Archive for the ‘Eurodollar Options’ Category
Risks from many directions
September 29, 2024 -weekly comment********************** Little net change in US markets last week, even as huge events shook various parts of the globe. The US 10y yield rose just 3 bps to 3.751%. The 30y was up 3.2 to 4.099%. SPX +0.6% to 5738.17. On the financial scoreboard, China’s stimulus package sparked a big rally […]
In: Eurodollar Options
Selling pressure on front end
September 27, 2024*********************–Main feature yesterday was weakness in front end. Almost like a delayed reaction to Wednesday’s large block sale of 118k SFRZ4 at 9606.5; on Wed SFRZ4 settled 9606, but yesterday it dropped 5.5 to close at 9600.5. Vol was bid. Changes from Wednesday to Thursday: SFRZ4 9606.25^ 28.75 to 31.25. SFRZ4 9600^ 28.5 […]
In: Eurodollar Options
Full Steam Ahead
September 26, 2024*********************–There was a BLOCK seller of 118k SFRZ4 at 9606.5 yesterday, but the contract held (had been trading slightly higher at time of block post) and settled 9606. On huge volume of 650k in Z4, open interest was up 15.6k. Perhaps the guy was long 60k and doubled up to now get short. […]
In: Eurodollar Options
Curve steepening, but it’s already been a big run
September 25, 2024*********************–New high settle 9607.5 in SFRZ4. Curve trades made new highs, 2/10 up to 19 (3.546, -2.6 bps and 3.736, -0.2 bp). 5/30 up to 61, also a new high. Slight new high in 10y breakeven at 218 bps. On the SOFR strip, Z4 +3.0 at 9607.5, Z5 +3.5 at 9714 (peak contract), […]
In: Eurodollar Options
China Stimulus
Sept 24, 2024**************–Curve steepening as the market continues to expect front-loaded easing. Look at this for example: Oct/Feb Fed Fund spread, FFV4/G5 captures 3 FOMCs, Nov 7, Dec 18, Jan 29. It settled yesterday at -110, 9517.5 and 9627.5. Then look at FFG5 to FFG6… that one-year spread is only -91. In other words, the […]
In: Eurodollar Options
A little TOO smart
September 23, 2024*********************–Friday featured continued strength in front-end contracts with SFRZ4 at a new high settle 9603.5. (86 bps premium to the new EFFR of 4.83%) Peak contract on the SOFR curve has moved forward to SFRZ5 at 9710.5; Z4/Z5 spread settled -107. There was a late block buy of 10k SFRZ4 9600/9575p 1×2 for […]
In: Eurodollar Options
Heading into (for a) Fall
September 20, 2024*********************–Autumn solstice September 22. –Fed’s SEP on Wednesday had 4.4% as their end-of-year FF projection for 2024. So someone bought 70k SFRX4 9562.5/9550ps for 0.5, probably in the belief that the Fed’s target has merit. You know when the Fed is REALLY good with their year-end projection? At the December FOMC, that’s when. […]
In: Eurodollar Options
Risk Management?
September 19, 2024*********************–Regarding my comment yesterday “Post-election comes with heaps of uncertainty and the Fed addresses uncertainty with liquidity” a friend responds with, “I know. I am taking extra time at the gun range.” INSURANCE. You buy it before you need it. Not when the hurricane hits. –Powell says the economy is in a good […]
In: Eurodollar Options
They don’t review it in the booth
Sept 18, 2024*************** –It’s 25 or 50. Just like the election, about half the trading population is going to be very angry. We’ll get some whiners. FFV4 settled 9508. If only 25, it still will probably hold 9493-93.5 instead of pegging 9492. The upside will exactly target 9517, and I wouldn’t be surprised to see […]
In: Eurodollar Options
One day til FOMC announcement
Sept 17, 2024**************–As Sept SOFR options have expired, I consider SFRZ4 to be ‘front month’. That is now the lowest quarterly at 9600 or 4%. The peak contract on the SOFR strip has been moving forward and is now SFRH6 at 9719.5. It’s now the 6th quarterly contract; it was the 7th quarterly last week. […]
In: Eurodollar Options
