Archive for the ‘Eurodollar Options’ Category
Hey buddy, can you borrow me $30 billion?
January 5, 2023****************** –Thursday’s data related to the labor market was solid. Jobless Claims just 202k, ADP 164k, about 40k more than expected. Yields rose across the board, with tens up 8.6 bps to 3.991% and 30s up 8.5 to 4.138%. On the SOFR strip, reds through blues were down 10 to 11.5. –Today of […]
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 […]
