Archive for the ‘Eurodollar Options’ Category
Back to ‘normal’
August 9, 2024**************** –Rate futures declined as the most aggressive easing projections continued to be pared back. October FF settled 9507, -4.5, fully 25 bps off of Monday’s panic high 9532.5. This contract directly prices the Sept FOMC, a price of 9492 represents a cut of 25 and 9517 a cut of 50, so we’re […]
Debt Sustainability
August 8, 2024**************** –Uninspiring 10y auction yesterday, which resulted in a three bp tail; yield at cut-off was 3.93% and actual auction was 3.96%. As suggested yesterday, demand might not be as hearty at these (relatively) low yield levels. At the margin, buying predicated on funding in yen has likely evaporated. (JPM says 75% of […]
Reassessing blah-blah-blah
August 7, 2024**************** –(RTRS) “The Bank of Japan’s influential deputy governor said on Wednesday the central bank will not hike interest rates when markets are unstable, playing down the chance of a near-term hike in borrowing costs.” Seems to have broken the fever of the yen-carry panic. $/yen back above 147. Nikkei recovering as well, […]
Early morning panic abates as the day progresses
August 6, 2024****************–Interesting clip of Peter Lynch, star manager of Fidelity’s Magellan, “…in 93 years there have been 50 declines of 10% or more, about once every two years.” Yesterday at the low the SPX was down 9.7% from the recent high. On the day SPX fell 3.0%. –After an early morning surge higher in […]
Risk Management
August 4, 2024 – Weekly comment************************************ My only real run-in with the risk management department was a long time ago at Refco, and it wasn’t really the risk department, it was the boss of that department, who simply said, “If you’re late on a margin payment ever again, you’re fired.” In those days they weren’t […]
Then suddenly
August 2, 2024****************–Monster day yesterday, as ten year yield plunged 13 bps to 3.975%, first time under 4% since the beginning of February. ISM Mfg quite weak at 46.8, with the employment component at just 43.4. Jobless Claims 249k, appears to be trending decisively higher. Near SOFR calendars made new lows while reds to more […]
Fed’s easing in Sept. We KNEW that already
August 1, 2024******************–The financial press has sniffed out a scoop this morning: THE FED MAY EASE IN SEPTEMBER. –October Fed Funds appropriately reflect the market’s odds of an ease at the Sept 18 FOMC. Currently, the EFFR (which FF contracts settle to) is 5.33%. An ease would put EFFR at 5.08% or 9492.0 in price. […]
BOJ hikes. FOMC today
July 31, 2024************* –FOMC today. While no move is expected until Sept, attached chart of SFRU4/SFRH5 six-month calendar made a new low settle of -81. SFRU4/U5 new low settle -131.5. So forward easing expectations are strengthening. Sept FOMC is on the 18th. –Treasury releases composition of auction issuance today. Yields eased yesterday, with tens -3.5 […]
I’ve heard of Multi “Grain”…
July 30, 2024************** –Treasury borrowing estimate for July-Sept was cut to $740 billion from an original estimate of $847b. Little reaction in treasuries… slight bid. Same with stocks but they eased back into the close. Ten year yield fell 2.2 to 4.176%. –MSFT earnings this afternoon, AMD as well. META on Wednesday. AMZN and NVDA […]
Questionable Rotation Advisory (QRA)
July 29, 2024*************–Yields fell on Friday, with the 5y leading, down over 6 bps to 4.08%. This morning 2 and 5 yrs are at new low yields for the move. Twos are just under 4.37% having been over 5.03 at the time of the last Treasury Quarterly Refunding announcement. The low yield this year was […]
