Archive for the ‘Eurodollar Options’ Category
Rate futures ignore weak data
June 21, 2024**************** –Data weak on Thursday. Housing Starts -5.5% m/m, Philly Fed only 1.3 vs expected at 5.0. However, a brief pop in treasuries immediately reversed. Tens ended +3.3 bps to 4.25%. NVDA posted a new high, outside day, lower close, ending -3.5%. Another high flier, Chipotle (CMG), had nearly doubled from the low […]
Fed on hold…for now
June 16, 2024************** –Once again the near one-year SOFR calendars slipped to new lows. SFRU4/U5 down 7 on the day to -112.5 (9485/9597.5). Z4/Z5 down 4 on the day to -95 (9518/9613). Also, new low in 2/10 at -48.2 with the ten-year yield down 6 bps to 4.217%. Fed officials are in no hurry to […]
brief notes
June 18, 2024 ************** –Yields up on treasury curve as part of Friday’s safety bid unwound. Tens up 6.8 bps to 4.277% –Retail Sales today, expected 0.3%, ex-auto and gas +0.4%. Industrial Production +0.3% –Speakers includes Barkin, Collins, Logan, Kugler, Musalem and Goolsbee. –Powell to testify in front of Congress on July 9. July midcurves […]
10y breakeven supports the Fed
June 17, 2024*************** –Friday featured new recent lows in near SOFR calendars, with SFRU4/Z4 -33.5 (9487.5/9521) and SFRU4/U5 1-yr calendar at -112 (9487.5/9599.5) down 23.5 on the week. SFRZ5 was the trailblazing contract, surging 30.5 bps since last Friday, to 9615 or 3.85%. This level is right back to the MARCH level for Fed Funds […]
Erreurs ont été commises (Errors were made)
June 16, 2024 – Weekly Comment************************************ “When I make a mistake, I don’t make it twice. I make it 20 times.” – Jimmy Place (Warrior podcast) SOFR calendars made new recent lows as the Fed pushed easing further out on the calendar with the dot plot indicating just one ease for 2024 (and 4 more […]
Yields drop on low inflation…and France
June 14, 2024*************** –PPI supported the slowing inflation narrative with month/month readings of -0.2% and 0.0 Core. Yields continued to drop, with tens down 5.5 bps to 4.236%. Solid 30y auction; the 30 year yield ended at 4.40%. That yield level, 4.40%, is the halfway retracement from the low yield posted in late December, 3.954% […]
Pushing the ease forward
June 13, 2024*************** –Better than expected inflation news as month/month CPI was 0%. On a yoy basis, headline 3.3% and Core 3.4%. The FOMC dots shifted to just one ease into the end of this year with the estimate for FF at 5.1% from 4.6% in March. The projection for 2025 was also raised to […]
CPI and FOMC
June 12, 2024*************** –CPI and FOMC today. CPI month/month +0.1 expected with Core +0.3. On a year/year basis headline expected 3.4% from 3.4% last and Core 3.5% from 3.6%. –FOMC March 2024 ‘dot’ or estimate for end-of-2024 FF was 4.6% or three eases. Today that dot will either show 1 or 2 eases, my guess […]
Ten year auction today. CPI and FOMC tomorrow
June 11, 2024*************** –Yields edged a bit higher yesterday, with tens up 4 bps to 4.467%. European bond yields surged on election results; the French 10y rose over 12 bps to 3.223% as Macron called for a new snap election. Domestically, the three-year tailed with tens being auctioned today, followed by 30s Thursday. CPI and […]
Euro reacts to elections
June 10, 2024************** –EUR was 108.93 (ECM4) on Thursday’s close and has now plunged to 107.55 following weekend elections in Europe. In Germany AfD made a strong showing and in France, Macron is calling for snap elections after his party was trounced, while “Italy’s PM Meloni comes out on top in EU vote, strengthening her […]
