Archive for the ‘Eurodollar Options’ Category
Short end yields under pressure, long end eases
May 28, 2024************** –Friday featured new recent lows in some curve measures. For example, 2/10 hit a new low for the year of -48.5 (though low in December was -53.6). 5/30 hit a recent low of 4 bps, not quite at April’s low of 1.7. On the SOFR strip, SFRM5/M6 posted a new low -54.5, […]
Later
May 27, 2024 – Weekly note****************************** Japan 10y yield 1.00%, new high for the year. Was 61 bps on Dec 29, 2023. Now at the highest since 2012. The 20y yield is 1.856% also at a new high. Highest since 2011. The weakest contract on the SOFR strip was SFRM5, down 17.5 on the week […]
Waller slow walking eases
May 21, 2024*************** –Quiet session Monday with slight drift towards higher yields. Tens +1.7 bps to 4.435%. SFRU4 featured a couple of block sales at 9487 and 9486.5, settled 9486 with open interest down 21.7k so it appears to be liquidation. Buyer of 20k 0QH5 9475/9424ps for 4.75; settled 4.25 ref 9598.5. –Several Fed speakers […]
Jokers and Thieves
May 19, 2025 – Weekly Comment*********************************** Jokers and thievesMay 19, 2024 Alex Manzara/ Interest Rate Strategy and Execution/ amanzara@rjobrien.com______________________________________________________________________ There must be some kind a way outta hereSaid the joker to the thief –Jimi Hendrix All Along the Watchtower The youtube clip is a rendition of this song by Playing for Change, “…using music as […]
Game over
May 17, 2024************** –Pressure continues on both the curve and vol. New recent low in 2/10 spread at -41.4 (2y 4.789, +5.5 and 10y 4.375. +2.1). Red/green SOFR pack spread also edged to a new low at -31.25 (reds 9585.875, -7.375 and greens 9617.125, -4.5). With Fed officials throwing cold water on the prospects of […]
Vol deflation (though not yet apparent in ice cream)
May 16, 2024************** –Implied vol was hammered as CPI eased to 3.4% yoy with Core 3.6%. Retail Sales 0.0% on the month. As yields plunged, calls on treasuries underperformed. Attached chart is 1-month TY vol, about as low as it has been since the hiking cycle started. Ten-year yield fell 9 bps to 4.354%. TYN4 […]
Squeezy
May 15, 2024*************** –Copper continues to scream higher, now over $5. Chart at bottom, but here’s a chart of the July/Sept calendar spread. There’s plenty of nervous excitement about short squeezes in GME and AMC, but less so about a critical input to energy infrastructure which is in supply deficit (according to Druckenmiller, Gromen, etc). […]
Labor mandate
May 14, 2024************** –Looks like Roaring Kitty has gotten involved in the copper market; HGN4 is 4.83 this morning, which is up about 25% since March. Of course GME was up 74% yesterday alone. –NFIB Small Business Optimism today, was in the dirt last time at 85.5, now expected 85.2. Indeed, the job search/placement company […]
PPI and CPI this week
May 13, 2024************** –Tomorrow we get NFIB small business optimism, PPI and the NY Fed’s Household finance report. All likely to indicate economic malaise. NFIB has been sinking like a stone. One month ago, on April 12, CLM4 was 85.08. Currently it’s 78.40, down nearly 8%. Two months ago on March 13 it was 78.84 […]
The Hard Part
May 12, 2024 – Weekly Comment*********************************** “See, you know how to TAKE the reservation. You just don’t know how to HOLD the reservation. And that’s really the most important part of the reservation: the HOLDING.” “The easy part of private credit is lending money. The harder part is getting it back.” The first quote is […]
