Archive for the ‘Eurodollar Options’ Category
Brief note with NFP expected 85-90k
June 5. 2026********** –Payrolls today expected 85-90k with an unemployment rate of 4.3%. –Rates eased a few bps yesterday, led by the front end. 2y yield -3.7 to 4.047% while tens fell 1.8 to 4.473%. Lowest near term SOFR contract is still SFRM7 now at 9602.5, +5 on the day. Blue SOFR pack, 4th year forward, […]
Selling to willing buyers…
June 4, 2026********** “We are selling to willing buyers at the current fair market price.” -John Tuld in Margin Call –SpaceX ready to go at $1.78T valuation according to FT. End-of-the-day news was Broadcom’s call, which is pressuring Nasdaq; AVGO currently down 12.7% in post-trade slide. The difference in ‘Margin Call’ is that willing (and passive) […]
Treasury curve flattens
June 3, 2026*********** –Fairly quiet yesterday with main theme being curve flattening. 2/10, down 1.8 at 40.6 (4.047/4.453) is lowest since April 2025 and 5/30 at 79.1 (4.176/4.965) is lowest since May 2025. High in 2/10 in Feb was 72.5. On the SOFR strip, back month calendars are also edging to new lows, for example red/green […]
Remove the limits!
June 2, 2026********** –An early Monday morning report that Iran was halting the exchange of communications with US negotiators sent oil higher, stocks and bonds lower. Treasury curve flattened to new recent lows. Two year yield up 3.9 bps to 4.049% while tens rose 2.4 to 4.473%. New low in 2/10 at 42.4 and in […]
In 2022, they cured high prices with HIKES
June 1, 2026************ –Friday featured slightly lower yields, with tens down nearly 1 bp at 4.449%. Peak SOFR contract SFRM8 rose 1.5 to 9620.5 (still nearly 1/4% above current EFFR). Lowest near term contract is SFRM7 at 9608.5, +0.5. This one-yr calendar (M7/M8) is obviously the most inverted at -12. –Payrolls cap the week with […]
Forward Guidance
May 31, 2026 -Weekly Comment*************************** The CEO of Chevron, Mike Wirth, was on a Bloomberg interview a couple of days ago, and was asked about the forward futures curve in crude. I was surprised when he said “we don’t really look at that very frequently”. He said they run their own analysis and simulations for […]
Gliding into Friday
May 29, 2026*********** –Uneventful day with slightly flatter curve, easier vol in rates. Ten year yield -2.2 bps at 4.457,with 2/10 eking out a new recent low at 43.2. On and off peace agreement has oil moving lower. This morning 87.45, down 1.45, despite repeated warning (latest from Exxon CEO) of dangerously low inventories. –News […]
Cease-fire strained
May 28, 2026************ –Yields edged slightly lower yesterday with 10s down 1.4 bps to 4.479%. Front end sofr contracts were slightly bid, with SFRH7 leading, +2.5 to 9608.0 (3.92 vs current EFFR of 3.62, so a hike is priced). With CLN6 settling -5.21 at 88.68, and SPX at new all-time high, 10y breakeven has fallen […]
Oil lower. Rate futures respond with higher prices and crushed vol
May 27, 2026*********** That’s NOT a Ferrari. Former Ferrari chairman Montezemolo: “We risk the destruction of a legend. So sorry. Take the Prancing Horse off.” Now that THAT’S out of the way… –Yields fell hard on Monday and futures maintained gains yesterday as oil fell. From Friday to Tuesday settle, SFRH7 and M7 led the pack, […]
May 26, 2026 ************* –Friday featured new lows in many curve measures as Waller said a hike is just as likely as an ease. 2/10 ended at 44.3, down 5.4 bps, nearing this year’s low of 42.4 set in March. July of 2025 low was 41.5…important level to try and hold. If it doesn’t, 20 […]
