Archive for the ‘Eurodollar Options’ Category
Vol compression
April 16, 2026**************–From friend Art Main SOFR option summary: “In SOFR options, volume was extremely lite (37% of 20 day ADV)” –Interest rate vol continues to sink (normalize?). Attached chart shows MOVE and TY 1M vol. MOVE index covers the curve, 2s, 5s, 10s, 30s. In order to give a sense of quantification, I looked […]
Grinding up the wall of no worries
April 15, 2026**************** –Another low volume day with stocks and bonds grinding to new recent highs. All-time high settle in ESM6 is 7070 on Jan 12, and late price was 7004. ESM6 has rocketed over 10% higher from the March 31 low. Bonds aren’t as frothy, but the high yield in the 30y was 4.966 […]
Talks continue; stocks and bonds rise
April 14, 2026*************** –Sunday night/Monday morning pullbacks in stocks and bonds from failed weekend peace talks were more than reversed yesterday, with ESM currently nearing the level before Iran attacks began. On Feb 25, ESM settled 7013, now 6931. One of my favorite current charts has to be Sandisk (SNDK), which ended 2025 at 237 […]
Markets take failed talks in stride
April 13, 2026***************–Failed Iran talks over the weekend took stocks and bonds lower overnight, but markets have fought back from the early lows. Example, USM6 low 113-03 and last 113-16 (Friday settled 113-25). ESM6 morning low 6767.00, last 6813.25, down 42 (Friday settled 6855.25). While bonds tested Tuesday’s lows this morning (last week low in […]
Mythos vs Hormuz
April 12, 2026 – Weekly note******************************* Dominant news is that US/Iran peace talks didn’t produce an agreement. On Tuesday, April 7, as Trump pulled back threats to wipe out Iranian civilization, SPX closed at 6617. Two days later, on Thursday, SPX was up 3.1% to 6824. On the rally, VIX plunged from 25.78 on Tuesday […]
Less volatile price churning ahead
April 9. 2026*************–CLK6 settled 94.41 yesterday and is about $3 higher this morning. May/June spread is 6.80; CLM6 is just below $91. US rates declined on the tentative ceasefire, with tens ending -5.4 bps at 4.287%. Implied vol was crushed. With a little over 2 weeks to go, May TY atm straddle went from 1’09 […]
Ceasefire roller coaster
April 8, 2026************** –Ceasefire announcement sparked huge moves. CLK6 95.09, -17.86. Halfway back from late Feb low (61.92) on CLK to yesterday high is 89.18 (low this morning 91.05). CL May/June calendar from 13.94 yesterday to 8.22. ESM6 now 6833, +176.25. High on Feb 25 was 7035, 3/31 low 6353. The high of the year […]
Household Net Worth and the Fed’l Govt
April 6, 2026************* I am always amazed by this chart (in past few years anyway). The solid blue line is US Household Net Worth. The dotted blue line is Household Liabilities. I don’t know that this is American exceptionalism, but it certainly does seem extraordinary. Assets simply levitate while liabilities barely move. I’m not drawing […]
Industrial Strength?
April 6, 2026**************–Yields edged higher on Friday’s shortened session as Payrolls exceeded expectations. NFP +178k vs expected 65k. Previous month revised lower but the 3-month average was a respectable 68k. Unemployment rate fell to 4.3%. On the SOFR strip SFRH7 and M7 were weakest, down 7 on the day at 9632.5 and 9637.5, essentially equal […]
Don’t Move
April 4, 2026 – Weekly note*****************************Last week I suggested that US Military/Industrial Policy requires low long-term funding rates, and a gov’t/industry pact (maybe overt, maybe covert) to ensure funding for long-term critical projects. The ultimate irony would be Warsh coming in as Fed Chair and EXPANDING the Fed’s Balance Sheet, partially in response to the […]
