Archive for the ‘Eurodollar Options’ Category
Quiet Firing
February 25, 2024 – Weekly Comment**************************************** The big data point of the week will likely be PCE prices on Thursday. Month-over-month is expected to show some acceleration with headline +0.3 from +0.2 and Core +0.4 from +0.2. Yoy measures are expected 2.4% from 2.6% and Core 2.8% from 2.9%. The concern of course, is possible […]
In: Eurodollar Options
What’s the rush?
February 23, 2024******************* –Hard flattener yesterday as the higher for longer theme dominated. Several Fed officials including Waller, “What’s the rush?” Jefferson and Cook echoed the same message of patience with respect to rate cuts. Cook gave a thorough overview of the economy and did note some deterioration of household balance sheets: [unless they’re long […]
Nikkei and NVDA
February 22, 2024******************* –Two dominant stories this morning are Japan’s Nikkei finally surpassing the high from 1989, and NVDA soaring to new highs after hours. I suppose a natural comparison to make is how the Nikkei looked in 1989 compared to NVDA now. At the end of 1988 NKY was around 30159 and in December […]
They still like April TY puts
February 21, 2024******************* –Light volume Tuesday with yields edging a bit lower. Tens fell 2 bps (from Friday’s level) to 4.273%. Red SOFR pack strongest on the strip settling up 5 at avg price 9616. As March treasury options expire on Friday, focus has shifted to April options, primarily puts, which in turn has accelerated […]
PBOC steps in front of the Fed
February 20, 2024******************* –China cut its 5 year loan prime rate by 25 bps to 3.95%. However, US equity futures are moderately lower as of this writing on Tuesday morning. –Friday featured continued buying of TYJ puts. TYJ 109.5/108.5ps settled 18 with open interest +15k in both strikes. Late buying of TYJ 106.5p and 106p […]
Presidents’ Day market notes
February 18, 2024 – Weekly Comment**************************************** Just three brief observations this week. 1) SFRM4, SFRH5 comparison 2) Huge increases in TYJ put buying 3) Red/green SOFR calendar In the beginning of May 2023, when concerns about the (regional) banking system were still tender, SFRM4 traded around 9675. The high settle had been 9696 on May […]
Chunky FVJ and TYJ put buys
February 16, 2024******************** –Large feature yesterday was TYJ and FVJ put buying. A few spread details are shown at bottom. While open interest increases were huge in TYJ puts, which added 132k open in total, (mostly in TYJ 109.5p, +79k), there was clearly some rolling from March to April puts. In futures, TYH4 open interest […]
Sometimes there’s a small lag
February 15, 2024******************* –News today includes Empire State Mfg which plunged last time to -43.7, so likely to see a bounce. Retail Sales expected -0.2 m/m vs +0.6 last. Ex auto and gas +0.2 expected vs +0.6 last. Several analysts are warning of a large downside miss on Retail Sales. Philly Fed was -10.6 last. […]
Tie one end of the string to the tooth, and the other end to a doorknob
February 14, 2024******************* -Headline CPI +3.1% yoy vs expected 2.9. Core 3.9% vs expected 3.7%. SuperCore was +0.85 on the month in Jan vs 0.34 in Jan. 3-month annualized was 6.7% in Jan vs 4.0 in Dec. The reversal in favorable inflation readings caused a 25 bp plunge in red SOFR contracts, essentially extracting one […]
Benign CPI expected
February 13, 2024******************** –CPI today, expected 0.2 vs 0.3 last, month/month. YOY expected 2.9 to 3.0 from 3.4% last. YOY Core expected 3.7% from 3.9% last. Yields were down marginally on Monday, with 2s, 5s and 10’s down around 2 bps, 10y yield -1.7 at 4.168%. SOFR curve a bit flatter with H4 -1.0 at […]
