Archive for the ‘Eurodollar Options’ Category
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
Maybe it’s just about supply
September 10, 2023 ********************** On the week, the 2yr yield rose 11.6 to 4.98%, 5y up 11 to 4.394%, 10y +8.7 to 4.254% and 30y up 4.7 bps to 4.33%. Almost an exact reversal of the previous week. Yields remain close to highs of the year. ISM Service data was a major catalyst at 54.5 […]
In: Eurodollar Options
Asset Values Can be Fickle
September 8, 2023 –Much of Wednesday’s sell off in rate futures was reversed yesterday and yields are slightly lower this morning. Two year yield down 7 bps yesterday to 4.95% and tens fell 3.2 bps to 4.256. Having made a new recent high Wednesday of -104.5, SFRZ3/Z4 fell 9.5 yesterday to settle -114 (9455.5/9569.5). –Dallas […]
ISM Services spark tighter conditions
Sept 7, 2023 –Much stronger than expected Service ISM sent short-dated contracts lower, accentuating curve inversion. SFRU4 and Z4 settled at new lows for the move, 9525.5 (-7.5) and 9559 (-8.5). Weakness in reds caused near one-year calendars to settle at new recent highs, -67.5 in SFRU3/U4 (9458/9525.5) and -104.5 in Z3/Z4 (9454.5/9559). Data like […]
Beige Book likely to cite moderating growth
September 6, 2023 –Waller comments yesterday suggested balanced risks as the economy slows, with the possibility of just one more hike. He said the Fed can now wait and see how data evolves. However, rates jumped with red sofr contracts leading the way. SFRU4 was the weakest contract on the board settling 9533 or 4.67%. […]
USD strength
September 5, 2023 –Brief rally in interest rate contracts post-NFP quickly fizzled, with TYZ posting an outside day and closing near the low. No relief during yesterday’s holiday session and futures are lower yet this morning. TYZ settled 110-185 on Friday, down 14.5/32 and currently print 110-085. –It’s a light news week in the US, […]
Labor Day comes with more balance in jobs market
Sept 3, 2023 – Weekly comment ********************************** On the week, the 2y yield fell about 15 bps, the 5y 13 bps, 10y 7 bps and 30y 1 bp. As mentioned in last week’s note, Powell, in his Jackson Hole comments, focused on non-housing services, which account for over half the core PCE index. He noted, […]
In: Eurodollar Options
Payrolls and Paydays
Sept 1, 2023 –PCE Price data exactly as expected Thursday, PCE Prices yoy 3.3% and Core 4.2%. Employment report today with NFP expected 170k, UE rate 3.5% and Avg Hourly Earnings 4.4%. Speaking of wages, in a NomNomNomics effort to fight inflation, Biden is proposing a pay raise of 4.7% for federal employees. Actually, it’s […]
Fed recommends boarding up windows and doors in case another hurricane hits
August 31, 2023 –ADP added a buying catalyst for the short end on Wednesday following weaker than expected JOLTs on Tuesday.ADP lower than expected at 177k vs 195k expected and Q2 GDP revision was also lower at 2.1%. GDP Price Index was 2.0% vs 2.2 last, exactly at the Fed target. –Both 2s and 10s […]
Job market deceleration
August 30, 2023 -Two pieces of data sparked a large drop in yields and associated stock rally (SPX up 1.45%). JOLTS, expected at 9.5m was actually 8.827m. The high in 2018 was 7.594, so the level of job openings is still relatively high. Consumer Confidence was reported at 106.1 vs 117 last. The ten year […]
