Archive for the ‘Eurodollar Options’ Category
Easing pace will be slow, unless FORCED
April 16, 2024*************** –Stronger than expected Retail Sales helped push yields to new recent highs. On a monthly basis +0.7 vs +0.4 expected, with ex-auto and gas +1.0%. Two year yield was only up 5.5 bps to 4.935 but tens jumped 13.3 to 4.63% and thirties rose 13.9 to 4.74%. Bear steepener. On the SOFR […]
Kon-Tiki
April 14, 2024 -Weekly comment*************** When I was a kid I read Kon-Tiki by Thor Heyerdahl. It’s an epic tale documenting his 1947 voyage to the Polynesian Islands from South America on a raft. The adventure took 101 days covering 4300 miles. From Wikipedia: Heyerdahl believed that people from South America could have reached Polynesia […]
Real yields are high
April 12, 2024*************** –Relief rally in stocks but treasuries continued to trade soft late Thursday on auction distribution. USM4 settled 115-08 at 3:00pm but traded 114-31 just before the electronic close. PPI was slightly lower than expected, though anyone that cares to look can see that CLM4 has moved from 71 to 85 since the […]
A second inflation wave?
April 11, 2024*************** –CPI lived up to the hype, sparking huge market moves on a ‘hot’ print. CPI m/m 0.4 versus expected 0.3, yoy 3.5 vs 3.4 expected. Core 3.8 vs 3.7 expected. The largest net change across rate futures was SFRM5 which plunged 30 to 9544.5. Two year yield surged 21.5 to 4.96%, while the […]
We all see the prices
April 10, 2024 *************** –CPI expected +0.3% on the month, with yoy 3.4 from 3.2 last and Core 3.7 from 3.8. ZeroHedge this morning leads with an article about scandal within the BLS regarding technical discussions with ‘super-user’ economists about specific calculations relating to CPI. The intimation is that some market participants have ‘non-public’ info. […]
OTM treasury puts popular
April 9, 2024************* –Once again new highs in near SOFR spreads. On March 27, SFRM4/M5 settled -111. Yesterday -88 (9481.5/9569.5), so that’s 23 bps in 7 sessions, mostly due to the drop of 30 bps in SFRM5 from 9599.5 to 69.5. The front M4/M5 spread is still the most inverted, but there’s less variation, for […]
Auction concession or something more?
April 8, 2024************* –Friday’s higher than expected payrolls at 303k with an unemployment rate of only 3.8% contributed to a jump in US rates. Tens rose 5.8 bps to 4.373%. The SOFR curve flattened with reds leading the way lower. Red pack (M5, U5, Z5, H6 avg) ended -11 bps at 9597.0. close to 4%. […]
A flight into ‘Quality’ assets
April 7, 2024 -Weekly Comment************* The wave of crystallization rolled ahead. He was seeing two worlds, simultaneously. On the intellectual side, the square side, he saw now that Quality was a cleavage term. What every intellectual analyst looks for. You take your analytic knife, put the point directly on the term Quality and just tap, […]
Payrolls – all prices will be met
April 5, 2024************* –Payrolls today expected 200k with the unemployment rate at 3.9% (vs 275 and 3.9 last). The last time the UE rate was 4.0 was in January 2022, it has been in the 3’s since then with a low of 3.4. Consumer Credit at end of day, was +$19.49 billion for Jan. –Yesterday […]
Positioning for NFP
April 4, 2024************* –New lows in treasury futures on heavy put buying first thing yesterday morning. TYM4 low 109-09+ which was -13+ and USM4 116-24 which was -31. Big pre-data TY put buys TY wk-1 109.00p cov 109-135, 11 paid 10kTY wk-1 109.25p cov 109-125, 18 paid 15kFV wk-1 105.75p 5.5 paid 50kWeek-1 options expire […]
