Archive for the ‘Eurodollar Options’ Category
CPI might be lower, but inflation expectations edging up
October 10, 2024******************–CPI today expected 0.1 with Core 0.2. On yoy basis, 2.3 expected from 2.5 last with Core 3.2, same as last.I would note that the ten-yr breakeven (treasury – tip) rose to 229.5. Exactly one month ago on 10-Sept it hit the cycle low at 202.8. Those that believe the Fed made an […]
Calm before the storm
October 9, 2024*****************–Little change in rates Tuesday as selling pressure related to NFP abated. SFRH5 settled 9609, +3.0, the strongest contract on the strip. Every contract on the SOFR strip from SFRZ5 to SFRZ7 is between 9660 and 9666. In fact, Z5 is 9660 and Z7 is 9661, a spread of just -1. On June […]
NFIB uncertainty index at new high
October 8, 2024******************–Follow-thru front end selling and continued flattening. On the SOFR strip, reds -8.5, greens -5.375, blues -3.625 and golds -3.125. On Oct 1, SFRZ5 settled 9705, yesterday it was -9 at 9557.5, down nearly 50 in four sessions. For comparison, over the same time period, SFRZ7 fell just 30, from 9691.5 to 9662. […]
Eases dialed down to quarter point increments
October 7, 2024******************–On September 24, FFG5 settled 9631 or 3.69%, 114 bps below the current Fed Effective rate of 4.83%. This contract captures the next three FOMC meetings. On the attached chart, I’ve marked eases in terms of 25 bp increments. Obviously, with the contract having settled -20 on Friday at 9592.5, one ease came […]
Puke
October 6, 2024 – weekly comment*****************Friday’s payroll report showed a surge of 254k vs expected 150k, and the unemployment rate fell back to 4.1% from 4.2%. Rate futures plummeted. Curve flattened. Some are now saying that September’s 50 bp cut by the Fed was a policy error. Below is a table of selected futures prices, […]
Payrolls
October 4, 2024*****************–Service ISM stronger than expected at 54.9 versus 51.5 last. Yields rose, with rate contracts closing at new lows, wiping out all gains made since the last employment report. For example, SFRH6, the peak SOFR contract, settled 9696, the first settlement below 9700 since 3-Sept. The high settle was 9723, a couple of […]
It’s a league game Smokey
October 3, 2024*****************–Given all the other things going on in the world, I hadn’t thought much weight would be placed on tomorrow’s payroll data. The Boeing strike and longshoreman strike and effects of Helene will probably make this data volatile over the next few months. However, they were happy to use stronger than expected ADP […]
Strikes and strikes
October 2, 2024******************–Background: Israel weathers strikes by Iran. Massive damage from Helene. Longshoremen strike; they’re against automation. Right. Let’s bring back all futures pits…my trading jacket is still hanging in the closet, ready for action. –At one point ESZ4 was down 80 before coming back to settle -54.5 at 5759.75, down around 1%. In some […]
Recalibration
October 1, 2024*****************–Powell’s speech was succinct. Here’s all you need:That decision [50 bps] reflects our growing confidence that, with an appropriate recalibration of our policy stance, strength in the labor market can be maintained in an environment of moderate economic growth and inflation moving sustainably down to our objective. Looking forward, if the economy evolves […]
Bowman and Powell today
September 30, 2024**********************–Bowman, the lone dissenter at the FOMC, who preferred a cut of only 25, speaks this morning at 8:50 EST. Powell later this afternoon at 1;55, both speaking on economic conditions. This morning also features Chicago PMI, expected 46.0 vs 46.1 last, and Dallas Fed Mfg expected -10.3 from -9.7. Quarterly Grain report […]
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