Archive for the ‘Eurodollar Options’ Category
Curve flatter on minutes
January 4, 2023**************** –SOFR curve flattened, partially in response to FOMC minutes. SFRM4, the weakest contract, -4 at 9538, SFRM5 +2 at 9669.5, SFRM6 +3.5 at 9683.0 and M7 +3.5 at 9676.0. Again, note that all contracts from June’25 to June’27 are within a 15 bp range, 9669.5 to 9685. (Consistent with terminal range 3.0 […]
Rebalance
January 3, 2024***************** –Yields rose on the first trading day of the year, with tens up 6.3 bps to 3.943%. On the SOFR strip, the red pack led the way, settling -11.625 at 96.685, a yield of 3.315%. Stocks were hit as AAPL tumbled 3.7% (a friend noted rebalancing as AAPL had become an outsized […]
Taking a lap
December 31, 2023 -Weekly comment**************************************** Another turn of the calendar. I was trying to come up with some sort of analogy and I kept coming back to memories of the old Eurodollar pit at 30 South Wacker. This was a huge complex, a large rectangular center jammed with locals and order-filling brokers and clerks, the […]
And forward though I cannot see…
December 29, 2023********************* –Fairly quiet session yesterday. Yields rose, seven-year auction was a bit weak. Tens finished up 6 bps to 3.846% while 30s added 4.3 bps to 3.986%. On the SOFR curve reds through blues were down 4.5 to 5.5 bps in price. As mentioned earlier in the week, 5s and 10s seem to […]
Easy markets create false fundamentals, weak fundamentals create tough times
December 28, 2023********************* –Spot gold at highest close ever $2077 (though not so in GCG4, which settled at 2093.1, vs a high settle 2128.8 in early May). –Yields continue to press lower. Solid five-year auction with seven-year coming today. According to BBG the year’s range on tens is 3.31% to 4.99%. Closed out yesterday at […]
Going Nuke-ular
December 27, 2023******************** –Quiet session in rates on Tuesday. Front end weakness probably related to bill and 2y auctions. Curve flattened as longer dated maturities saw marginal drops in yield. SFRM4 -4 at 9546.5. SFRM5 +1 at 9672.5, SFRM6 +2.5 at 9684.0 and SFRM7 +2.5 at 9675.5. –On the treasury curve, the long bond is […]
Buy Now and Really, Really, Really Pay Later
December 26, 2023******************** –Once again, new low in SFRH4/M4 at -49 (9501.5/9550.5). The lowest of any 3-month spread over the past year was -58, but it was a forward spread, on BBG SFR5 vs SFR6, (though in the old convention I’d call it last white to first red or 4th to 5th). H4/M4/U4 fly settled -9.0 […]
Steel
December 24, 2023 – Weekly comment ****************************************** I worked my whole life in the steel mills of GaryLike my father before me I helped build this landNow I’m seventy-seven and with God as my witnessI earned every dollar that passed through my hands Minutes to memories – John Mellencamp I had watched a TV documentary […]
In: Eurodollar Options
Deflating…except for gold
December 22, 2023********************* –Today features PCE deflator, expected 0.0 m/m and 2.8 yoy from 3.0% last. Core expected 3.3 from 3.5. Attention now seems to have shifted to 6-month annualized growth rates in order to illuminate recent improvements in the flight path to target. However, Core Service prices are still sticky and likely require higher […]
A bit of volatility at a less liquid time of year
December 21, 2023********************* –Afternoon swoon in stocks underpinned the bid in rate futures. Good Reuters headline: Stocks Sober Up, But Rate Cut Party Lives On. SPX fell 1.5% after having made a slight new high. Note that from mid-March to late July SPX rallied from around 3800 to 4600 in four and a half months. Impressive […]
