Archive for the ‘Eurodollar Options’ Category
NFP Friday. ISM Mfg today. China 10’s below 2%
Dec 2, 2024************ –Quiet day on Friday with yields slightly lower. Tens ended at 4.192% down 5.4 bps, and TYH5 settled 111-06, adding to a recent bounce. Big news of the week is the Unemployment report, with NFP expected 195 to 200k. The press is running with a lead story of Biden pardoning Hunter as […]
Labor side of dual mandate this week
December 1, 2024 – Weekly comment**************************************** Yields plunged last week. I marked 5’s down 21.3 bps to 4.073%, 10s down 21.4 to 4.192% and 30s -21.6 to 4.378%. On the SOFR strip, every contract from SFRM6 to SFRM8 was up 21 to 21.5 bps. The prices: SFRM6= 9633.5 or 3.665% to a high on the […]
Bond differentials don’t matter, then they do
November 29, 2024********************* –Wednesday featured thin conditions. PCE prices exactly as expected with yoy 2.3% and Core 2.8%. Yields ended lower on the day, with tens down 5.8 bps to 4.246%. Ten year inflation-indexed note to treasury marked at a new recent low of 228 bps (exactly at yoy PCE). Treasury to tip spread this […]
Thanks
November 27, 2024********************* –Minor bounce back in curve. Yesterday I had noted re-inversion of 2/10 to just under zero, but using the new 2y note 2/10 is back to +4.8 bps (4.256/4.304) . Of course, just the one-month between 2y auctions is worth a couple of bps with the front end inverted as much as […]
Bonds surge
November 26, 2024********************* –Huge bond rally with 10s down 14 bps to 4.267%. 2/10 spread re-inverted, now just under zero, though yesterday’s 2y auction was stellar (wi ended 4.252). Back calendar spreads on the SOFR strip made new lows, for example, SFRM5/M6 fell 6.5 to -32.0 (9592.5, +5.5 and 9624.5, +12.0). The peak contract on […]
Relief Rally
November 25, 2024********************* –Bounce in treasuries and EUR being attributed to Bessent’s choice as Treasury Sec’y. Stock futures powering higher, precious metals under selling pressure. This shortened week features auctions of 2, 5 and 7 year notes, with 2’s today. Chgo Fed National Activity expected -0.15; Dallas Fed Mfg as well this morning. WTI slightly […]
Delusions
November 24, 2024 – Weekly Comment****************************************** It is astonishing what foolish things one can temporarily believe if one thinks too long alone, particularly in economics… The difficulty lies, not in the new ideas, but in escaping from the old ones, which ramify, for those brought up as most of us have been, into every corner […]
Taking my bitcoins and moving to Sardinia
November 21, 2024*********************–Note: Due to a glitch in the matrix, this note may come out sporadically, if at all, going forward. –Yields rose yesterday with tens +2.9 bps to 4.404%. On the SOFR strip, SFRZ5 was the weakest at -5.0 to a price of 9610.5 or 3.895%. Five yr yield was +3.2% 4.273%. SFRH5 settled […]
20y auction and NVDA post-close
November 20, 2024*********************–Early action was dominated by news of Putin updating Russia’s nuclear doctrine. Stocks lower, fixed income bid. Those moves sputtered; stocks ended positive and near SOFR contacts were slightly lower on the day while yields from 5 yrs out were lower by 3 to 4 bps. SFRZ5 to SFRZ8 were +2.5 to +3.5 […]
Doomsday clock is ticking
November 19, 2024 *********************–Stocks appear to be starting the session on their back foot (ESZ4 -30). Something about Putin updating Russia’s nuclear doctrine as Biden gave a green light for Ukraine to use western weapons on internal Russian targets. Sounds ominous, but prolly good for bitcoin…right? That’s where we are now… –Lina Khan closing out […]
