Archive for the ‘Eurodollar Options’ Category
Scotty: I don’t know how much longer I can hold her together
October 6, 2023 –Yesterday Daly gave a speech which made the pause case: If we continue to see a cooling labor market and inflation heading back to our target, we can hold interest rates steady and let the effects of policy continue to work. Importantly, even if we hold rates where they are today, policy […]
Econ commodities and rate spreads send a worrisome signal
October 5, 2023 –Last Thursday Nov Crude touched $95/bbl. This morning it’s 83.50 after a 5 dollar plunge yesterday to 84.22. Along the same lines, Dec Copper is at a new low for the year, printing 3.5555 after having been over 4.25 in January. BofA has reported decelerating credit card spending for several weeks (Consumer […]
Bond vigilantes
October 4, 2023 –We’re getting a change in leadership, no I’m not referring to McCarthy’s ouster as House Speaker, but in the rise of the long bond yield. And it’s not ‘leadership’ in a good way, which is an omen for our political class. The thirty yr yield soared 14.5 bps to 4.939% while the […]
From 60/40 to 0/100 and a long vacation
October 3, 2023 –New highs in treasury yields. Tens up 11 bps to 4.681% and 30s +8.6 to 4.794%. Additionally, the 10y inflation-indexed yield rose to a new high 2.334%, a level last seen in 2008. As of this writing TYZ and USZ remain pinned to yesterday’s lows, with TYZ3 107-07 (-3.5) and USZ 112-07 (-5). […]
Can Talyor Swift keep the economy humming forever?
October 2, 2023 –A couple of morning headlines might give the idea that bonds are finding support:Reuters: Eurozone factory activity stuck in steep downturnFT: Asia faces one of the worst economic outlooks in half a century, World bank warns.But…WSJ: American’s still spend like there’s no tomorrow. [Can Taylor Swift keep this economy humming forever?]And…Congress averted […]
Parallels
October 1, 2023 – Weekly Comment **************************************’ Just a few charts and thoughts this week. Treasury yields made new highs, led by longer maturities. On Thursday, the 20yr poked just above 5% but came back down to end the week at 4.90%. Similarly, the 30yr popped above 4.80% but ended near 4.70%, up 19 bps […]
Capitulation in reds
September 29, 2023 –Large reversals yesterday. Back end of the curve steepening. 2/10 high of the year is around -40 and now around -47 (getting close) though that’s partially due to new 2y and the roll (i.e. the old 2y ended at 5.125 at futures close and the just-auctioned 2y is 5.07, making 2/10 seem a […]
In: Eurodollar Options
New low settles in SOFR contracts
Sept 28, 2023 –Rate futures continue to trade extremely weak, with most near SFR contracts closing at new low settles. For example, SFRU4 settled over 5% for the first time, at 9499 or 5.01%, down 6 on the day. To reach the current SFRZ3 price would require another 47.5 of roll-down. SFRU4 9500 straddle settled […]
In: Eurodollar Options
Where there’s smoke
September 27, 2023 –Stocks tumbled yesterday with SPX -1.5% and Nasdaq Comp -1.6% (though there’s a small bounce this morning). 30y bond yield continues to lead rates higher, ending 4.687% at futures settle, up 4.2 on the day. Shorter maturities unchanged to up slightly. New recent highs in 2/10 at -57 bps and 5/30 at […]
In: Eurodollar Options
What happened to OMO?
September 26, 2023 –Now it’s just fear. Or at least a deep sense of unease. Yesterday, the thirty year bond led yields higher, ending up 13.7 bps at 4.655%. Vol exploded. For example, on Friday I marked the atm USZ 117^ at 4’48 ref 116-29. Yesterday the 115^ ref 114-27 settled 5’26. Even having taken […]
In: Eurodollar Options
