Archive for the ‘Eurodollar Options’ Category
Large Amount of Capital Vanished
September 4, 2024******************** –Treasuries bid on weakness in equities. SPX down 2.12%, Nasdaq Comp -3.26% and NVDA -9.5%. Crude oil (CLV4) plunged 3.21 to 70.34, and as of this note is sub-70 at 69.93. I’d wager that if we get a few more days like this in stocks, the Fed will cut 50, but for […]
TYZ call buying
September 3, 2024******************** –Friday featured higher yields, with 10s up 4.4 bps to 3.909% and 30s up 4.6 bps to 4.196%. 2/10 spread once again threatening to go positive, ending at -1.4 bps. On 7-Aug this spread reached -2.5 bps; these are the highest levels since July 2022. For now, it can be considered a […]
Treasury yields since the start of 2024
September 3, 2024********************Treasury yields since the start of 2024Sept 3, 2024 ************ At the QRA in October 2023, Yellen loaded issuance with t-bills rather than coupons. Along with other factors, the result was a huge decline in yields into the end of December, accentuated by Powell’s dovish pivot at the December FOMC. As the charts […]
SOFR OPEN INTEREST IS RELATIVELY LOW
September 2, 2024********************Anyone have a good reason for this??Sept 2, 2024 In 2018 the Fed was gently hiking rates. Peak FF level was 2.25 to 2.5%. At the time, PEAK OPEN INTEREST in eurodollar futures (aggregate) reached over 18 million as the chart below shows. (blue line is aggregate open interest. ED1 is rolling first quarterly […]
Nominal might be more real than Real
September 1, 2024******************** On Saturday I created the following two charts, covering two different time periods (pre- and post-covid). On the top panel of each are the Midpoint of the FF target range (blue), Real GDP (amber) and yoy PCE price changes (green). On the bottom panel is the yoy change in nominal GDP. I […]
Roll Calls
August 30, 2024*****************–Yields rose as Q2 second estimate GDP proved stronger than expected at 3.0%. Weakest contracts on the SOFR strip were Z4 and H5, both down 3 on the day (9576 and 9627.5). Deferred contracts -2 to -2.5. The lean for a 25 bp cut rather than 50 at the Sept 18 FOMC increased, […]
NVDA approximately priced “right”?
August 29, 2024***************** –Stock futures sold off going into NVDA earnings, and fell further post-call, but are higher this morning. SMCI was down over 25% yesterday, though it rallied back with a loss of only 19% at 443.49. In March this stock traded over 1200, yesterday the low was just under 400, a drop of 2/3rds. […]
Quart of Blood
August 28, 2024***************** –SFRU4 settled 9509.5 as the market modestly adjusted odds on easing. The lean is still for 25 rather than 50 at the Sept meeting, but it’s a pretty small bias. SFRU4/U5 settled at a new low -170 (9509.5/9679.5). –The morning featured large TY call buys:+50k TY wk1 114c cov 11330, with 49d, […]
Time to buy an RV? Or Rolex
August 27, 2024*****************–Last week PDD (parent of Temu) traded 150. Today, after warning on revenue, it’s 100. A BBG headline says this: crash “…Sends a warning on Chinese Economy” but it’s likely more than just China. Nasdaq Comp down 0.85%… NVDA reports Wednesday. Vast amounts of capital can appear or evaporate very quickly in this […]
Could NVDA earnings be the deciding factor for 25 or 50?
August 26, 2024*****************–Powell said “the time has come for policy to adjust”. That was last week’s story. This week the focus will be on NVDA earnings on Wednesday, or at least that’s what I am led to believe by scanning financial sites this morning. Dan Ives of Wedbush says NVDA earnings make this the most important […]
