Archive for the ‘Eurodollar Options’ Category
Long bond yield sinks in flattener
December 7, 2023******************* –Long end of the market was well bid in conjunction with a hard flattening trade. Two year rose 2.6 bps in yield to 4.601% while the thirty yr fell 8 bps to 4.225%. US vol had a nice jump from 13.9 to 14.5 ( USH4 atm straddle from 6’12 to 6’32). Icing […]
Cracks in Labor Market Support Treasuries
December 6, 2023******************* –Rate futures stubbornly bid yesterday, sparked by a new yearly low in JOLTs at 8733k (expected 9300). ISM Services a bit stronger than expected at 52.7, but the employment component fell to 50.7 vs 51.4 last. This morning ADP is released, expected 130k. Unit Labor Costs projected -0.9 from -0.8. Payrolls on […]
Small pop in yields after last week’s plunge
December 5, 2023******************* –Yields reversed part of Friday’s plunge. Yesterday the ten year finished at 4.29%, up 6.4 bps, taking back about half of Friday’s 12.4 bp drop to 4.226%. SFRZ4 was up 21.5 on Friday to 9601.0, yesterday it settled -9.5 at 9591.5. Gold and silver posted huge outside day ranges, having made new […]
Unhinged
December 4, 2023******************* –Attacks on a US warship and commercial vessels in the Red Sea sparked huge volatility in gold. Dec Gold is currently nearly unchanged at 2069, but made a new high of 2130 and has had a range so far of $69. Bitcoin also exploded higher but is holding gains above 42k, high […]
Gimme Three Steps
December 3, 2023 – Weekly Comment**************************************** I was cuttin’ a rugDown at place called The JugWith a girl named Linda LouWhen in walked a manWith a gun in his handAnd he was looking for you know who… As everyone knows, there was an explosive bond rally in the past week. All I could think of […]
Against the wind
December 1, 2023*******************–SFRU4 settled -7.5 at 9547.0, at the first buy level of Wednesday’s block buying spree. The final purchase price was 9555.0. This morning the contract is printing 9553.0; last Friday’s settle was 9520.5. The market synthesized Waller and Ackman’s comments from earlier in the week and essentially priced another 25 bp cut. The […]
Big Buyer
November 30, 2023********************* –Job Claims expected 218k from 209.PCE prices 0.1% m/m vs +0.4, with yoy expected 3.0% vs 3.4% last. Core yoy 3.5% from 3.7%. Eurozone inflation printed 2.4%. Despite yesterday’s 5.2% Q3 GDP print, Bill Ackman’s comments during an interview with David Rubenstein sparked buying across the curve. Ackman said he thinks the […]
A look back at the 2018/2019 playbook
November 29. 2023********************* Capitalism without failure is like religion without hell.-Charlie Munger –This is sort of funny, or maybe it’s not. I don’t really have time to do it justice but am throwing the ideas out anyway. –This morning the Drudge Report starts with the headline: ‘Masks, Social Distancing Return to China – Europe on […]
Lower rates
November 28, 2023********************* –Rate futures rallied yesterday, the ten year yield fell just over 9 bps to 4.388%. On the SOFR curve, greens through golds were +10 to 12. New Home Sales much weaker than expected at 679k (721k expected). Dallas Fed Mfg soft at -19.9. Mediocre 2y auction was followed by a solid showing […]
2 & 5 year auctions today
November 27, 2023********************* –Friday’s shortened session featured higher rates. Tens up 6.6 bps to 4.48%. SOFR contracts from March’25 to March’27 were down 6 to 6.5 bps. Rate futures up slightly this morning, regaining part of Friday’s losses. Equities marginally lower, with BBG citing China’s weaker Industrial profits, +2.7% in Oct from +11.9% in Sept […]
