Archive for the ‘Eurodollar Options’ Category
Markets expect CBs to be more aggressive
December 20, 2023********************* –Relatively quiet day in US rates, with slightly lower yields. Tens ended at 3.92%, down 3.4 bps on the day. Later in the session Bostic said inflation is probably going to come down slowly in the next six months, and penciled in two rate cuts in H2 of 2024. UK inflation was […]
BoJ stays easy
December 19, 2023**********************–BOJ maintained its easy policy stance. $/yen up about 1.2% at 144.50. USH4 currently trades 124-00 (+24), around 4% yield and close to the highs of the past two sessions. –Late yesterday WSJ’s Timiraos cited Mary Daly as saying easing might be necessary. “SF Fed President Mary Daly says it’s appropriate to shift […]
Push-back by Williams Flattens Curve
December 19, 2023******************** –NY Fed’s Williams pushed back against the idea of near term rate cuts on Friday, saying it’s too early for the Fed to be considering lowering rates. In response, the yield curve flattened, with the 2y yield ending up 5.7 bps at 4.451% and tens essentially unchanged at 3.926%. 2/10 treasury spread […]
Bang
December 17, 2023 -Weekly Comment**************************************** Just a smattering of disconnected thoughts this weekend. I skimmed the news Saturday morning and this headline from the FT struck me: Bang & Olufsen says it will defy luxury slowdown as ‘rich will only become richer’ Makes some sense right? It’s an old saying: “the rich get richer”. We […]
In: Eurodollar Options
From a minor tweak in position to GET ME OUT
December 15, 2023*************************** –Hey wait a second…did Gundlach say he expects 10s to trade to the low threes sometime next year? Or by the end of this year? 10y yield dropped another 8.6 bps yesterday to 3.902%. That level corresponds to a 61.8% retrace from the April low of 3.31% to the October high 4.99% […]
Rates plunge
December 14, 2023****************************** –Monster rally in rate futures resulting from the Fed’s rate cut projections embedded in the dot plot. The FF projection for year-end 2024 was 4.6% in June, then jacked up to 5.1% in Sept and slashed back down to 4.6% yesterday, representing three 25 bp cuts next year. It was shortly after […]
Fed Day. Get ready for tough Powell
December 13, 2023***************************** –Not much change in yields yesterday as CPI came out essentially as expected. Headline m/m was +0.1%, yoy 3.1% and Core 4.0%. Ten year yield fell nearly 3 bps to 4.208%. The curve flattened marginally, just enough to notch a new recent low in 2/10 spread at -52.3. On the SOFR curve […]
A Tale of Two Headlines
December 12, 2023********************** WSJ Headline: Underlying Inflation Could Complicate Prospect for Rate CutsBloomberg lead-off headline: CPI Expected to Give Room for Rate Cuts, Bloomberg Economics Says CPI today, rate cut deliberations tomorrow. –CPI is expected 0.0 from 0.0. Yoy 3.1 from 3.2% last. Core yoy 4.0 vs 4.0. Thirty-year auction today, but bonds rallied after […]
Life is full of trade offs
December 10, 2023 – Weekly Comment****************************************** Last time I focused on SFRZ4 which had rallied 49.5 on the week ending Dec 1, with a final settle of 9601.0. The settle from the previous Friday was 9551.5. The midpoint between 9551.5 and 9601 is 9576.25. Friday’s settle was right there at 9576.5, a fall of 20.5 […]
In: Eurodollar Options
PAYROLLS!
December 8, 2023******************* –Now it all boils down to the payrolls number. For a long time the employment data faded in importance, now it’s back to its rightful place up there with the orange juice crop report. Wait a second, is that Kent Dorfman (Flounder) on the left side of the screen? Never noticed that […]
