Archive for the ‘Eurodollar Options’ Category
“Just close the f’ing door”
November 10, 2023 –I don’t know if Powell actually uttered those words when confronted with climate activists yesterday, but it sure sounded like it. On the other hand, he continues to close the door on those looking for a quick pivot toward ease. I think everyone agrees that policy is currently restrictive, but Powell quantified […]
Flatter curve going into Powell and 30y
November 9, 2023 ******************** In the year 2525, if man is still aliveIf woman can survive, they may findIn the year 3535Ain’t gonna need to tell the truth, tell no lieEverything you think, do and sayIs in the pill you took today–In the year 2525, Zager and Evans –Main feature of Wednesday’s trade was a […]
A chance to replenish SPR
November 8, 2023******************* –Crude oil continues to slide lower. Yesterday CLZ3 down 3.45 to 77.37 and this morning it is 76.65. –Good three year auction yesterday but 10s today and 30s tomorrow will likely be more challenging. Last month’s ten year auction was at 4.61%; when-issued was 4.555/4.50% at futures settlement time yesterday. Powell slated […]
Thrill of Victory, Agony of Defeat
November 7, 2023******************** –Rate futures gave away much of Friday’s surge. For example, TYZ3 settled 107-155 Thursday, 108-115 Friday and 107-19 yesterday. Open interest down 53k in TY. Open interest also fell 36k in SFRZ3 as large sales from a few days ago at 9456 exited, SFRZ3 settle 9461.5. –I’m not surprised about WeWork, the […]
Pricing towards ease
November 6, 2023******************* –Huge rallies in stocks and bonds Friday on a weak employment report. Ten year yield down over 12 bps to 4.663%. SFRH5 and M5 were both up 20 on the day, straddling 4% (H5 9593.5, M5 9610.0. New low in the near calendar spreads. The lowest one-year calendar is SFRH4/H5 at -116, […]
The Labor Market Has Turned
November 5, 2023 – Weekly Comment ******************* Chart below is the unemployment rate and the midpoint of the FF target range. It’s clear from the chart that the UE rate is a lagging indicator. It generally declines even as the Fed is hiking, then changes all at once. When the unemployment rate makes a new […]
5% and 20 bps. Just a normal week
November 3, 2023******************* –Big flattener yesterday. Red pack (second year starting with SFRZ4) actually was lower on the day -0.375 at 9577.875, greens +5.375 to 9601.25, blues +10.625 to 9593.875, and golds +12.375 to 9577.25. Reds and golds are identically priced ~4.25% while greens and blues are closer to 4%. –Since Monday SFRH4 is +3 […]
Powell’s easy
November 2, 2023 ******************** –Powell said the Fed is not thinking at all about cutting rates, and the question the Fed is asking is should we hike more. The market digested that, along with other comments, and concluded: FED PIVOT!! Rate and equity futures soared during the FOMC press conference. On the SOFR curve SFRH5 […]
There are no guarantees
November 1, 2023 ******************** –A lot going on today to kick off November: Treasury releases details on compostion of borrowing at 8:30. ADP at 8:15JOLTs and ISM Mfg at 10:00. ISM expected 49.0 from 49.0 lastFOMC in the afternoon. –Quiet session yesterday with main feature being continued flattening (and snow flurries in Chicago). For example, on Friday, […]
BoJ tweak. US Treasury borrows.
October 31, 2023****************** –Yesterday afternoon Treasury announced borrowing estimates of $776b for Oct-Dec 2023 and $816b for Jan-Mar 2024. Cash balance at the end of both quarters is assumed at $750b, though current TGA is $848b according to the St Louis Fed site. Though Q4 borrowing was lower than expected due to “projections of higher […]
