Archive for the ‘Eurodollar Options’ Category
Echoes of 2007
July 28, 2024 – weekly comment***************Is the SOFR futures curve correctly forecasting the Fed’s easing schedule? My answer is that it provides clues, but the main takeaway is only that we’re getting closer to rate cuts, and the inversion in the near one-year calendar, SFRU4/SFRU5, at a level of -128 bps, near a new low, […]
Focus on prices, but that’s no longer the main driver
July 26, 2024************** –News today includes the Fed’s preferred inflation gauge, PCE prices. Expected 0.1 from 0.0 month/month and 2.4 from 2.6 yoy. Core 0.2 from 0.1 with yoy 2.5 from 2.6. Note, yesterday’s Core PCE QoQ was higher than expected at 2.9%. Olympics begin. Trump speaking at Bitcoin conference in Nashville tomorrow. FOMC Wednesday. […]
I changed my mind
July 25, 2024************* –Weakness in equities failed to spark much of a flight-to-quality in rate futures. DJIA -1.25%, SPX -2.3% and NasdaqComp -3.5% but the ten year yield actually rose 4.8 bps to 4.288%. Front SOFR contracts moved higher but there was little sense of panic and no evidence of a ‘reach’ for otm calls. […]
Exit Doors
July 24, 2024************** –Solid 2y auction at 4.434, 2.81 bid/cover. Philly Fed Services at -19.1 were at the very low end of the range for the past four years. –Yields fell slightly. Tens down 2 bps to 4.24%. Five-yr auction today. Other news includes S&P PMIs and New Home Sales. –Stocks starting the day on […]
TU (2yr) calls for earthquake insurance
July 23, 2024************** –Quiet Monday. Early weakness in curve and treasury futures abated. Tens closed up 2.1 at 4.26% while twos were up 1.6 to 4.521% (new twos being auctioned today). Though some had considered next week’s FOMC to be in play for a longshot ease, near contracts closed a couple of bps lower. SFRU4 […]
Bulletproof
July 22, 2024***************–I thought it would be an open Democratic convention when Biden dropped, but the media now claims that all big donors are solidly behind Harris, even though the same media said large donors were left exasperated after a strategy call on Friday. Some of the headlines: NBC News: ‘Ludicrous’: Donors leave call with Kamala […]
I’ll get you back next week
July 21, 2024 – Weekly comment********************************** This is Popeye’s friend Wimpy. Favorite saying: “I will gladly pay you Tuesday for a hamburger today!” A friend (thanks TMS) mentioned that the recent Elliott Wave Theorist had a section on dividend recapitalizations, which cited a Bloomberg article from June 17: Private Equity Won’t Stop Gorging on Debt […]
Oh, we got both kinds, country AND western
July 19, 2024************** I don’t like country music, but I don’t mean to denigrate those who do. And for the people who like country music, denigrate means ‘put down’. -Bob Newhart, passed at age 94 –Treasury yields rose despite a continued pullback in stocks. Tens up 4.6 bps to 4.188%. SPX down 44 or 0.8%. […]
It’s About Jobs
July 18, 2024************** –Rates eased a bit in a quiet session, with tens -2.5 bps to 4.142%. SPX fell 1.4% and NazComp fell twice as much, -2.77%. Waller spoke yesterday; he’s an important voice on the Fed, and while speeches earlier in the year were ‘What’s the Rush’ and ‘There’s Still No Rush’, this one […]
SPX priced in Gold. Waller today.
July 17, 2024************* –Retail Sales stronger than expected yesterday, though in real terms, still weak. After fairly aggressive steepening from mid-June to Monday, the curve retraced, with 2’s down only 1.1 bp to 4.442% and tens down 6.2 to 4.167%. Both SPX and Gold made new highs, but as the attached chart shows, SPX priced […]
