Archive for the ‘Eurodollar Options’ Category
Jobs now the focus
July 6, 2023 –Vol quite a bit firmer as long end rates move higher. TYU 111.5^ 2’33 or 7.6, high of recent range. 2/10 back to -100 having been -106 last week. New high in SFRZ3/Z4 to -120.5, up 6.5 on the day as Z3 rose 1.5 to 9463.5, while Z4 was -5.0 at 9584.0. The lowest one-year spread […]
It looks good- on paper
July 2, 2023 – Weekly Comment ************************************************************************************* …as the Crisis mood congeals, people will come to the jarring realization that they have grown helplessly dependent on a teetering edifice of anonymous transactions and paper guarantees. Many Americans won’t know where their savings are, who their employer is, what their pension is, or how their government […]
Bear market
June 30, 2023 –US rates jumped yesterday with the 2y yield up 15 bps to 4.872%, and 10s up 13.4 to 3.85%. The final reading of Q1 GDP was 2.0% vs expected 1.4% with a price index of 4.1%. Jobless Claims lower than expected at 239k. August FF settled 9471.5 (-2.0) or 5.285%; a […]
25 years of transitory
June 29, 2023 –Central bankers at the ECB conference continued to talk restraint, but SFR futures still closed higher on the day. However, prices have reversed and are near new cycle lows this morning. For example SFRU4 settled 9587, +7.0 but have exactly reversed that move, trading 9580 this morning. With respect to a question […]
Inversion round trip
June 28, 2023 –I marked 2/10 at -99.4 using the new 2y. However, the old 2y (May ’25) has a yield over 6 bps higher at 4.829% vs new at 4.76%. Using the old 2y yield gives a 2/10 read of -106.3, very close to the pre-SVB low of -109. Attached is a chart of […]
2/10 pressing new lows
June 27, 2023 –Another new low yesterday in 2/10 at futures settle; I marked at -101.6. Attached is a chart showing the 2004/2006 tightening cycle in 2/10 vs current. The 425 bp FF increase in the first episode ended in June’06. The initial low in the spread was in Feb’06 at -16, which was followed […]
Heroic Hopes for Ease Vanish
June 25, 2023 – Weekly Comment *********************************** Did they get you to tradeYour heroes for ghosts?-Pink Floyd This week I am just noting a few odds and ends, interesting (to me) as individual snippets, but I am not trying to weave a broader story. I start with a chart of FFQ3 to FFF4. This spread […]
Level and duration of 2/10 inversion nearing extremes
June 23, 2023 –The 2/10 treasury spread was trading -100 yesterday, extreme inversion. 5/30 also ended at a new recent low of -17 bps. The pre-SVB low in March in 5/30 was -46, so we’re still well above that level. However, the early March low in 2/10 is -109. 2/10 has been inverted, (below -15), […]
Some inflation risks remain…
June 22, 2023 –Powell again today in front of Senate. Rates were little changed on the first day of Powell’s testimony, though there seemed to have been some coaching on [RISKY] changes in bank capital rules before the event. The ten year yield ended unchanged at 3.723% after a stellar 20-yr auction (4.01% vs pre-auction […]
Powell in the House
June 21, 2023 –Powell today in semi-annual testimony before the House. The objective continues to be convincing the market that an ease is not in near term prospects. However, yields eased yesterday with tens down 5 bps (from Friday) at 3.723%. FFQ3 settled 9473.5 or 5.265% while FFF4 settled -2 at 5.22% vs the current […]
