Archive for the ‘Eurodollar Options’ Category
Treasury shaves borrow estimate
January 30, 2024****************** –Early trade: buy of 70k TY week-1 110.75/100.00 p spread for 9/64. Expires Friday, so captures FOMC, QRA, NFP and earnings reports. Open interest in the two puts +66k and +59k. Settled 8 vs TYH4 111-165. –Late trades (post-Treasury borrowing estimate) two block buys of TU (+7.6k 102-218 and +15k 102-223) appear to […]
Fed week
January 29. 2024***************** –Yields rose Friday in a relatively quiet session, net changes on the week in rate futures were small. On Friday the weakest contracts were the first two reds, SFRH5 and M5, both down 8 at 9629.5 and 9648.5. On the week those two contracts were -0.5. The ten year yield was up […]
Big Week
January 28, 2024 – Weekly Comment****************** There’s a lot going on this week. FOMC and Refunding Announcement on Wednesday. Payrolls on Friday. Earnings announcements by MSFT and GOOGL on Tuesday, AAPL, AMZN, META on Thursday. Not much change in rates last week. SOFR contracts were 1.5 bps on either side of unchanged out four years. […]
Delusions
January 26, 2024****************** –Once again, GDP stronger than expected with Q4 Advance reported at 3.3%. ZH notes that in nominal dollars, Q4 GDP rose by $329b, but the US budget deficit over the same period rose $510b…”In other words it now takes $1.55 in budget deficit to generate $1 of growth…” As I mentioned after […]
Policies, politics and provocations
January 25, 2024****************** –ECB meeting today. As usual, news articles are advancing the idea of a Central Bank push-back against near term ease. Reasonable enough, I guess. But calendar spreads in futures continue to signal significant rate cuts. At yesterday’s settles, ERH4/ERH5 -143.5 (9616/9759.5) and SFRH4/SFRH5 -146.0 (9484/9630). –The Fed announced yesterday it will not […]
FOMC in one week
January 24, 2024****************** –Big buyer +23754 TUH vs -9817 UXYH about $895k DV01. Steepener likely works best on rate cut signal at the Jan 31 FOMC, but may also be impacted by the Quarterly Refunding Agreement. Open interest in TU was up 39.6k and UXYH4 OI was up 11.7k, so substantially due to this trade. […]
Is 150 bps six cuts?
January 23, 2024****************** –Yields eased in quiet trade on Monday; SOFR curve became slightly more inverted. For example, SFRM4 was unch’d at 9527, but M5 was +4.5 at 9653.5 and M6 was +6.5 at 9665.5. SFRM4/M5 settled -126.5. For the past month on settlement basis it’s been between -120.5 and -131.5. The most inverted one-year […]
The Rime of the Ancient Mariner
January 21, 2024 -weekly comment****************** Day after day, day after day,We stuck, nor breath nor motion:As idle as a painted shipUpon a painted ocean. -Samuel Taylor Coleridge I don’t know enough about shipping (and military) affairs to determine how much weight should be placed on current issues. All I do know is that supply chain […]
That’s a lot of derivatives
January 19, 2024***************** –Yesterday’s price action featured little change in the front end, but higher yields along the back with pronounced weakness in the long bond. Two-yr yield up 0.5 bp to 4.357, 10s +4.0 to 4.142 and 30s +5.9 to 4.369. Similar changes on SOFR curve, SFRM4 +1 to 9610, M5 -1.5 to 9654.5, […]
Push and pull on the Fed’s timetable for ease
January 18, 2024****************** –Price movements continue to be outsized. For example, on Jan 10, SFRZ4 settled 9608. On Friday the 12th, the settle was 9637.5, 29.5 bps higher. Yesterday’s settle was 9609, a round-turn of over one-quarter percent in a few days. The overall theme of the last several days seems to be that the […]
