Archive for the ‘Eurodollar Options’ Category
5% breakout?
May 22, 2025************** –In October 2023 the 30y bond yield topped at 5.115% according to BBG. Since that time it’s been in a range of slightly below 4% to a cap of 5%. Yesterday at futures settle (USM5 110-25s) the yield was 5.087%. An upside breakout could easily target 5.5 or higher. Concerns about the […]
A few option plays. Israel set to attack Iran?
May 21, 2025 ************** –The Philly Fed Services survey showed no bounce, coming in at -41.9 from -42.7 (Near covid lows). The last couple of days there’s been pressure on SFRZ5/Z6 1-yr calendar thru options, and yesterday it was similar, but thru calls. Z5/Z6 settled -47.0 (9619.5/9666.5), a new recent low. SFRU5/U6 is -73.0 so […]
US long rates stabilize, Japan’s surge
May 20, 2025**************–US 30y bond yield popped over 5.03% in a reaction to Moody’s downgrade, but it didn’t stay there long, ending at 4.935% at futures settle (USM5 112-25s). This morning the financial press has jumped all over the surge in Japan’s long end. 10y JGB is up only 1.4 bps to 1.49%, but 20, […]
Linda
May 18, 2025 – Weekly comment*********************************** This is a slightly paraphrased excerpt from the Michael Lewis book, The Undoing Project: The researchers, Amos Tversky and Daniel Kahneman posed this storyline: Linda is 31 years old, single, outspoken and very bright. She majored in philosophy. As a student, she was deeply concerned with issues of discrimination […]
30y yield tests 5%, but falls from there
May 16, 2025************** –Nice bounce in rate futures as Retail Sales were soft and PPI lower than expected. Sales at sporting goods and hobby shops fell 2.5% (headline retail sales +0.1%). Ten year yield fell 7.3 bps to 4.453% while the 5y led, falling 8.8 to 4.071%. On the SOFR strip, the peak contract is […]
Plenty to talk about…
May 15, 2025************** –CLM5 (wti crude) down 2.49 at 60.66 this morning as Trump says close to deal with Iran. Stocks also pulling back. –News today includes Retail Sales expected 0.0 m/m and +0.3 ex-auto and gas. WMT earnings. PPI expected +0.2. Yoy 2.5% from 2.7 and Core 3.1% vs 3.3 last. Powell at 8:40 […]
Rates push higher
May 14, 2025*************** –Rates continued to push higher, even as CPI data was better than expected at 0.2% on the month and 2.3% yoy. If using CPI, then FF can be considered restrictive, as the spread is now 200 bps (EFFR 4.33%). Front end SOFR contracts weakest with SFRU5 down 3.5 to 9593.0. On May […]
Fed slipping into the background
May 13, 2025************** –Weekend US/China tariff progress sent rate futures hurtling lower. Red SOFR pack (SFRM6, U6, Z6, H7) down nearly 17 bps to an avg price of 96.54625, around 3.5%. Green pack -14.375, blue pack -11.125. The two year treasury yield at futures settlement was exactly 4.00%, up 11.9 bps. Ten year yield rose […]
US/China tariff progess leads to possible trend reversals
May 12, 2025**************–Agreement between US and China to slash tariffs for 90 days has stocks jumping, dollar firming, gold getting pounded. The attached chart (doesn’t include today) shows strong related trends since January: curve (red/gold sofr spread) steepening, gold running higher, dollar weakening (DXY inverted on chart). Do those trends now have a chance to […]
Digital Fossils
May 11, 2025 – Weekly comment***********************************The things that pass for knowledge I can’t understand -Steely Dan – Reeling in the years If Fed Chairman Powell doesn’t have a handle on how things are going to play out, then I certainly don’t have any insight. Here’s where it seems like we’re heading: Earlier this year, scientists […]
