Archive for the ‘Eurodollar Options’ Category
Happy 4th!
July 3, 2024************ –Rates eased yesterday as Powell cited progress on inflation but dangled the carrot of confidence just a bit further forward. Almost a parallel shift…tens down 4.3 bps to 4.434%; on the sofr strip reds, greens, blues and golds +4 to +5.5. Slight new high in 5/30 just above +21 bps. –Buyer of […]
Then suddenly
July 2, 2024************* “How did you go bankrupt?”Two ways. Gradually, then suddenly.”–From Hemingway’s The Sun Also Rises The Hemingway quote is probably overused, but it naturally came to mind when reading Bill Dudley’s piece from last week (6/26): It’s impossible to know when investors will decide that such risks are too much to bear, as […]
Demanding a larger rate premium for long-term bonds
July 1, 2024************ –Friday’s late bond meltdown is seeing follow-through this morning with a print of 117-06 in USU4 (settled 118-10, late Friday low was 117-14). This, even as PCE prices showed no inflation month/month, with headline and core both 2.6% yoy. The 10 year breakeven (treasury/tip) has been steady at around 2.25% for the […]
It’s not panic if you’re first
June 30, 2024 – Weekly Comment*********************************** On Friday afternoon, bonds had a “Um… look. We finally beat Medicare” moment. Which is to say, crystallization that out-of-control government spending is not compatible with sub-4.5% bond yields. On Friday’s settlement the 30y was 4.50%; an hour later it was 4.56% as USU fell from 118-10s to 117-14. […]
You’re Fired!
June 28, 2024*************** –You’re Fired… I’m talking, of course, about Masato Kanda, Japan’s currency diplomat, who has presided over yen depreciation, with $/yen breaching 161 today. I only watched a couple of minutes of the US presidential debate, but got a sense of it from this morning’s headlines: Reuters: Biden’s Wobbly DebateBBG: Biden’s Disastrous DebateFT: […]
We need an intervention. On many levels
June 27, 2024*************** –Solid 5y auction but yields rose on the day, with tens +7.8 bps to 4.316%. New Home Sales were weak at just 619k, vs expected 640k. Today brings final Q1 GDP, expected 1.4, Durables -0.1, Jobless Claims 236k and the 7y auction. All capped by the spectacle of the only presidential ‘debate’. […]
Not stressing about banks….stressing about direct US war
June 26, 2024************** –Early Tuesday Fed’s Bowman said inflation risks means she doesn’t see an ease in 2024; shifted forward to 2025. 2/10 squeaked out a new ytd low at -49.6, but not much change in SOFR calendars. SFRU4/U5 remains the most inverted at -107, actually up 0.5 on the day (9485.5/9592.5). Net changes on […]
2/10 spread at low of this calendar year
June 25, 2024************** –Relatively quiet day in rate futures. Ten year yield fell 1 bp to 4.246%. In front of today’s 2-yr auction, 2/10 treasury spread edged to a new low of -48.6. It was not a particularly large move, it’s simply that 2/10 is slowly grinding to new lows for this calendar year, though […]
More debt
June 24, 2024**************** –Relatively quiet session Friday with yields little changed. Tens ended up half a bp at 4.255%; the TYU4 contract pinned the strike with a settle exactly at 110-16. There were a couple of large trades targeting lower yields: New buyer 80k SFRH5 9675/9775cs for 4.75, settled 4.5 ref 9546.5 (unch’d). New (adding) […]
Carelessness
June 23, 2024 – Weekly Comment*********************************** “They were careless people, Tom and Daisy- they smashed up things and creatures and then retreated back into their money or their vast carelessness or whatever it was that kept them together, and let other people clean up the mess they had made.” ― F. Scott Fitzgerald, The Great Gatsby This […]
