Archive for the ‘Eurodollar Options’ Category
Payrolls
March 8, 2024*************** –NFP expected 200k. Yields eased yesterday with 2s down 4.6 bps to 4.512% and 10s down 1.6 to 4.09%. Little change this morning though yen continues to strengthen with $/yen 147.16 as the BOJ is expected to end negative rates. Borrow yen, convert to dollars, buy NVDA. Can’t lose, right? But a strengthening […]
Record Net Worth, Record Gov’t Debt
March 7, 2024**************** –Curve continued to flatten (invert further) as Powell stayed on script, repeating that the Fed needs more confidence inflation is moving to target. At the end of January, 2/10 was -28, yesterday the spread was down 4 at -45.2, a new low for this year. The low in mid-December was -52.5. My […]
Half empty
March 6, 2024*************** –Yields fell, curve flattened. Tens down 8.2 bps to 4.135%. New low in red/green SOFR pack spread to -30.625 (9617.5/9648.125). Red pack+7.125 and green pack +8.25. Perhaps of note is that SFRU4/U5 posted a new recent low at -105, down 3 on the day (9525/9630). This is the spread the Bill Gross […]
Ain’t it a BTCH?
March 5, 2024*************** –In rates futures, much of Friday’s rally was reversed. The curve flattened, with 2y +7.7 bps to 4.606%, 5y +5.1 to 4.208%, 10y +3.9 to 4.217% and 30y 2.6 to 4.353%. On the SOFR strip, reds were weakest, settling -7.625 at avg 9610.375. Red/green pack spread closed at a new recent low […]
Debasement
March 3, 2024*************** “Throughout history, many campaigns had been lost by stopping on the wrong side of the river.”–attributed to General Patton Powell is in front of Congress this week, Wed and Thurs, and Bloomberg declares: Powell about to double down on ‘No Rush to Cut’. The enemy is within. BAML (Michael Hartnett) notes: US national […]
Regional banking issues are… contained
March 1, 2024*************** –NYCB back in the news, reporting an additional $2.4 billion hit as the fallout from the regional banking episode continues in a slow burn, a year later. It’s more controlled, but underlines weak CRE valuations and lingering effects of deposit flight. –China’s Mfg PMI down for a fifth month, as expected at […]
Searching for divergence
February 29, 2024******************* –PCE prices today. M/M headline expected +0.3 from +0.2 last and Core +0.4 from +0.2. Yoy expected 2.4 from 2.6 with Core 2.8 from 2.9. Regarding inflation, the Bureau of Labor Statistics sent out a note to ‘Super Users’ yesterday which contained this line: The weights for single family detached homes increased materially […]
Targeted ease plays
February 28, 2024******************* –SOFR theme yesterday: plays for ease. In the beginning of last year that theme consisted of 100 bp wide call spreads being bought for significant premium, 8-12 bps. Yesterday, trades were more targeted and less aggressive. Buyer 35k SFRM4 9500/9525/9550c fly for 2.5 (settle 2.75 ref 9486). Buyer 45k SFRM4 9525/9550/9575c fly […]
February: a month of paring back ease expectations
February 27, 2024******************* –Price concession allowed the market to absorb two and five year auctions, and contributed to new recent lows in the curve. 2/10 closed -44, down about 1 bp. Red/green SOFR pack settled near -28, down nearly 2 bps on the day. The 2y and red SOFR pack both rose 5 bps in […]
For now, higher for longer has the upper hand
Feb 26, 2024************** –Friday featured further curve inversion from reds back as easing expectations are squeezed out of near term pricing. 2/10 treasury spread fell to a new recent low -43 bps (-4.2 on the day). In 2023, 2/10 has a range from -108 to -16. In 2024 the high is -16.5 and the low […]
