Archive for the ‘Eurodollar Options’ Category
Forward Restraint
March 20, 2024**************** –What’s the problem? The problem is that service inflation is not coming down; we think goods inflation is probably under control. The three elements of financial conditions that have become easier are 1) equity prices are frothy 2) credit spreads are tight 3) long rates are relatively low. Service inflation would likely […]
BOJ ends negative yields. TYJ put position adjustment
March 19, 2024***************** –As had been consistently telegraphed, the BOJ ended negative rates, and YCC, and ended purchases of ETFs and REITS. Currently $/yen is near its recent high, well above 150. –Yesterday yields rose across the board, with tens +3.6 bps to 4.338%. On the SOFR strip reds thru golds were down 3.0 to […]
Dec and Dots
March 18, 2024***************** –Several near SOFR contracts made new lows on Friday, and treasury yields are at or close to new highs for this calendar year. Tens ended at 4.302%, up about 1 bp; high of the year has been 4.323%. Fives ended at 4.323%, high in Feb is 4.329%. SFRZ4 posted a new low […]
Gresham’s Law
March 17, 2024 – Weekly Comment************************************** The crosscurrents, dislocations and uncertainties in the present situation point up one uncomfortable but inescapable fact: we are dealing with a situation marked by gross imbalances that can neither be sustained indefinitely nor dealt with successfully by monetary policy alone, however it is conducted. We are borrowing as a nation […]
OpEx on the Ides of March; hang on to your toga
March 15, 2024**************** –Hard sell off in treasuries, as PPI came in hotter than expected, 0.6 vs 0.3 m/m and 1.6 vs expected 1.2 y/y. Fives and tens ended at the same yield of 4.294% which was +10.9 bps in 5y and +10.4 in 10y. –New highs in some of the near one-yr SOFR calendars. […]
Keep an eye on Oil and Copper
March 14, 2024**************** –Solid 30y auction at 2.375%. USM4 contract immediately popped from 120-07 to 120-20, but then slid back down to its starting point (120-08s). Ten year yield finished +3.4 on the day at 4.18%. –A lot of Wednesday puts on TY expired worthless yesterday, but shorts are being replaced with TYJ puts (22-March […]
No help from CPI; wage gains in Japan clear the way for BOJ hike
March 13, 2024**************** –CPI higher than expected yesterday, pushing yields up. Headline 3.2 and Core 3.8 yoy, both 0.1 hotter than forecast.From Michael Ashton @inflation_guy Now, the story starts to become a little clearer, albeit concerning. Core services rose to 5.4% y/y from 5.2% y/y, while core goods was unchanged as I noted above. Rents […]
Place your inflation bets
March 12, 2024****************–CPI is the big event today, expected 0.4 from 0.3 m/m, with Core 0.3 from 0.4. Year/year expected 3.1, same as last, with Core 3.7 from 3.9. Curve flattened yesterday with 2s up 4.8 bps to 4.532% and tens up 1.3 to 4.10%. The three year auction went well, going off at 4.256% […]
No auction concession, yet
March 11, 2024**************** –Japan revised an initial negative print for GDP (last three months of the year), to positive 0.4%, providing cover to end negative rates and YCC. Ten year JGB prints a new high for this calendar year at 75.5 bps and $/yen is pressing lower, now at 146.60. The 200 dma is 146.22; […]
Auctions and CPI
March 10, 2024 – Weekly Comment************************************** The Fed’s Z.1 quarterly report was released last week for Q4. While the data is perhaps a bit stale, the debt levels are still somewhat eye-opening. Total Household Debt ended 2018 at $15.582 trillion. By the end of last year it had grown to $19.955T, an increase of 28% […]
