Archive for the ‘Eurodollar Options’ Category
It’s all about Treasury borrowing
October 30, 2023****************** –From Reuters: The Treasury will release its quarterly borrowing requirements on Monday at 3 p.m. ET (1900 GMT) and its refunding news on Wednesday at 8:30 a.m. ET (1230 GMT). –(BBG) The Federal Reserve’s policy statement is setting up to be the No. 2 event on Wednesday, with investor focus instead likely to be […]
Was Q3 GDP the high point?
October 29, 2023 ****************** Below is a chart of Dow Jones Transports. In the three months since the last day of July, it’s down 19% in the context of +4.9% real GDP and 8.5% nominal growth (Q3). Does that make any sense? On Dec 30, 2022 DJT closed 13392. Friday 13556. Almost unchanged ytd. (YTD […]
PCE Prices today
October 27, 2023****************** –Real Q3 GDP was reported at 4.9% yesterday. Nominal 8.5%. Seems high, but with the gov’t churning out spending, perhaps it makes sense. Rate futures rallied. On Wednesday the ten year note rose 11.1 bps to 4.951% and yesterday that move was erased as the yield fell 10.9 to 4.842%. After a […]
It’s FINE. I hedged with futures
October 26, 2023****************** –Stocks slid yesterday with SPX -1.4%. However, treasuries continued to push higher in yield in a bear steepener. 2y up just over 5 bps to 5.12% while tens rose 11 bps to 4.95% and 30s +12.5 to 5.086%. According to prelim CME sheets, open interest exploded across the treasury complex: TU +24kFV […]
Banks down. Butter up.
October 25, 2023 ******************* –Curve flattened as 2’s were auctioned and PMI Composite was stronger than expected at 51.0. 5’s today, preceded by New Home Sales this morning. Weakest contract on the strip was red June, SFRM5, down 8.5 to 9571.0. Ten year yield unch’d at 4.84%. SFRM4 -3.0 to 9484.5, SFRM5 -8.5 to 9571.0, SFRM6 […]
Short Cover
October 24, 2023****************** –Outside range reversal day in USZ3 and TLT as Ackman said he covered bond shorts, in part due to geopolitical risks, and Bill Gross warned of recession in Q4 (today’s Eurozone PMI only 46.5). Monday morning high yield in the ten year surpassed 5% at 5.02, but by futures settlement it was […]
Continued pressure on bonds
October 23, 2023****************** —New low in the USZ3 contract this morning at 107-12. Friday’s settle was 108-15. Ten year yield closing in on 5%. TYZ3 105-15 vs Friday settle 106-00. –Equity futures were higher last night (Sunday) but ESZ3 printing 4232.0, -16.5 (around 5:30 EST). Shanghai Comp currently down around 1.5% (new recent low). –Friday […]
High long treasury rates achieve 1)Restraint on inflation 2)Headwind against stock gains leading to consumption 3)Crowding out of private sector borrowing 4)Accommodation for domestic buyers to fund the deficit
October 22, 2023 – Weekly comment *************************************** It has been an extraordinary rise in the US ten year yield since May. The low in May was 3.34% and Friday it was 4.92%, a surge of 158 bps. The largest retracement over that period was in July, from 4.07% on July 7 to 3.75% on July […]
In for a long slog
October 20, 2023****************** –Wild volatility after Powell’s comments which resolved in a much steeper curve and lower equities. We’re faced with geopolitical tensions and continued inflation risks, coupled with signs that conflicts are going to expand. Biden’s speech was solid, but the prospect of steadfast military aid to Ukraine and Israel likely makes bondholders nervous […]
FIVE PCT
October 19, 2023 ****************** –Tens appear to want to test 5% today as 20’s hit 5.25% yesterday before the auction. According to St Louis Fed the high ten-year yield in 2006 was 5.20% which followed the Fed’s 2004-2006 hiking campaign. Tens now 4.955% vs ending at 4.90% at yesterday’s futures settlement. –Does this have […]
