Archive for the ‘Eurodollar Options’ Category
Bonds and oil bid this morning
November 4, 2024*******************(As of 5:45am EST)–Rate futures closed out the week on the lows, though Friday’s rate moves have been completely erased this morning. Tens closed Friday +7.7 bps at 4.355%; now 4.29%. Red sofr contracts were -4 with SFRZ5 9630. At the end of September this contract settled 9700. SFRZ4/Z5 one-yr calendar settled at […]
Felection
November 3, 2024******************* It’s FOMC week and the election: Felection. Sound stupid? It’s supposed to. In the old days, there was no Fed statement. No press conference. There were legions of “Fed watchers” who interpreted policy moves. On the CBOT floor, “Fed time” was around 10:30 to 10:35. Repos or matched sales were big clues […]
Vol measures elevated pre-election
November 1, 2024******************* –Nonfarm Payrolls today expected 105k, though storms and strikes will make data less useful. In general, labor market indicators have been resilient. ISM Mfg expected 47.6 from 47.2. –Yields little changed yesterday, with 10s 4.278% up about half a bp. However, red sofr contracts were -2 and greens -2.5. While the increase […]
Down to the wire
October 31, 2024****************** –New highs in near sofr calendar spreads as the 2y area bore the brunt of selling. 2y yield +3.9 bps to 4.156. 10’s were unch’d at 4.272 and 30s -3.5 at 4.482. 5/30 treasury spread new low at 35 bps. SOFR spreads: SFRZ4/Z5 new high -73.5, up 5.5 on the day (9562/9635.5) […]
Yields on 2s and 5s nearly equal. 7y auction today
October 29, 2024******************–Yields rose further with relentless put buying on TY. 10y yield rose 4.6 bps to 4.276%. Curve had a slight flattening bias as 2’s and 5’s were auctioned (both tailed, 0.8 bp on 2y at 4.130% and 1.6 bp on 5y to 4.138%). New recent low on 5/30 spread at 42 (4.108/4.528). I’ve […]
Treasury yields higher as geopolitical events fail to awaken safety fears
October 28, 2024******************–As mentioned in weekend note, Friday started with a buy of 50k TY wk1 MONDAY (today expiry) 111.75 call for 3. Likely same player who had bought 50k 111.75 put which expired Friday 44/64s in-the-money, with a settle of 111-02 in TYZ4. Gains continue this morning with TY at a new low of […]
The Playbook
October 27, 2024****************** Friday began with a buyer of 50k TY wk1 MONDAY 111.75c for 3. These calls expire Monday, 28-Oct. [Symbol on BBG for Mon options is VBYA; VBYZ4 <commdty> OMON. On CME Daily Bulletin VYO] This was probably a hedge for an Israel response to Iran that could spin out of control. Note […]
The price is right. For today, anyway.
October 25, 2024******************–Yields eased a bit, with 10s down 4 bps to 4.20%. No particular meaning associated with that yield level, though everyone might want to take a toke over the next two weeks for medicinal purposes. November treasury options expire today. TYZ4 settled 111-09 and the X4 111.25^ settled 16/64. Not looking for much […]
Turnaround Thursday?
October 24, 2024******************–Yields pushed a bit higher, punctuated by an aggressive, end-of-day buyer of 30k USZ4 109p for 10, 11 and 12, (10k each). This 5 delta put was bought just after USZ4 settle at 118-01 with futures around 118-03/04; puts settled 9. 20y auction tailed by 1.7 coming in at 4.59%. Ten year yield […]
Moving on up
October 23, 2024*******************–Yields continue to push higher with tens +2.5 bps to 4.202%. Every yield now over 4%. Two and fives are just over 4%, tens 4.20% and thirties 4.5%. Ed Bolingbroke of BBG put out a piece yesterday titled, ‘Cost to Hedge Against Treasuries Losses Soars to Highest of 2024’. Attached I created a […]
