Archive for the ‘Eurodollar Options’ Category
Pinned forward rates?
August 6, 2025*****************–Ten year yield little changed yesterday at 4.194% in front of today’s auction. 30s tomorrow. However, the front end was pressured as “the Treasury said it plans to auction $100 billion in U.S. debt that expires in four weeks, after selling a record amount of six-week bills on Tuesday.” Weakest SOFR contracts on […]
A Fed cut solves EVERYTHING
August 5, 2025****************–Powerful rebound in stocks following Friday’s drubbing, with SPX +1.5% and Nasdaq Comp up almost 2%. Yields continued to ease, with tens down 2 bps to 4.198%. Open interest rose in TY a whopping 106k to 5.1m. SOFR contracts up 1.5 to 3 across the strip. New low in SFRU5/SFRZ5 to -34 (9695, […]
Big start for a quiet August
August 4, 2025****************–Big beautiful bounce in equity futures this morning as economic information and policy interpretations become more fluid. –Massive decline in front-end rates Friday due to NFP at only 73k with huge revisions lower over the previous two months. Friday settle of FFV5 at 9589 (4.11%) is 22 bps higher than Fed Effective of […]
Labor Quake
August 3, 2025 – Weekly Comment****************FOMC 30-July: no ease, Powell says labor market is solidNext day, Trump calls Powell TOTAL LOSERFriday: NFP just 73k, with a massive revision of the previous month from 147k to 14kTrump fires head of the BLSFed Governor Kugler resigns/ FOMC dissension to grow/who would want Fed Chair job?Trump sends nuclear […]
Megathrust
August 1, 2025*****************–Front end of the SOFR curve continued to get hit as Trump’s cagey negotiating tactic of hurling personal insults at Powell appears to be backfiring. “You stay classy San Diego.” SFRZ5 settled -5 at 9597.0 and H6 -6 at 9618.0. Last Friday SFRH6 settled 9630, so about half an ease lower. SFRH6 price […]
Steady Fed Policy
July 31, 2025***************–General disappointment as Powell played down the prospect of an ease in September. Weakest contracts on the SOFR strip were near quarterlies, SFRZ5 fell 8 to 9602 and H6, M6 fell 8.5 to 9624 and 9647. 2/10 treasury spread made a new recent low of 44 bps. Ten year yield rose 4.8 bps […]
Rattling
July 30, 2025**************–Perhaps the most important news from yesterday was Trump again giving Putin a 10 day ultimatum for a peace deal in Ukraine. Yields sank yesterday with tens down 9 bps to 4.328% (right at the current Fed Effective level). Peak SOFR contract is the 7th quarterly, SFRH7, which settled +7 at 9683.0, nearly 100 […]
Some playing for big ease, but long end remains suspect
July 29, 2025**************–Yields rose slightly with curve steepening bias as supply weighed. Twos and fives auctioned yesterday, 7s today. Ten-yr yield +3.4 bps to 4.418%. On the SOFR strip, all contracts from SFRU6 to SFRU8 were -2 to -2.5. Standout option trade was on SFRZ5: new buyer of 60k SFRV5 9618.75/9643.75 c spd for 4.5. […]
Big week, low vol
July 28, 2025**************–Going into a big week vol remains near the lows with MOVE at just 82.09 and VIX 14.93. Big news over the weekend of course, was a tariff deal made between the US and EU, with the EU paying 15%. Another uncertainty eliminated (for now). Equity futures ramped to new highs. EUR has […]
Does Housing Foreshadow Disinflation?
July 27, 2025 – Weekly Comment*********************************** Last week I wrote about the possibility of industrial metals pushing inflation higher, with copper posting a new all-time high. Data center/AI build-outs and electrical generation investments are clearly driving demand. This week, looking at the opposite side, disinflation related to housing. I also look at a couple of […]
