Archive for the ‘Eurodollar Options’ Category
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 […]
Waller pushes ease further back
January 17, 2024****************** –Waller indicated yesterday that while inflation is within striking distance of target, he’s in no hurry to ease, and he doesn’t see any real urgency to taper QT (and doesn’t want MBS on the Fed’s balance sheet). As a result, SOFR strip was down 8.5 to 12.5 across the board, with noticeable […]
Rate cut trades
January 15, 2024****************** Heavy SOFR options trade Friday. Below are some selected plays. New low in SFRH4/SFRH5 one-year calendar at -163.5 bps. Every spread from SFRU4 forward made new highs. Rolling red/green SOFR pack spread was pretty much between -40 and -55 from July to the Sept expiration, and between -20 and -35 from early […]
Markets with high uncertainty giving me the blues
January 14, 2024 – Weekly Comment************************************** Blue Monday is said to be the most depressing day of the year, typically the third Monday in January. It’s on top of us. But, spin a little bit of BB King, and you’ll shake it off pretty fast. I don’t quite feel like I can trust any of […]
Conflict escalates, curve steepens
January 12, 2024****************** –Solutions are becoming painfully obvious. China CPI was -0.3 in December from a year earlier. All you need is a dysfunctional government that dominates economic activity, crushing debt, and a property bust (CRE). Fold in equity market weakness. The US is on the right path to quell inflation…just need the equity market […]
Williams tempers Logan
January 11, 2024****************** –CPI expected 0.2 m/m and 3.2% yoy vs 3.1 last. Core expected 3.8% from 4.0 last. Jobless Claims 210k. Budget Statement. 30y auction. –NY Fed’s Williams pushed back on expectations for a near term decrease in QT, saying there’s currently “no signs of adverse effects on market functioning”. He noted that the FOMC […]
Tens and Williams today, CPI tomorrow
January 10,2024***************** –SEC site was compromised, leading to erroneous info about bitcoin etf approval. Though it caused a bit of volatility in bitcoin, price action wasn’t easily discernible from any other day’s activity. Of course, they could NEVER hack the BLS right? On the other hand DoD is pretty good at keeping secrets, so we […]
Digital value
January 9, 2024**************** –Yields a bit lower yesterday, tens fell 4.4 bps to end just under 4%. –News today includes NFIB Small Business Optimism expected 91 from 90.6. Trade balance. 3 year auction. 10s and 30s Wed and Thursday. CPI Thursday. –New all-time high NVDA, up 6.4%. Bitcoin future soared over $3k, now over $47k. […]
Financial Turbulence Ahead?
January 8, 2024**************** –Once again, a couple of summary points from Lorie Logan, Dallas Fed President. First, noting that financial conditions (long end rates) eased significantly since October, the Fed may have to hike FFs. Some model-based term premium estimates remain higher than levels seen last summer, but I’m mindful that all else equal, a […]
If You Build It…
January 7, 2024 – Weekly Comment ************************************** I’m coming right out with an admission that I am lifting this idea from Doomberg, so that I can hopefully tiptoe around the plagiarism peril that plagues our “cut-and-paste” world. I didn’t realize the extent of the construction boom until I saw the Doomberg charts, (copied below). Of […]
