Archive for the ‘Eurodollar Options’ Category
What’s it going to look like in 2025?
April 28. 2024 – Weekly Comment************************************ In the past week or so I saw two articles referencing potential moves by a new Trump administration that would impact financial markets. This one’s from the Wall Street Journal a few days ago: And this one is from Politico on April 15 There was also an interesting article […]
5% 2-year and SFRZ4
April 26, 2024*************** –Bank of Japan sat on their hands and now $/yen is above 156 –US PCE prices out today, m/m headline and Core both expected 0.3 from 0.3 last. Yoy expected 2.6 from 2.5 last and Core 2.7 from 2.8. Yesterday’s higher than expected core price deflator in the GDP data, at 3.7%, […]
It’ll NEVER happen
April 25, 2024*************** –It used to be a regular question: “What’s the lowest strike call I can buy for 0.25 on the near euro$ contract?” Yesterday someone paid 0.25 for 30k SFRK4 9675c. That’s over 200 bps away with 15 days until expiration (SFRM4 settled 9473.5). Might as well be on a euro$ because it’s […]
PMI soft
April 24, 2024*************** –PMI Mfg was 49.9 vs an expected 52.0 and Composite was 50.9 vs 52.0. Yields fell as a result. Tens ended down 2 bps at 4.596%. Strongest SOFR contracts were SFRM5 and U5, both up 6 at 9548.5 and 9563.5. Solid 2y auction. Fives today. Sevens tomorrow. PCE prices are Friday. Next […]
Quiet start to the week (but you never know when something’s gonna blow up)
April 23, 2024*************** –TSLA reports today. Quiet day in rates to start the week, but a couple of interesting disaster insurance trades. Buyer of 30k SFRK4 9650c for 0.5. These expire on 10-May, SFRM4 underlying (9473.5). Settled 0.25 Buyer of 2500 SFRZ4 100c for 0.25 vs 9503, 5d. Zero strike? This guy must have misread the […]
Conditions getting tighter
April 22, 2024*************** –New high copper this morning even as other metals and oil are lower. SFRZ4 is threatening to get above 5% (9503 last) while USM flirts with the 113 handle (114-04 last). Treasury auctions of 2s, 5s and 7s this week ($69, 70 and 44 billion). Ten year up about 4 bps from […]
World of Extremes
April 21, 2024*************** When I worked on the floor of the CME in eurodollars, there was a guy that had started at the Citi desk. Slight of build, sandy colored hair, ordinary looking. His standout feature was that he was prone to embellishing his accomplishments and intellectual acumen. This being the floor, one of his […]
Still risk over the weekend, but perhaps less
April 19, 2024**************** –Strong Philly Fed (highest since Q2 2022) contributed to a move to higher yields. In treasuries the 5yr led, rising 7.1 bps to 4.684%. Tens +6.4 at 4.645%. On the SOFR curve reds were weakest, settling -9.0. New high in M4/M5 calendar at -66, up 8 on the day (9473, -1.0/9539 -9.0). […]
Base Metals
April 18, 2024*************** –Copper is at a new high this morning, with HGK4 currently printing over 4.42. In mid-Feb it was around 3.75, so it’s an explosive 18% increase in two months. ZH has an article on the surge in tin prices, noting that it’s something of an AI adjunct: ” ‘Every data byte and […]
Higher for longer; new high SFRZ4/Z5
April 17, 2024*************** –Powell… “The recent data have clearly not given us greater confidence and instead indicate that it is likely to take longer than expected to achieve that confidence” that inflation will return to 2%. –The higher for longer stance was clearly reflected by the SFRZ4/SFRZ5 calendar spread which traded huge volume and settled […]
