Archive for the ‘Eurodollar Options’ Category
Stretched levels going into the year’s 2nd half
July 1, 2025**************-Dollar index new low this morning at 96.40, well below the level from which the Fed initially started its hiking campaign in 2022. $/yen has broken a support trendline in place since April’s low of 139.89 (which is essentially a double bottom from the Sept 2024 low of 139.58). Now 142.86. Gold has […]
New highs (maybe April WAS liberating)
June 27, 2025**************–New lows in near SOFR calendars as the market further embraces forward easing prospects. SFRU5/SFRZ5 3m calendar made a new low of -32 (9600/9632). The December yield of 3.68% is 65 bps lower than the current Fed Effective of 4.33. New low settles in near one-year calendars. SFRU5/U6 -92.5, down 5.5 on the […]
Run hot with Fed eases
June 26, 2025***************–Dollar index is at a new low this morning, with a print of 97.00. It’s now at a lower level than when the Fed first started its hiking campaign on March 16, 2022. At that time, DXY was 98.62 and the FF target was raised from 0 to 0.25-0.50%. By September the high […]
There Will Be Easing
June 25, 2025***************–Buy America day as Israel/Iran ceasefire appears to be holding. SPX up 1.1%. Ten-year yield down 3.5 bps. Oil lower. –Near SOFR calendars made new lows as Powell fielded questions and soliloquies from Congress. He said that rates were modestly, not moderately, restrictive. SOFR contracts from March’26 to March’30 were up 3 to […]
Choreographed and Scripted
June 24, 2025**************–Choreographed is the word BBG uses in its description of Iran’s attack on bases in Qatar, which was immediately followed by Trump saying he would like to refrain from further military engagement, and later, the announcement of a cease fire. It’s rumored that Qatar suggested the attacks on its soil, making sure no […]
None Shall Pass
June 23, 2025***************King Arthur: Now, stand aside, worthy adversary. Black Knight: Tis but a scratch King Arthur: “A scratch?” Your arm’s off. Black Knight: No it isn’t King Arthur: Well, what’s that then? Black Knight: I’ve ‘ad worse. –Dramatic escalation in the mideast has oil slightly higher, ditto for stocks. Bonds a few ticks lower. […]
I guess they took the TACO thing too far
June 22, 2025 – Weekly comment************************************On Friday there was an early buyer of 40k TYQ 112c, 24/64s paid ref 110-205. Expires 25-July, delta 32, settled 28 vs 110-315. Total volume for this strike on Friday was 136k, with open interest increasing 82.8k to 172k, easily the peak open interest of any TY call. Next closest […]
Trump’s delay
June 20, 2025**************–USU5 traded as low as 113-04 early yesterday (-16) but recovered to 113-25 as stocks slid. ESU5 was down over 60 at the lows. This morning USU is back down at 113-07 and stocks have recovered on news that Trump is delaying a decision on bombing Iran for 2 weeks. Probably makes Israel’s […]
No drama from FOMC
June 19, 2025**************–In assessing the importance and impact of yesterday’s FOMC, note that across the entire US interest rate spectrum, net changes at futures settlement were almost zero. SFRZ5 settled +2 at 9611 or 3.89%. That was the largest change, the outlier, JUST +2. The Fed’s SEP left the end-of-year FF projection at 3.9% (though […]
Flatter for FOMC
June 18, 2025***************–Yields eased going into today’s FOMC as Israel/Iran conflict heightens risks and retail sales came in soft. Tens down 4 bps to 4.389%. Front end remains anchored in the mud at the current policy rate of 4.25-4.5% while awaiting clarity. Contracts that are pricing forward yields are floating to the surface. Red pack […]
