Archive for the ‘Eurodollar Options’ Category
Let’s Get Moving!
August 25, 2024 – Weekly Comment************************************** In the image below, that first guy, the one with the white hard-hat and the clipboard? That’s the interest rate futures market. The second guy that’s tagging along? That’s Powell. The pile of rocks is job losses and slowing growth, with the consumer getting buried. First guy: “Look Jay, […]
Powell at Jackson Hole
August 23, 2024******************* –Yields rose with tens up 8.4 bps to 3.86%. In yesterday’s note, I mentioned that SFRH5 and M5 were the stars, both rallying 10 bps on Wednesday. Those moves were reversed yesterday: H5 fell 10.5 to 9620.5 and M5 -11 at 9650. Positioning is predicated on Powell’s Jackson Hole comments, which occur […]
Just call…but ask POLITELY
August 22, 2024*****************–Yields continued to drop with tens down 4.2 bps to 3.776%. Curve steepened, with twos down 7.6 bps to 3.92%. On the SOFR strip SFRH5 and M5 were the stars, both closing +10 (9631 and 9661). Again, just looking at M5 yield, it’s 3.39% – nearly 200 bps lower than the current midpoint […]
Official recognition of weaker labor conditions
August 21, 2024********************–Yields dropped Tuesday as Philly Fed Services fell to the lowest level since 2020 at -25.1. Tens down 4.7 bps to 3.818%. On the SOFR curve, June and Sept’25 were leaders, settling +8 (9651 and 9669). Today’s news includes BLS benchmark nonfarm payroll revisions. Estimates range from a downward revision of 400k to […]
The whole yen, recession, emergency ease thing was just… nevermind
August 16, 2024***************** –Retail sales expected +0.4 and actual +1.0%, enough to send SOFR contracts hurtling lower from precarious highs. Leader was SFRM5 which ended -20.5 at 9639.5; I had highlighted the settlement of 9661 the other day as being around 200 under the current FF target midpoint. The two-year yield jumped 15 to 4.097% […]
What the hell is the world gonna look like post-election?
August 15, 2024*****************–Pressure on near contracts and on implied vol in rate futures as CPI printed as expected: 0.2% m/m headline and core. SFRU4 was the weakest contract on the SOFR strip, settling 9511.0, down 4.5 on the day. The high tick on August 5 was 9547.5 with a settle of 9528.5. Was it Roaring […]
Screaming recession
August 14, 2024***************** –CPI today expected 0.2 with Core also +0.2 m/m. On a yoy basis, expected 3.0 from 3.0 with Core 3.2% from 3.3%. Lower than expected prints in yesterday’s PPI, yoy 2.2% and Core 2.3%, helped spark a rally in rate futures. SFRH5 and M5 led the charge, settling +10 at 9630.5 and […]
And then, depression set in
August 13, 2024******************–PPI today expected 0.2 for both headline and core. Yields fell yesterday with 10s down 3.5 bps to 3.907%. Probably should just ignore the interest rate arena and buy gold for the inevitable $100 run as soon as GCZ4 breaks through 2525. –From NY Fed’s Survey of Consumer Expectations: “Labor market expectations were […]
Lazy days of August
August 12, 2024***************** —Main Friday feature was curve flattening with 2s UP 1.3 bps to 4.053% and 10s DOWN 5.7 bps to 3.942%. 2/10 spread, which had nearly poked into positive territory, slipped back to -11. On the SOFR strip, Z4 was -1.5 at 9574, Z5 unch’d at 9673.0, Z6 +2.0 at 9680 and Z7 […]
It’s not just yen-carry. It’s lower employment and consumer spending.
August 11, 2024 – Weekly comment************************************** If it’s all about the yen-carry trade, then it’s instructive to look at $/yen chart. Because in order to unwind, it’s necessary to buy yen. A case can be made that the 10.8% move from 161.69 to Monday’s low of 144.18 was dramatic enough to have cleaned out the […]
