interest went up in both strikes (less in 9725). In any case, longs in SFRH6 upside continue to build. Future […]
Steepening
August 27, 2025*****************–Call it the Lisa Cook steepener. New recent high in 2/10 at 58 bps, up about 3 bps. New ytd high in 5/30 at 117, up 6.6. With the new, just auctioned, 2y yield of 3.643, 2/10 should be about 3 higher tomorrow. The high in April (Liberation Day month) was around 64. […]
That’s what makes this so difficult
August 26, 2025*****************–News this morning is all about the firing of Fed Governor Lisa Cook. Will another Trump appointment change the Fed’s path? I doubt it. However, bonds and stocks have come under modest pressure. Yesterday featured flattening with red sofr contracts -4.25, greens -2.625, blues -1.125 and golds unch’d. This morning spreads are closer […]
Crypto Canary
August 25, 2025***************** –In his final Jackson Hole speech Powell sent a strong signal that an ease will occur in Sept. From the speech, “…the balance of risks appears to be shifting.” “…the baseline outlook and the shifting balance of risks may warrant adjusting our policy stance.” “…allow us to proceed carefully as we consider […]
Ease Concession
August 24, 2025 – Weekly comment******************Starting with a couple of excerpts from Powell’s Jackson Hole speech: With inflation above target, our policy rate is restrictive—modestly so, in my view. Putting the pieces together, what are the implications for monetary policy? In the near term, risks to inflation are tilted to the upside, and risks to […]
Powell today. Stronger data causes rethink on easing
August 22, 2025*** –Data Thursday stronger than expected with S&P Composite PMI 55.4 vs expected 53.5. However, Philly Fed was -0.3 vs 6.5 expected and 15.9 last. Continuing Jobless Claims at 1972k is at a NEW HIGH for the cycle. Hammack said that given the data, she wouldn’t see a case for a September ease, […]
AI unprofitable. Who knew?
August 21, 2025***************** –Several large upside bias trades yesterday in rates. Early buyer TYV5 113c covered 111-26, 23 paid 60k (prem > $16m). Settled 23 ref 111-28 in TYZ5. Delta is 28, open interest in that call strike is highest of any TY call, now at 243k, up 84k on the day (bought heavily Tuesday […]
Butter, not guns
August 20, 2025***************** –Rates edged lower as tech stocks encountered profit taking pressure. Nasdaq Comp fell 1.46%. 2y yield fell 1.7 bps to 3.752% while tens dropped 3.5 to 4.30%. Bitcoin’s weakness was a major feature, having run a round-turn so far in August. The low on 3-Aug was around 112k. By 14-Aug it had […]
Upside
August 19, 2025***************** –Early buying in Treasury calls appeared to be exits as open interest declinedFVU5 109.25c 2 paid 30kTYU5 112.5c 2 paid 40k –Later in the day, buyer on BLOCK, 95k SFRV5 9650c for 3.25. Market maker immediately bought 60k back on the box for 3.0, settled 3.25 vs 9619.5. A few people noted […]
