Archive for the ‘Eurodollar Options’ Category
What I CAN observe is my bond position disintegrating
October 18, 2023******************–Rate futures imploded to new lows on stronger than expected Retail Sales +0.7 m/m vs +0.3 expected with the previous month revised up 0.2 to +0.8%. As a result, Atlanta Fed GDP Now was jacked up to 5.4% from 5.1%. Even Barkin said that his contacts don’t paint the same strong picture of economic activity…if […]
Fast hikes, slow ease. Isn’t that backwards?
October 17, 2023 –Today’s news includes Retail Sales, expected 0.3% from 0.6 last. Ex-auto and gas 0.1% vs 0.2%. Industrial Production 0.0 from +0.4%. –New high Monday in SFRH4/SFRH5 one-year calendar at -95.5 (9464.5/95.60) up 3.5 on the day. This is currently the most inverted 1-yr on the curve. In early Sept the 1-yr spreads […]
Thursday’s extremes are guideposts
October 16, 2023 –USZ3 bond contract is under pressure this morning, trading 111-29 from Friday’s settle of 112-25. Thursday was a big day last week, with longer end maturity contracts making new highs early and then plunging after a weak 30y auction. Continued supply is weighing on treasuries. TY, US and WN all had large […]
Barbaric Relic
October 15, 2023 – Weekly comment *************************************** One hundred years ago John Maynard Keynes wrote, “In truth, the gold standard is already a barbarous relic.” (page 172, A Tract on Monetary Reform). Keynes was talking about the gold standard, but over time gold itself has been tagged as a relic. Here are a couple of […]
We Won. (Just keep saying that to yourself)
October 13, 2023 –CPI a bit stronger than expected with headline m/m 0.4 vs expected 0.3 and y/y 3.7% vs expected 3.6%. The NY Fed is discontinuing its UIG (Underlying Inflation Gauge) perhaps after Nobel laureate was deservedly heckled for this ridiculous post: –“Very little cost”… if you take out the price of necessities […]
I’ve got an idea…
October 12, 2023 –CPI and 30y auction today. On y/y basis, CPI expected 3.6 vs 3.7 last and Core 4.1 vs 4.3. Social Security will reveal its COLA today, expected 3.2% for 2024, down from 8.7% last year and 5.9% in 2022. JPM, C and WFC report on Friday. –Interesting bullet point from Waller yesterday:When […]
A few notes
October 11, 2023 –Several Fed speakers have suggested that tighter financial conditions/higher long-end rates are mitigating the need for the Fed to continue raising short term rates (Logan, Jefferson, Bostic). Daly said yesterday that the nominal neutral rate is likely between 2.5% and 3% “2% inflation plus 0.5 real rate”. I would mention that the […]
The Fed is likely done
October 10, 2023 –Stocks shook off early weakness related to horrors in Israel/Gaza with SPX +0.6%. XLE (energy etf) gained 2.9%. ITA (defense) +4.45%. Individual names like Genl Dynamics soared even higher, +8.4%. Comments by both Dallas Fed President Logan and Gov. Jefferson indicated that tighter credit conditions and higher long-term rates may mean the […]
Safe haven flows muted so far
October 9, 2023 –Huge bounce off the lows in rate futures Friday, following larger than expected NFP of 336k (though Household survey was only +86k). This weekend’s attack on Israel and inevitable response caused flight to quality buying in treasuries, but does not appear to have changed the trend towards higher rates, at least for […]
Bunker Mentality
October 8, 2023 – Weekly Comment ************************************** On September 21, the day after the last FOMC, the ten-year yield was 4.5%. On Friday I marked it at 4.78% at the time of futures settle, or more than ¼ % higher. The Bankrate 30y mortgage was 7.59% on Sept 20 and is now 7.93% (with many […]
