Archive for the ‘Eurodollar Options’ Category
In 2007 the first cut was 50 bps, on Sept 18…
September 16, 2024********************* –On Sept 18, 2007 the Fed initiated the first cut, from 5.25 to 4.75. SPX rallied, gaining about 6% from the Sept 17 close, to the high settle on 10/9 of 1565. That remained the high until 2013. (High print was 10/11/07). So 16 or 17 trading sessions after the first ease […]
In: Eurodollar Options
Strange
Sept 15, 2024 – Weekly Comment***********************************How many lives are living strange? – Oasis The US ran a $318 billion deficit. In August. Yuge. Gold settled at a new all-time high this week with GCZ4 2610.70 and spot 2577.50. In early 1979 gold was around 200. By September it got to a little over 400. Chopped […]
In: Eurodollar Options
An exciting Sept expiration!
September 13, 2024*********************You start a conversation, you can’t even finish itYou’re talking a lot, but you’re not saying anythingWhen I have nothing to say, my lips are sealedSay something once, why say it again? Psycho KillerQu’est-ce que c’est? -Talking Heads –Talking a lot but not saying anything. That’s the world we’re in. Post-Wednesday’s CPI the […]
In: Eurodollar Options
Are you sure?
September 12, 2024*********************–In the old days on the floor, when asking the pit for quotes by way of hand signals (and not realizing exactly where prices should be in active markets) there were times when quotes would be wrong. So, you might quote a call diagonal and get 4 bid/at 5 and it was really […]
In: Eurodollar Options
9/11
September 11, 2024*********************–The trading floor always respected the moment of silence on the anniversary of 9/11 –If the payroll data didn’t provide a clear-cut signal for 25 or 50, it’s quite unlikely that today’s CPI will. Expected 0.2% with Core also 0.2% on m/m basis. YOY 2.6 from 2.7 last with Core 3.2 from 3.2. […]
In: Eurodollar Options
Decades happen in weeks
September 10, 2024*********************–Yields little changed on a reactive flattening day after Friday’s steepener to new highs. 2/10 remains above 0 at 3.2, with 2s up 1.3 bps to 3.665% and 10s down 1.3 bps to 3.697%. A couple of large option plays capture the election: +50k SFRX4 9612.5/9625cs 2.5 to 2.75, settled 2.5 ref 9591.0 […]
In: Eurodollar Options
Pricing looks aggressive…for a reason?
Sept 8, 2024 – Weekly Comment(NOTE: the Sept 9 daily note is BELOW. Out of order on days)****************************************************************** Let’s start with October Fed Funds, the contract which most closely prices the September 18 FOMC. It settled 9499.5, down 2.5 on the day and unchanged on the week. Volume was a whopping 935k, but open interest […]
Ease now, ease (more) later
Sept 9, 2024**************–Though Friday’s employment data wasn’t soft enough to convince the market of a 50 bp cut at next week’s FOMC, deferred SOFR contracts made new highs. For the record, NFP was +142k and the Unemp Rate was 4.2%. Action was primarily in SOFR contracts; ten year yield fell only 1.5 bps to 3.71%. […]
Got a lot priced in
September 6, 2024********************–Big data today: NFP expected 165k vs last of 114k. Unemp rate expected 4.2 from 4.3. –October FF settled 9502, a slight bias for 25 bps at the Sept 18 meeting. SFRU4 settled 9512.25. High settle Aug 5 in FFV was 9517, exactly pricing a 50 bp cut. High settle in SFRU4 on […]
Pressing into NFP
September 5, 2024********************–Impressive strength in short-end rate contracts as JOLTs continues to make new lows. From a high in job openings of 12182k in March 2022, it’s now 7673k. For the sake of comparison, pre-covid high in late 2018 was 7594k. SFRM5 was the strongest contract on the strip, settling +16 at 9674.0. Highest settle […]
