Archive for the ‘Eurodollar Options’ Category
Ending the week with long bond pushing towards 5% (4.85 now)
May 9, 2025************* -Rate futures hammered yesterday, with reds leading on SOFR strip, -16.0. SFRU6 settled 9672.5, down from 9706.0 one week earlier Wednesday (just before payrolls). In treasuries, the 5y was weakest, with the yield +12.3 bps to 3.993%. Tens rose 10 bps to 4.371%. –So in six trading sessions SFRM6 fell 36.5 (9702.5 […]
Powell uncertain but rate vol drops and stocks pop
May 8, 2025*************–The theme of the FOMC press conference was uncertainty. The former thinking was that if the Fed waited too long to move, they’d be too late, behind the curve. Now the dependency is on actual hard data, not surveys or sentiment. Powell: “…well positioned to wait” “…no real cost to our waiting.” –The […]
Spite
May 7, 2025*************–The big news is a meeting between US and China trade delegations (announced post settles). Obviously the abrupt jolt to trade terms has hurt both countries. However, China has advised the population to make shared sacrifice. The US hasn’t. I wouldn’t be looking for any quick resolutions. –PBOC cut the 7-day reverse repo […]
Ease kicked down the road
May 6, 2025************* –Front end SOFR contracts still adjusting to the idea of eases being pushed further forward. SFRM5 settled 9578 down 2 on the day and U5 settled 9612, down 3.5. SFRM5/U calendar, which was as inverted as much as -45 on Wed, April 30, just before NFP (9691.5/9636.5) settled yesterday at -34 (9578/9612). […]
Yields rise on stronger than expected NFP
May 5, 2025*************–Yields jumped Friday on stronger than expected payrolls of 177k (167k private). Unemp rate still 4.2%, Tens up nearly 10 bps to 4.322% with the yield seemingly gravitating to the same level as the current Fed Effective Rate of 4.33%. Shorter end led the way with 2s up 14 bps to 3.838%. On […]
A few pricing notes
May 4, 2025 – weekly comment********************************* The week ended with NFP printing +177k, alleviating economic fears and pushing easing prospects further into the future. PCE price data, which was released Wednesday, showed 0% month/month, with yoy at +2.3% and Core +2.6%, nearing the Fed’s target. PCE prices yoy have been between 2.8% and 2.1% since […]
Payroll Friday!
May 2, 2025*************–Payrolls today expected +135 to +140k. Unemployment rate expected 4.2% which has been the high of the cycle so far. Two years ago in April 2023 we hit the low of 3.4%. (We’ll be expecting to see interviews with Claudia Sahm this coming week, known for the Sahm recession rule). –A strong open in […]
It looks bad, but we don’t have hard evidence
April 30, 2025***************— Soft data is Joe Biden wandering around aimlessly on stage, hard data is Morning Joe Scarborough saying he’s as sharp as a tack. –Perhaps it’s a tasteless analogy, but I think that’s what we’re seeing with soft economic surveys: unassailable evidence of decline. Yesterday it was Consumer Confidence, which plunged to 86.0 vs […]
Forward yields dropping
April 29, 2025***************–Steeper curve with 2s dropping 7.7 bps to 3.685%, fully 5/8% lower than the current EFFR. Tens only down 4.6 to 4.22%; 2/10 at 53.5. The strongest SOFR contract is also the peak contract, SFRU6 now at 9698.5, just over 3%. Near SOFR one-year calendars made new lows, with U5/U6 down 8 to […]
Slow start to the week
April 28, 2025*************** –Treasuries ended the week at the highs, with cash 10s down 3.7 bps on Friday to 4.266%. From Feb 25 to March 27, TYM5 settlements were between 110-135 and 111-105. Then we had early April turbulence, and since April 14 the settlement range has been 110-245 to Friday’s high 111-165. Outside of […]
