Archive for the ‘Eurodollar Options’ Category
Large SOFR call buys post-minutes
February 20, 2025*******************–Early part of the session was quiet, though Housing Starts lower than expected at 1366k (1390 exp and 1515 last). I didn’t expect anything from FOMC minutes, as Powell and other officials had already indicated that inflation concerns would keep the Fed on the sidelines for the near term. However, post-minutes there was […]
Rates Quiescent
February 19, 2025******************* –Yields rose yesterday with tens up 6.8 bps to 4.542%. Going into Friday’s March Treasury option expiration, I had thought TYH5 would gravitate to the 109 strike, but yesterday’s settle was a bit lower at 108-27. –Vol was again hit. Example: On Friday SFRH6 9600^ was 74.25. Yesterday, 72.0. It wasn’t all […]
Waller HODL
February 18. 2025******************* –From Waller’s speech yesterday:After two good months of inflation data for November and December, January once again disappointed and showed that progress on inflation remains uneven. I continue to believe that the current setting of monetary policy is restricting economic activity somewhat and putting downward pressure on inflation. If this winter-time lull […]
Manipulating long treasury yields lower wont necessarily boost the economy
February 16, 2025 – Weekly Comment ___________________________________________________________________ A friend sent me a link to the latest MacroVoices which this week featured Jim Bianco (thanks DDK). The beginning 5 minutes or so is Bianco’s excellent summation of a proposal that’s being called the Mar-a-Lago Accord. A rough outline is that Treasury would issue 100-year bonds that […]
In: Eurodollar Options
Bonds and Wheat
February 14, 2025**********************–PPI was also higher than expected, with yoy 3.5% vs 3.3 exp, but rather than extend the sell-off from Wednesday’s hot CPI, the market completely erased the move. On Tuesday, TYH5 settled 108-305. On Wed (CPI) 108-085. Yesterday, 108-31. Similar in SOFR, for example SFRH6 9601.5, 9591.0, 9598.5. Today’s news includes Retail Sales […]
Inflation… in WIG20
February 13, 2025******************* –CPI sent yields soaring, +0.5% m/m vs expected +0.3. Yoy was 3.0%. Recent peak was Sept 2023 at 3.7%. The yoy low was Sept 2024 at 2.4%. Ten year yield jumped 10 bps to 4.635%. On the SOFR strip, blues (4th year forward) were weakest, -14.5 on the day. Typically, reds (2nd […]
Inflation expectations have risen. What will CPI say.
February 12, 2025******************* –Not much reaction to Powell’s appearance. Yields ended higher on the day with tens up 4.2 bps to 4.535% in front of today’s CPI data and 10y auction. Three year auction was solid at 4.30%. Odds for an ease in March (and beyond) are being squeezed out. Current SOFRRATE is 4.35% or […]
Powell faces off with the Senate
February 11, 2025********************–Yields little changed yesterday with tens +1 bp at 4.493%. Interest rate premium hit across the board, with many SOFR straddles losing a couple of bps. For example, on Friday, SFRU5 9593.75^ settled 40.75. With the contract +0.5 to 9593.5, that straddle settled 39.25 yesterday. SFRZ5 9600^ went from 60.5 to 58.5 with […]
Peak Taylor
February 10, 2025******************* –Front end bore the brunt of selling pressure Friday. Payrolls were mixed with NFP 143k (175k exp) but previous revised up 51k to 307k. Avg Hourly Earnings jumped to 4.1% yoy vs expected 3.8. Unemployment rate fell to 4.0%. The big surprise was U of Mich 1-yr inflation expectations which surged to […]
Shorter runway to runoff
February 9, 2025***************** Futures Clearing and Execution/ amanzara@rjobrien.comTruckin’, like the doo-dah manOnce told me, “You got to play your hand”Sometimes the cards ain’t worth a dimeIf you don’t lay ’em down Truckin’ – Grateful Dead I always thought it was “…the cards ain’t worth a ‘damn’” not ‘dime’. Another one of my long-held beliefs, shattered. […]
