Archive for the ‘Eurodollar Options’ Category
Loans
November 26, 2023******************** From The St Louis Fed: Bank Credit is a category on the asset side of a banks balance sheet. It is the sum of (i) Treasury, Agency, and other securities, and (ii) loans and leases. Below charts are % yoy changes from the St Louis Fed (Fred) The top chart is ‘Bank […]
In: Eurodollar Options
Rates edge higher going into Dec Treasury options expiry
November 23, 2023 ********************* –Rates edged a bit higher Wednesday as U of Mich inflation expectations were higher than projected with 1y at 4.5% from 4.4% and 5-10y at 3.2, same as last but expected 3.1%. A Rainbow Bridge car bomb (yes, it sounds like a politically acceptable cocktail order, but was an actual explosion […]
100 bps here, 100 bps there. It all adds up
November 22, 2023******************** –SOFR option activity continues to focus on an easing campaign starting next year. Existing Home sales at just 3.79m rate, lowest since 2010, bolsters the rate cut view. Heavy buying of SFRH4 9500/9525cs vs selling 9450p (about 40k). Settled 2.25 in cs vs 3.5 in the put ref 9475.5. SFRH4 9450p now […]
And they walked away, unscathed
November 21, 2023********************* –Solid 20y auction about 1.2 bps through at 4.78% with b/c 2.58. Yields were generally lower in a quiet session, with tens down 1.5 bps to 4.422%. However, front end was weak with twos up a fraction to 4.911%. Weakest SOFR contract was U’24 at 9527.0 (-2.0), but U’25 was +2.0 at […]
You have two investment choices: Blackstone and Lockbit. Who is a better steward of your capital?
November 20, 2023********************* –Curve continued its flattening trend in November. 2/10 started the month around -18 and ended Friday at -47. On the SOFR curve red/green pack spread settled at -17.625 on Nov 1, and was -29.875 on Friday (9592.375/9622.25). Red pack is one year forward starting with Dec’24. The green pack starts with Dec’25 […]
Leaning Gently Towards Ease
November 18, 2023********************* Tweet by Bill Gross on Friday, November 10. “The best interest rate trade is to bet on a disinversion of the curve. The US economy needs a positive curve to grow as fiscal stimulus wanes. The curve can disinvert by 10 year notes going up, 2 years going down, or both. But a […]
Falling Bond Yields
November 17, 2023********************* –For the past three sessions, 108-30 to 108-31 proved to be strong resistance in TYZ3, as if there was a large standing sell order at that level. This morning TYZ3 prints 109-05 and appears poised to build on the ripping CPI rally from Tuesday. –Yesterday, the ten year yield fell 9 bps […]
Premium sale for a coast into Thanksgiving
November 16, 2023********************* –After Tuesday’s explosive rally following weaker than expected CPI, rate futures fell back yesterday. For example, On Tuesday SFRZ4 jumped 27 bps from 9543.5 to 9570.5, but yesterday gave up nearly half of that gain, closing -12.5 at 9558.0. The ten year yield rebounded 9.3 bps to 4.533%. With the major inflation […]
Moody’s outlook underscores economic malaise
November 14, 2023 –CPI today expected yoy 3.1% from 3.7% with Core 4.1 from 4.1 last. NFIB Small Business Optimism is expected 90.5 vs last of 90.8. It’s worth noting that these levels are below the 2020 spike low of 90.9. The low of this year was set in April at 89.0. Have to go […]
Financial Conditions Tighten from Bottom Up
November 12, 2023 – Weekly Comment****************************************** This post concerns potential tightening of financial conditions from a layer or two below the obvious surface markers. We typically think of the Fed’s definition of financial conditions as comprised of short and long term interest rates, the value of the dollar, the equity market, and credit spreads. The […]
