Archive for the ‘Eurodollar Options’ Category
Zelensky et al today. Still has a bad hand.
August 18, 2025****************** –Yields a bit higher Friday with 10s +3.3 to 4.324%. For the past six months the ten year yield hasn’t deviated from the Fed Effective rate of 4.33% by more than about 17 bps either way, except for April’s Liberation day volatility, when the 10y yield briefly touched 4%, or 33 under. […]
Industrial Disease
August 17, 2025 – Weekly Comment************************************** Mark Knopfler identified problems afflicting the current administration as early as 1982: Yeah, now the work force is disgusted, downs tools, walksInnocence is injured, experience just talksEveryone seeks damages, everyone agrees thatThese are classic symptoms of a monetary squeezeOn ITV and BBC they talk about the cursePhilosophy is useless, […]
High Prices
August 15, 2025*****************–Shocking PPI data caused a back-up in yields. PPI up 0.9% m/m and 3.3% yoy. Ex-food and Energy +3.7% yoy. Tens rose 5.5 bps to 4.291%. On the SOFR strip, SFRH6 was weakest, falling 7 to 9646.5. FFV5 fell back below a 25 bps ease, settling -3.5 at 9591. (9592 represents certainty of […]
When they’re giving you 25, push for FIFTY
August 14, 2025*****************–Rate futures bid as Bessent calls for Fed cuts, looking for 50 at the Sept meeting. Current EFFR is 4.33, a cut of 25 would be 4.08 which is a price of 9592.0. Early in the session FFV5 (Oct Fed Funds) traded 9593 (meaning the market is pricing in just a little MORE […]
SOFR butterflies and pricing
August 13, 2025*****************–CPI about as expected, with yoy 2.7 vs 2.8 exp and Core a bit higher at 3.1. Short end breathed a sigh of relief and greenlit an ease (which had already been substantially priced). SFRH6 and M6 were strongest contracts, both +3.5 to 9649.5 and 9670.5. With EFFR at 4.33 or 9567, SFRM6 […]
Honest and accurate inflation data
August 12, 2025***************** –Light volume Monday. Yields were slightly easier; 5, 10 and 30y down around 1 bp. Tens -1.2 to 4.271%. CPI today expected 0.2 m/m with yoy 2.8% from 2.7% and Core expected 3.0% from 2.9%. Hedges against high inflation data were placed (Friday expiry): TY wk3 111.75/111.50/111.0 p fly 0 paid 12k. […]
Notes
August 11, 2025***************** –Friday featured higher yields with 2s up 2.6 bps to 3.758 and 10s up 3.9 bps to 4.283%. Two year is 57.2 beneath EFFR (4.33) and tens at 4.7 under. Bowman this weekend said she thinks Fed should cut 3 times this year. EFFR is 4.33 to that would mean 3.58 or […]
Defunct Economists
August 10, 2025******************“Practical men who believe themselves to be quite exempt from any intellectual influence, are usually the slaves of some defunct economist.” John Maynard Keynes: The General Theory I was looking through old Greenspan speeches for a particular passage, where he had said – before the fact – the late 1990’s dot-com investment frenzy […]
Loosening up the 401k strings
August 8, 2025****************–A lot going on. Yields a bit higher with flattening bias. 2y up 3.3 bps to 3.732%, tens up 1.1bp to 4.244%. On the SOFR strip, reds (2nd year) -4.625 to 9690 or 3.1% and golds (5th year) -1.75 to 9636 or 3.64%. Targeted SOFR call structures being placed to pin the FF […]
Fat Finger Economy
August 7, 2025**************** –Just a quick indication of depth in the most liquid markets in the world. At 11:40am, USU5 printed 115-00. Just 33 seconds later, the day’s low at 114-11 occurred. At 11:41, 115-00 printed again. They’re blaming it on a ‘fat finger’. Maybe that’s what the whole payroll report was: just a fat […]
