Archive for the ‘Eurodollar Options’ Category
The Marlboro Man
September 24, 2023 – Weekly Comment****************************************** In the mid-1950’s Philip Morris gave Chicago advertising upstart Leo Burnett an assignment: Sell Marlboro cigarettes to men. At the time, the filtered pinkish end of the brand gave it more of a feminine aesthetic. The creative agents at Burnett immediately decided to focus on the most masculine of […]
In: Eurodollar Options
Sell Mortimer, SELL
September 22, 2023 –If there was ever a repudiation of MMT (Modern Monetary Theory) it’s going on right now. No Stephanie, the gov’t cannot spend whatever it wants without consequences. The curve bear steepened yesterday with the ten year yield up 13.3 bps to 4.478% while the two year rose 3 bps to 5.146%. 2/10 […]
In: Eurodollar Options
SOFR curve won’t adjust all the way to Fed’s projections
September 21, 2023 –For a long time, long dated assets were underpinned by the idea that Fed rate increases would be significantly reversed in the coming year. That assumption was crushed yesterday as the Fed raised the FF end-of-2024 dot from 4.6 to 5.1. The 2023 estimate for FF remained at 5.6, same as June, […]
In: Eurodollar Options
Today’s missing hike has been priced into SFRZ4
September 20, 2023 –All treasury yields ended at new highs except for the long bond, with 2s up 4.5 to 5.105%, 5s up 6.0 to 4.52% and 10s up 4.8 to 4.365%. The 30y ended at 4.424, up 3.0, just a couple of bps off the high. Once again new contract lows in SFRH4 to […]
In: Eurodollar Options
New high SFRZ3/Z4 in front of FOMC
September 18, 2023 –The US curve was mixed Monday. The two year yield rose 2.5 bps to 5.06% while tens fell 0.5 bp to 4.317%. 2/10 now -74.3. On the SOFR curve, SFRZ3/SFRZ4 made a new high of -94 (9453.5/9547.5) as selling pressure is centered on reds (new contract low settles again in U4, Z4, […]
In: Eurodollar Options
Forward easing expectations keep declining
September 18, 2023 –Friday saw yields push higher, with new contract lows in SFRM4 (9487), U4 (9518.5) Z4 (9552.0) and H5 (9580.5). Tens +3.6 bps to 4.322%. This would have been the IMM date for front Sept ED to settle to libor, so now SFRU4 is one year forward, and at 9518.5 it’s just a […]
In: Eurodollar Options
Tighter conditions can lead to unexpected snaps
September 17. 2023 – Weekly Comment****************************************** The FOMC meeting is Wednesday, widely forecast to be a skip. The current Fed Effective rate is 5.33% and FFV3 settled 9466.5 or 5.335%. The Nov 1 FOMC is still in play with FFX3 closing 9459.5 or 5.405%. The ECB raised the policy rate this week, but significantly lowered […]
In: Eurodollar Options
No Country for Old Men
September 15, 2023 You always pay too much. Particularly for promises. There aint no such thing as a bargain promise.from the novel, No Country for Old Men –I had seen on Wednesday that President Biden was scheduled to give an economic speech on Thursday. I skim a decent amount of news in the morning, and […]
In: Eurodollar Options
Shunning bonds
September 14, 2023 –Yields edged lower as the brief sell off after the inflation report was absorbed. CPI 3.7 vs 3.6 expected, Core 4.3, as forecast. Tens fell 1.7 bps to 4.245%. SOFR contracts up 2 to 3 from U4 back. Vol a bit lower in the wake of CPI. TYZ3 110^ 2’35 from 2’40 […]
In: Eurodollar Options
CPI day
September 13, 2023 –Curve flatter yesterday with 2yr note up 1.6 bps to 5.002 and 10y down 2 bps to 4.262. On the SOFR curve reds -3, greens -1.25 but blues UP 0.875 and golds +2.75. –Big release of the day is CPI, expected to show yoy headline increase to 3.6% from 3.2 last. Core expected to […]
In: Eurodollar Options
