Archive for the ‘Eurodollar Options’ Category
It’s not a credit crunch sir. We just can’t approve YOUR application
July 18, 2023 –Retail Sales today expected 0.5% m/m. Quiet day in rates. Tens eased 2 bps to 3.795%. SOFR curve slightly more inverted with reds +2.125, greens +4.375 and blues +4.625. FFQ3 settled 9468.5 essentially sealing a hike next week (final settle should be ~9467.5 on 25bp hike). FFF4 settled 9466.5, essentially the same […]
Who to believe, the Fed or the market?
July 17, 2023 –Rate futures gave back some of the gains from the early part of the week as Waller’s hawkish Thursday afternoon speech spilled over (2 more hikes and need to remain restrictive). On Friday 10s rose 5.7 bps to 3.816%. SFRZ4 was the weakest contract, settling -20.5 at 9616.5, which was still up […]
Demand from Aspirational Consumers has Softened. Huh?
July 16, 2023 – Weekly Comment ************************************ Burberry’s Q1 “comparable store sales in the Americas fell 8%.” The CFO cited softened demand from “aspirational consumers”. I’m a bit bewildered. What in the hell is an aspirational consumer? In my mind I have an image of someone who pays more than they can afford, using credit, […]
Plenty of liquidity
July 14, 2023 –Core PPI yoy only 2.4%. New lows in the dollar index seemed to unleash buckets of liquidity with SPX +0.85% and the ten year yield down nearly 10 bps to 3.76%. The 2-yr note which had been over 5% a few days ago, fell another 12.7 bps to 4.613%. DXY had been […]
Comforting signals, for now
July 13, 2023 –CPI headline was 3.0 yoy (expected 3.1) and Core just 4.8%. Both at lows for this calendar year with headline at the lowest since April of last year. Today PPI is expected at just 0.4% yoy, with ex-food & energy 2.6%. Of course WTI was pretty much between 68 and 72 last month, and yesterday […]
Headline inflation expected 3%. Mission accomplished?
July 12, 2023 –CPI today, expected headline 3.1 from 4.0 and Core 5.0 from 5.3 last. No matter what it’s not likely to change expected hike on July 26, with Aug FF settling 9470 or 5.3%. FFF4 settled 9460.5. –SOFR curve flatter (more inverted) yesterday. SFRZ3 -4.0 at 9459.5, Z4 -2.0 at 9594.0, Z5 +2.5 […]
Yen firming
July 11, 2023 –DXY getting weaker; gold getting a little bounce. $/yen from 144.30 to 140.42 in four sessions. –Consumer credit, expected $20b in May was actually $7.24b with non-revolving (auto and student loans) falling $1.26b. High financing rates, falling used car prices and the possibility that student loans may actually have to be paid […]
Deflation – making sure it doesn’t happen here (in Beijing)
July 10, 2023 –The title is from Bernanke’s famous 2002 speech. Maybe it’s worth a review by the new PBOC chief, Pan. By increasing the number of U.S. dollars in circulation, or even by credibly threatening to do so, the U.S. government can also reduce the value of a dollar in terms of goods and […]
Who funds the US lifestyle
July 9, 2023 -weekly comment ******************************* I had created a chart in 2016, with the US 5y5y inflation swap overlaid with China yuan (below). At that time a familiar refrain, especially after China devalued in 2015, was that China was exporting deflation. Indeed, depreciation in the Chinese currency appeared to be correlated to decreasing inflation […]
Strap in for NFP
July 7, 2023 –US 30y yield just above 4% at futures settle. 2y just above 5%, having surged as high as 5.12%. 10s added nearly 10 bps to end at 4.041%. –ADP rose a whopping 497k in front of today’s payrolls which are expected 230k, but now with a wide dispersion of estimates. Leisure and hospitality added […]
