Archive for the ‘Eurodollar Options’ Category
Hedge against a Fed shift to HIKE?
June 4, 2025*************–Yields up slightly in the front end as JOLTS higher than expected at 7391k. Contributing to a risk-off environment, the asset cap on Wells Fargo was removed, allowing that bank to grow again (regulatory relief across the economy). Also ZH notes that yesterday’s treasury buyback at $10 billion was the largest on record, […]
Cover your ass
June 3, 2025*************–June SOFR options expire a week from Friday. SFRM5 has traded 9571 to 9567 since middle of May, settling Monday at 9568.75. Yesterday, otm calls were bought: 20k M5 9600c for 0.5, 30k 9631.25c for 0.25 and 35k 9662.5c for 0.25. Also a buyer of 30k SFRN5 9675c for 1.25 (SFRU5 settled 9590.5. […]
Russia and Waller
June 2, 2025************** –I tend to think that Ukraine’s attack on Russia’s airfields and bombers is massive news. I believe there’s true uncertainty about responses going forward. I also think Nawrocki winning the Polish presidency is important, signaling a shift away from Brussels. I understand the bid in gold and oil, but am less certain […]
Liquidity trap of another sort
June 1, 2025 – Weekly comment********************************** Private Capital:Dan Rasmussen of Verdad Capital wrote a piece for the Financial Times (31-May): ‘Is private equity becoming a money trap?’ Succinct and informative, it dovetails with a short Bill Ackman interview (below). The takeaway is that many of the private companies rely on debt, and are cash-flow negative; […]
May draws to a close
May 30, 2025************** –Thursday featured outside day ranges and closes near extremes. For example, TU, FV, TY, US, WN all made new lows early in the session (relative to Wednesday) and closed near the highs. Cash tens eased 5.2 bps to 4.425% and 30s fell 5.1 to 4.924%, having been back above 5% early yesterday morning. […]
Throw caution to the winds
May 29, 2025************** –Court voids Trump’s tariffs. Tariffs provide tax revenue. US is running a huge deficit. Stocks soar. Isn’t it as easy as just hitting the bid in bonds? –Here’s a clip from the FOMC minutes: Significant uncertainties also surrounded changes in fiscal, regulatory, and immigration policies and their economic effects. Taken together, participants […]
Flatter trend
May 28, 2025*************** –Hard flattener Tuesday as Japan took steps to cap JGB long end. US 2y note down 2.3 bps to 3.962% (solid auction) and 30y down just under 10 bps to 4.938%, in a rejection (for now) of the October 2023 high of 5.115%. US 10y 4.432%, down 8. SOFR strip also dramatically […]
Japan stops the long-end yield rise
May 27, 2025**************–It’s all about Japan’s long end this morning. Reuters reports ‘Japan to consider trimming super-long bond issuance, sources say’. 30y JGB reached a high of 3.165% last week, but the yield has plunged, now at 2.85%. The attached chart shows Japan’s 30y, current until Friday (red) and the US 30y (blue) lagged by […]
BNPL (buy now, pay later?)
May 25, 2025 – Weekly comment*********************************** Gold is money. Everything else is credit.–JP Morgan Luke Gromen cites the oil/gold ratio, noting that an ounce of gold now buys around 55 barrels of oil (WTI). From 2010 to 2020 the range was mostly 12 to 28 bbls. Here’s a chart that’s the other way, ounces to […]
Bondra
May 23, 2025****************–Yields fell yesterday with 5s and 10s down 4.6 bps to 4.109% and 4.549%. However, 30s were only down 2.5, and 5/30 spread edged to a new high. I marked it just over 95 bps; BBG has the April 30 high at 94.9, I marked it 93.1 at the time of futures settle […]
