Archive for the ‘Eurodollar Options’ Category
Net Worth looks fine…
June 9, 2024 – Weekly comment*********************************** The global economic system is debt-based. Below is an image of US Household Net Worth, released by the Fed last week in the Z.1 report, updated through Q1. Liabilities are barely increasing (red bars), yet assets (equites and residential RE) just keep powering higher. That’s what various officials mean […]
Gearing up for a July FOMC cut
June 7, 2024************** –ECB delivered a 25 bp cut, as expected, but Lagarde tried to temper enthusiasm for further easing. EUR ended a bit higher and is unch’d this morning. US yields closed slightly lower with tens down 1 bp at 4.277%; futures are going into today’s employment report at the top end of the […]
AI is not like DOT COM
June 6, 2024************** –It’s all about NVDA which joined MSFT and AAPL with a market cap over $3T. GDP is $28.5T so the value of these three is about 35% of GDP. I got one of those ‘your memories from this day’ emails yesterday, and the attached Nasdaq chart was included. From March 1999 to […]
If the Labor Market Stalls, it ALL stalls
June 5, 2024************* –Yields continued to tumble Tuesday, with tens -6.4 bps to 4.336%. JOLTS way lower than expected at 8.059m vs 8.355 exp. A couple of SOFR 1-yr spreads made new recent lows: Z4/Z5 at -84 (9512.5, 9596.5), down 3 on the day, and H5/H6 at -69.5, down 1.5 on the day. The front […]
Black Keys playing at the neighborhood bar down the street
June 4, 2024************* –This past weekend I mentioned a few developments in the financial landscape that echoed initial problems in 2007 which culminated in the GFC. Of course, today’s issues – problems in private credit and commercial real estate funds – probably don’t rise to the same level of systemic stress. However, Monday’s trade certainly […]
ISM Mfg today, NFP on Friday
June 3, 2024************* —Vicious end-of-month squeeze in stocks Friday. In the last half hour ESM rocketed 65 points from 5242 to 5307 and is holding this morning at 5302.5 (+7.0 from settle). CLN4 just slightly lower after OPEC extended voluntary production cuts. US yields eased Friday with 10s down 4 bps to 4.512% (now 4.473). […]
The Bell Tolls
June 2, 2024 – Weekly Comment********************************** In March 2007, an article in the WSJ cited problems at Bear Stearns’ subprime mortgage funds. In June 2007 Bear pledged a collateralized loan of around $3.2B to its sinking funds, the High Grade Structured Credit Strategies Fund and the Credit Enhanced Leverage Fund. By July 17, 2007, Bear […]
Inflation data today
May 31, 2024************** –News today includes the Fed’s preferred measure of inflation, Core PCE prices, yoy expected +2.8 same as last month. Headline expected 2.7, also same as last. On a less important note (perhaps) Chicago PMI is released. Last at 37.9, it’s expected 41. The lowest print in the past 4 years was 37.8 in […]
Non-profits saw solid demand…oh great
May 30, 2024************** –Both stocks and bonds weak. 7 year auction tailed by 1.3 bps at a yield of 4.65% but treasuries stabilized post-auction. On the day, the ten year yield rose 8.2 bps to a new recent high of 4.622%. Treasury rolls have been substantially completed with heavy trade yesterday. Of course, June open […]
Supply weighs on bonds
May 29, 2024************** –Yields rose yesterday as 2 and 5 year auctions underwhelmed. 5y was 4.54 pre-auction but tailed over 1 bp with a result of 4.553%. Ten year yield up 7.4 bps to 4.54%. New high this morning in 10y JGB yield, over 1.10%. Contributing to weakness was buying of 26k each TYN 108.5/111.5 […]
