Archive for the ‘Eurodollar Options’ Category
CPI and 30year auction
August 10, 2023 –CPI today expected 3.2 to 3.3% yoy from 3.0, with Core expected 4.7% from 4.8 last. Jobless Claims 230k. 30y auction. –Curve slightly more inverted yesterday with 2s +4.2 bps to 4.80 and tens -1.4 to 4.01. Ten year auction result 3.999%. –For the past 15 sessions FFX3 has settled 9456 to […]
The inflation problem is over… in China
August 9, 2023 –News that China has slipped into deflation (July CPI -0.3% yoy) has briefly overshadowed the US CPI report which will come out tomorrow. In the meantime, CLU3 trades 83.72, up 80 cents this morning, the highest level for the Sept contract in a year. US CPI is expected 3.2 to 3.3% yoy […]
Oh it was just a lucky guess
August 8, 2023 –New recent highs in some of the treasury curve spreads. For example 5/30 is almost +11 bps having been -35 one month ago on July 6. 10/30 is around +18 from -3.6 on July 6. Yields across the curve were mixed, with 2y -3.3 bps to 4.756, 5y -1.5 to 4.148, 10y […]
We’re marking down prices and passing the savings to YOU
August 7, 2023 –Friday’s Payrolls weaker than expected at 187k, though Avg Hourly Earnings at 4.4% were higher than the expected 4.2. This week starts out fairly quiet, though Fed Governor Bowman speaks today. Over the weekend she said more hikes may be necessary, and that’s hikes with an S. [wasn’t no cop man. Was cops, […]
Whispers of 1987
August 6, 2023 – Weekly Comment ************************************* When you tell the truth, have one foot in the stirrup A friend who related this proverb last week said it was Spanish (he probably heard it first in that language) but apparently it’s of Turkish origin. Like all great proverbs, it’s universal. Truth can be dangerous.And why […]
Pre-NFP 10y yield +11 bps to 4.187%
August 4, 2023 –NFP expected 200k from 209k last but there are many higher estimates. Avg Hourly Earnings expected 4.2% from 4.4%. Weekly Hours has become more important, expected 34.4 from 34.4 last. Rate of 3.6%. Given this week’s yield surge, today’s employment report has added importance, it’s the last one before Jackson Hole Conference […]
Psychology shift
August 3, 2023 –.Interesting steepener yesterday. 2y down 2 bps to 4.887 while tens were up 3 bps to 407.3. New recent high in 2/10 to -81.4. Just before the July 26 FOMC it was -105. Lowest SOFR one-yr calendar is now SFRH4/H5 at -126 (9487.5/9613.5) while SFRZ3/Z4 is -125 ((9464/9589). Recent low in Dec/Dec was -162.5. 30y […]
Bizarre
August 2, 2023 –Bold move by Fitch to downgrade US from AAA to AA+. There will certainly be severe retributions against the company. In 2011 when S&P did the same thing, the CEO was booted faster than a Ukrainian prosecutor. [well, son of a bitch, he got fired] From Wikipedia:In order to mend its relationship […]
It’s a bit circular
August 1, 2023 –Lacy Hunt of Hoisington said that the $1.4 trillion deficit so far in the 3 quarters of this fiscal year was financed primarily by private domestic non-bank investors. If they haven’t quite gotten their fill yet, US Treasury “…on Monday announced it expects to borrow USD1.007 trillion in privately-held net marketable debt in […]
Bull runs
July 31, 2023 –Today’s news includes Fed’s Sr Loan Officer Survey (SLOOS) which may indicate tighter credit conditions. Dallas Fed Mfg. –Treasury releases financing estimates; TBAC /Treasury presentation is Wednesdayhttps://home.treasury.gov/policy-issues/financing-the-government/quarterly-refunding/most-recent-quarterly-refunding-documents –PCE prices on Friday were friendly. PCE yoy 3.0% and Core 4.1%. Yields fell, with tens -4.7 bps to 3.967, while thirties hold above 4% […]
