Archive for the ‘Eurodollar Options’ Category
Crunch
July 30, 2023 – weekly comment SUMMARYRates are restrictive and will eventually squeeze inflation lower (if maintained) Lacy Hunt interview (Wealthion). GDI and GDP typically track though can diverge over the short term. GDI has been negative in 3 of the last 4 quarters. Q2 GDP primarily due to auto assemblies; won’t repeat. Gov’t has […]
BOJ shot across the bow
July 28, 2023 –As leaked yesterday by Nikkei/Reuters, BOJ tweaked 10y JGB yield curve control, leaving a soft +/- 50 bps range, but a hard cap at 1%. JGB yield rose to 57.5 bps this morning. The BOJ news sparked huge moves across assets, but the ECB also raised rates yesterday morning as expected. From […]
Restrictive but no recession
July 27, 2023 -As expected Fed hiked 25. Powell mentioned several times that policy is restrictive. but also said that Fed staff no longer forecasts recession. WSJ’s Timiraos asked about whether inflation projections in September’s SEP would come down (by 20 or 30 bps). In June PCE prices for end-of-2023 were marked down from 3.3% […]
Lags
July 26, 2023 –FOMC today featuring a fully expected hike in FF to 5.25-5.50%. Fed Effective has been 5.08%, should now move to 5.33% and FFQ3 settled 9467.5 or 5.325%. The November FF contract is lowest on the curve and settled 9456 or 5.44%, not quite half-a-hike being priced over the next two meetings (Sept […]
Feed the Beast
July 25, 2023 “They stab it with their steely knives, but they just can’t kill the beast” Eagles – Hotel California — I saw a post yesterday that said Federal Tax revenues are actually decreasing. Charts below are from St Louis Fed Fred website, showing a high of $3.2T collected in 2022 and less than […]
Big tech and big Central Bank week
July 24, 2023 –Rates little changed on Friday. Ten year yield down 1.2 bps to 3.84%. 2/10 spread just under -100 bps. –This week features FOMC meeting Wednesday. FFQ3 is priced at 9468.5 or 5.315%, indicating a lock for 25 bps hike. The lowest contract on the FF curve is November at 9459 or 5.41%; this […]
Conundrum
July 23, 2023 – Weekly Comment ********************************** Below I have posted a couple of charts on the US 10 year yield. The top one is from the Fed’s 2004 to 2006 hiking cycle, when the Fed hiked 25 bps at every meeting from 1% to 5.25%. It was February 16, 2005 when Greenspan gave his […]
FT: Japan’s inflation outpaces US for the first time in 8 years
July 21, 2023 –Surprising weight on rate futures yesterday, with the green pack (SFRU5, Z5, H6, M6) leading the way settling -16 on the day. Reds, 2nd year forward settled -12.875. Ten year yield jumped over 11 bps to 3.852% going into today’s August option expiration. There’s really no standout TY option strike with large open […]
Black market for bread
July 20, 2023 –Quiet session in rates Wednesday. Curve became more deeply inverted with 2s essentially unchanged at 4.751% and 10s down 5 bps to 3.74%, bringing 2/10 spread just below -1% (-101 bps). –Buying continues in SFRH4 9600/9700cs, 9 paid for 10k with total accumulation about 100k. Settled 9.25 (16.0/6.75) ref 9499.5. –As next […]
Consumer spending easing
July 19, 2023 –Retail Sales lower than expected except for Control Group. Headline was expected +0.5 but actual +0.2. Control expected +0.3 but actual +0.6“The control group is all sales excluding receipts from auto dealers, building-materials retailers, gas stations, office supply stores, mobile homes and tobacco stores.”Industrial Production was -0.5%….it has contracted 6 out of […]
