Archive for the ‘Eurodollar Options’ Category
Brief CME session today, with plenty of risk
April 3, 2026************* –Short session today with most also taking Easter Monday off. Payrolls expected +65k with rate 4.4%. –Notable buying TYK 112c (delta neutral) over 42k. Settled 0’16 vs 111-005 with open interest +25k. While holiday time decay is a slight headwind, vol protection makes a lot of sense. –Yields overall little changed […]
Trump injects risk (who would have thought?)
April 2, 2026************* –Yields ended a bit higher yesterday with 10s up 1.3 bps to 4.322. Green SOFR pack (3rd yr) was weakest on the strip at -3.125, settling 9648.375 or right around 3.5%. Of course, Trump’s address yesterday evening sparked a risk-off environment, with ESM down 1.2% as of this note, and NQM down […]
Curve positively sloped; modest easing expectations
April 1, 2026**************–The month of March saw the US 10y yield go from 3.94% on 27-Feb to 4.43% on 27-March, nearly 50 bps. Currently 4.28% with halfway back level 4.186%. Using TYM with actual high and low ticks, 50% retrace is 111-31 (now 111-10); likely a reasonable target as oil stabilizes and the needle is […]
Grasping for conclusion
March 31, 2026**************** –WSJ headline: Trump tells aides he’s willing to end war without opening Hormuz. –While crude oil contracts remain near highs, stock index futures have rallied slightly. End-of-quarter and end of Japanese fiscal year. I, for one, am happy to see the calendar turn the page on March. –I hadn’t previously heard of […]
It started (and ended?) in March
March 30, 2026****************–Friday featured a drop in short end yields and corresponding bounce in the curve. 2y ended -7.2 bps at 3.912% and 10y UP 2 bps to 4.436%. On the SOFR strip, Z6 was +8.5 at 9623.5, Z7 +5.5 at 9649.5 (peak contract), Z8 +1.5 at 9639.5, and Z9 -0.5 at 9625.0. This stretch […]
State Industrial Policy (low BOND yields)
March 29, 2026 – Weekly comment************************************* Three souls are transported to the Pearly Gates to bear witness to St Peter. The first one is approached by St Peter and asked for his IQ and occupation. Answer, 180, physicist. St Peter smiles and says, that’s splendid! We can discuss earthly advances in nuclear fusion and nano technologies.The […]
Vanishing Liquidity
March 27, 2026**************** –The broad overview appears to be one of capital starvation. Early Thursday morning, yields were higher across the board. 5y ended at an explosive new high 4.096, up 58 bps just since the end of Feb (+12.8 on the day).. 10’s surged to 4.416 (+9.2), highest since last July and up 48 […]
Yields pressing to new highs
March 26, 2026***************** –Market continues to yo-yo with conflicting reports of escalation and de-escalation. Stress in private credit markets is another constant factor. Yesterday yields declined with 2s -4 bps at 3.881%, 5s -5.5 at 3.968% and 10s -6 at 4.324%. On the SOFR strip reds, greens, blues and golds were +6.5 to +6.0. Going […]
Range of outcomes becoming wider
March 20, 2026******************–So far in March, ten year gilt has gone from a low 4.23% on Feb 27 to 4.93% this morning as BOE advised yesterday it was ready to react to an inflationary shock. Dec’26 Sonia was down 45.5 bps yesterday to 9558 and is 9543.5 this morning. Feb 27 settle on Dec Sonia […]
Rates soar
March 19, 2026****************–Rate futures crushed yesterday as oil prices continued to rise and Powell emphasized economic and inflation uncertainty. Fed dots regarding FF were same as last, projecting one ease this year and one next year. PCE inflation for 2026 projected 2.7 from 2.4 at the Dec meeting, with 2027 up 0.1 to 2.2 from […]
