Archive for the ‘Eurodollar Options’ Category
Water water everywhere, Nor any drop to drink
May 24, 2026 – weekly comment*************************** I cry water, water, waterThe truth to shame the liar – Eric Burdon, Water In March of 2000, the based-on-a-true-story movie Erin Brockovich was released. Julia Roberts famously played the lead role. Erin was an unemployed mother of three. She was injured in a car crash and filed a […]
Inflation driven by oil, oil driven by Hormuz and Uranium
May 22, 2026*********** –Rates were higher at the short end yesterday, with 2s up 4.7 bps to 4.085% and 30y essentially unch’d at 5.11. On the SOFR strip, reds (2nd year) were -4.75 to 9604.75, greens -2.375, 9608.625, and blues -1.125, 9601.375. As mentioned previously, all clustered just below 4%. The SOFR setting for May […]
What were you thinking?
May 21, 2026*************–Spirited bounce in US rate futures yesterday as crude oil reversed off the highs on another promise of ‘getting close’ on Iran peace plan. CLN6 settled 98.26 from Tuesday’s 104.15. US ten year yield fell 9.7 bps to 4.57%. FV led, down 10.3 bps to 4.223%. SFRM7, the lowest contract on SOFR strip, […]
Yield notes
May 20, 2026************** –New highs in yields. SFRM7 9593.0, -4.5 to new low, it’s the lowest contract on the SOFR strip, 4.07%. The 2y note closed 4.122%, high since Feb 2025. Tens ended at 4.667%, up 6.4 bps yesterday and up 40 bps in the past month. SOFR contracts from reds thru blues (2nd, 3rd and […]
Rate futures trying to stabilize
May 19, 2026**************–SOFR contracts pressed lower Monday. The nadir on the strip is SFRM7 which settled at a new low 9597.5, -1.5, just above 4%. 2y note was essentially unch’d at 4.08% while tens were up 1 bp to 4.604. A late announcement by Trump that he was postponing an attack on Iran hit oil […]
A few clips
May 18, 2026*****************Just a couple of clips today Ken Griffin went home on a Friday “fairly depressed” after watching AI agents at Citadel do work that used to take teams of PhDs in finance months to complete. Done in days. I attended the University of Arizona commencement ceremony, where Eric Schmidt @ericschmidt faced boos throughout his speech. […]
Higher Rates
May 13, 2026************** –I am away from the desk the rest of the week. –CPI for April was unsurprisingly higher than expected yoy 3.8 vs 3.7 exp and Core 2.8 vs 2.7. A year ago in April WTI crude was around $65. Now 102. –In part due to data, and in part due to negative […]
UNDERSTANDING HIGH FINANCE
May 12, 2026***************I was searching for this parable and finally found it…so now going out as additional missive (I thought it related well to Ares’ PIK ‘investment income’) I don’t know who to credit as original author, from 2015 ‘Mary is the proprietor of a bar in Dublin. She realizes that virtually all of her […]
On Life Support
May 12, 2026**************–There’s a lot of news this morning but I think this BBG article might be the most important: “A top South Korean policymaker said the nation should pay citizens a “dividend” using taxes on AI profits, underscoring growing pressure to redistribute gains from a boom that’s enriched chipmakers…” KOSPI index was 5000 at […]
Local real estate
May 11, 2026**************’ –From the latest Doomberg, just prior to this week’s Trump/Xi meeting: Ultimately, the sanctions weapon is an elaborate confidence game. Global players need to be held to account if they run afoul of sanctions, but if everybody runs afoul of it all at once, a run on the bank of US financial […]
