Archive for the ‘Eurodollar Options’ Category
Little Caesars
July 25, 2025**************–Quiet session. Curve flatter. Two-yr note yield up 4 bps to 3.923%. 30-yr unch’d at 4.947%. Red to green (2nd to 3rd year) SOFR pack spread made a new recent low just over 12 bps. Red pack avg 9673.5, green pack 9661.375. Contracts from SFRM6 to SFRM8 are between 9652 and 9677… 3.25% to […]
From Micro to Macro
July 24, 2025**************–Yields rose yesterday as trade deals fall into place, removing some uncertainty. New high SPX. Tens up 5.4 bps to 4.388%. Reds were weakest on SOFR strip. The peak contract, SFRH7, fell 7.5 bps to 9682.5 or 3.175%. There’s a lot of micromanagement on display in SFRU5 options, using spreads just 6.25 bps […]
“Flight to crap”
July 23, 2025**************–Yields continued to drift lower yesterday with 10s ending exactly the same as EFFR at 4.33%, down 3.6 bps yesterday. This morning, with the Japan tariff deal announcement and Japanese bond yields running to new highs, treasury futures have pulled back. As of this note, TYU5 is 111-04, -9, and lower than Monday’s […]
SOFR calendars, el Risitas
July 22, 2025***************–Yields fell Monday, stocks made new highs early and gold soared, almost as if a new wave of liquidity is ready to wash over markets. Ten year yield fell almost 6 bps to 4.37%. Near 1-yr SOFR calendars made new lows. For example, SFRU5/U6 fell 4 to -95 (9583, -0.5, 9678, +3.5). SFRZ5/Z6 […]
Rolling calendar spreads
July 21, 2025************** –Friday featured a decline in yields (continuing this morning) with a steeper curve. New low in a couple of near 1-yr SOFR calendars, for example SFRZ5/Z6 became more inverted by 2.5 to a new low -71.0 (9610/9681). SFRH6/H7 eased 2 bps to a new low -46.0. The peak quarterly SOFR contract has […]
Artifice
July 20, 2025**************In the languid days of summer, trading activity in the old CME Eurodollar pit stalled to a near halt. This is how a day might go: Get to the floor at 6:30. Data at 7:30, a modest flurry of business but little price movement. Leave the floor around 8:45 for a coffee. Sit […]
Waller makes his case. Market ignores. Like talking to a wall
July 18, 2025**************-Waller specifically calls for a rate cut at the July meeting. The market is fine with pegging him as a dissenter where the majority, led by Powell, will vote for no change. FFQ5 prints unch’d at 9568 this morning; little odds for a cut. SFRU5 is 9582.5, up 1.5. That’s just 15.5 bps […]
Spreads suggest ‘inflate out of it’ policies
July 17. 2025*************–Initial turbulence in yesterday’s session revolved around headlines that Trump had asked Republican lawmakers if he should fire Powell, and that ‘Trump is likely to fire Powell’ (WH official). Stocks and bonds immediately tanked; front end rate futures jumped, along with implied vol. Shortly thereafter, the chicken-out pivot came, with ‘Trump not thinking […]
Long bond near 5%, trying to hold…
July 16, 2025**************–Long end continues to trade suspiciously weak, with 30s just above 5% at 5.017% (+4.3 bps). Tens rose 6 bps to 4.487%. CPI slightly better than feared, with yoy 2.7% and Core 2.9%. PPI today. Large buyer +41k USU5 108p on blocks. Early, +22.5k for 28.5 covered 112-09, 16d and then later +18.5k […]
CPI today. Tariff impact?
July 25, 2025**************–Quiet session Monday. Large trades: BUY 50k 2QH6 9800/9825c for 1.0 ref SFRH8 9656.0. Settled 2.25 and 1.50 or 0.75 vs 9655.5. Expires 13-March 2026 SFRU5 9593.75/9600cs 1.375 paid for >50k on the day, settled 1.25 vs 9585.0. (5.0/3.75). Expires 12-Sept, while the Sept FOMC is on the 17th. Call spread would likely […]
