Archive for the ‘Eurodollar Options’ Category
Yields powering higher
October 22, 2024****************** –Yields are climbing. Yesterday 10’s rose 10.9 bps to 4.182%. I had mentioned the midway point of this year’s range in the 30y bond, from the April high of 4.81% to the Sept low of 3.93%. That level is 4.37% and the market had bounced around that area for a few days. […]
Gold bugs
Oct 21, 2024************* –Rate futures were little changed last week. 2s, 5s, 10s and 30s were within 1.5 bps of the previous Friday’s close (at futures settlement time). On Friday, the 10y yield was -2.2 at 4.073 and the 30y was 4.38, down 1.3 bps. However, this morning, after having settled 120-08 on Friday, USZ […]
Which Consumer
October 20, 2024- Weekly Comment*************************************** Does this make sense? I set the time period as the last twenty years, from 2004 to 2024. Covers the mortgage bubble, zirp, QE, covid, etc. In Q2 2004 Household Assets were $64.9T and Liabilities $10.5T. Currently, Q2 2024, Assets (green) are 185 and Liabilities (red) are 20.7. So assets […]
Bonds. Monday’s weakness wasn’t an aberration
October 18, 2024****************** –Housing Starts today. Waller speaks at 12:10 on Decentralized Finance. Kashkari at 10:00. Some have said that Kashkari’s recent remarks are concerned with excessive bond market (funding) volatility, so worth noting. –Data stronger than expected yesterday with Retail Sales +0.4, Philly Fed 10.3 from 1.7 last and Jobless Claims 241k from 260. […]
Changes
October 17, 2024 ******************–Retail Sales today expected 0.3 from 0.1, ex-auto and gas +0.3 from 0.2. Jobless Claims 260k, Ind Production -0.1 from +0.8. Philly Fed 3.0 from 1.7. –As attached chart shows, new recent low yesterday in SFRH5/H6 at -61.5 (9608.5/9670). SFRU4/U5 is -134 (U4 continues to trade) and Z4/Z5 is -99 (9655.5/9665.5) so […]
Round trips
October 16, 2024*******************–The Columbus round-trip: On Monday ESZ4 sailed, with a range of 5850.0 to 5918.50, settling 5908.25, +48.50. Tuesday’s range was almost exactly the same in reverse, testing the high early at 5915.50, with a low of 5850.0 and settle of 5962.75, -45.50. Weakness in semis was sparked by a 4-letter stock ASML, on […]
Waller’s gone soft
October 15, 2024******************–Waller’s speech yesterday pretty much describes no landing or a soft landing. Job market coming into better balance. Wage growth decent. but perhaps not inflationary with productivity growth as an offset. Summary: With the labor market in rough balance, employment near its maximum level, and inflation generally running close to our target over […]
Just add that interest payment to principal. We good with that?
October 14, 2024******************–Yields eased Friday led by front end. 2y down 5 to 3.94. 10y down 2.3 to 4.07 and 30s down just 1.2 to 4.38 as sentiment shifts on the long-end. Similar with SOFR curve: reds +6.75, greens +4.5, blues +2.375 and golds only +1.5. I marked 10 year breakeven at 233.3 bps, a […]
Really Awesome
October 13, 2024 -Weekly comment************************************** One of Bloomberg’s top headlines on its website Sunday is:Retail Traders Embrace Market Turbulence With Bets on Volatility Here’s a quote: “We’re starting to get into unprecedented territory here,” says Akshay Aravindan, a 25-year-old software engineer at Microsoft who trades early in the morning before work starts. “This market is […]
Closing out the week
October 11, 2024*******************–You’re not going to find this interesting, but I’m throwing it out there anyway. On Wednesday, SFRZ5 settled 9655. The October midcurve 9556.25^ settled 15.25 with two days to go (expires today). Pumped up, because of Milton and the CPI data, both of which came and went by yesterday afternoon. SFRZ5 settled up […]
