Archive for the ‘Eurodollar Options’ Category
Power Play
May 10, 2024*************** –Market trades as if the liquidity spigots are wide open. Buy everything. –Druckenmiller suggested a supply shortage in copper…this morning copper futures have exploded to a new high with HGN4 4.74. Gold and silver also bid. Attached is a chart of Dow Jones Utilities, powering higher, due apparently to an insatiable demand […]
Binary outcomes
May 9, 2024************* –Quiet session with slightly higher yields, likely due to treasury auctions. Current 10y rose 3 bps to 4.49%. Auction tailed by 1 bp (4.483%). Thirties today. Late WI was 4.637% –SOFR strip from SFRM5 to SFRM9 down 3 to 4.5. One large option play is an add, +60k 2QM4 9656.25/9662.5cs for 0.625 […]
Anecdotal Evidence of Struggling Consumers
May 8, 2024************* –Quiet market Tuesday with a bias toward flatter (more inverted) curve. 2y yield essentially unchanged while the 30y fell 4 bps to 4.604% as the US Treasury auctions 10s today and 30s on Thursday. New recent low in SFRU4/U5 one-yr calendar at -88 (9489/9577). June/June is -89 (most inverted), Sept/Sept -88 and […]
Tight now, easy later
May 7, 2024************* –Yields were nearly unchanged Monday, although near SOFR contracts were under slight pressure in front of today’s 3-year auction. Tens down 0.6 bp to 4.489%. –May midcurve straddles expire Friday. On Thursday (pre-NFP) the atm short May straddle (9550) was 19.0. On Friday the atm 9562.5^ settled 14.0 vs 9562 and yesterday […]
Yields and Vol down
May 6, 2024************* –Weaker than expected employment report at 175k sparked a rally in rate futures. SFRM5 and U5 were strongest on the strip at +12 (9562 and 9579). Current EFFR is 5.33% and SFRM5 is 4.38%, still nearly 100 lower. Ten year yield fell 7.2 bps to 4.495% in front of treasury auctions starting […]
The Occasional Customer
May 5, 2024 – Weekly Comment********************************** SBUX – a canary? SLOOS – Will be released on Monday. Gained prominence one year ago as Powell mentioned at May 3, 2023 press conference Large decline oil – CLM4 down 5.74 on the week to 78.11 Treasury Auctions of 3s, 10s, 30s Gov’t tax revenues – when yoy […]
Employment
May 3, 2024************* –Payrolls today expected 240k with Unemployment rate of 3.8%. Yields eased yesterday apart from the 30y bond. Twos -6.2 bps to 4.875%, tens -2.4 bps to 4.567% and bonds up just slightly at 4.717%. AAPL had a nice pop post earnings, apparently on buy back plans. –Open interest in treasury futures up […]
Relief that Powell wasn’t more hawkish
May 2, 2024************* –Yields fell as Powell’s press conference progressed. The FOMC statement cited a “lack of further progress toward the Committee’s 2 pct inflation objective.” However, balance sheet run-off was trimmed from $60b per month of treasuries to $25b, more than expected, while MBS remains at $35b. Powell sought to characterize the QT slowdown […]
Lighten up on risk
May 1, 2024************* –Full day. Treasury announces debt issuance composition at 8:30 EST. (Recall that Nov 1 was a surprise shift favoring t-bills, which helped long coupons rally in price). ADP, and JOLTs give clues on the labor market. ISM Mfg expected 50.1 from 50.3. Then the FOMC/ press conference. –Yesterday the market reacted to […]
Tempering speculative froth
April 30, 2024*************** –Cocoa slumped yesterday and is lower today: “Cocoa extended a slump in London and New York, dropping 26% over the past two days, following a record-breaking rally.” (BBG) Sign of a broader speculative unwind? Other commodities are also falling, with gold down over $30 this morning. Copper down a bit as well, […]
