Archive for the ‘Eurodollar Options’ Category
Et tu Dollar General?
June 2, 2023 –Vol crushed yesterday as debt-ceiling legislation passed. Skew came in. For example SFRH4 up 7.5 at 9569.5, 9600c only +1 (49.5), 9650c up 0.25 (35.25) and 9700c unch’d (24.75). Some calls marked lower on the day even on the rally. Curve edged steeper with the 2y yield down 5 bps at 4.337% […]
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June 1, 2023 –It’s the strategy I thought was an appropriate pivot for the Fed, continue to talk tough but don’t actually hike. That way, the threat of future tightening stays alive which would limit near-term ease speculation. In any case, Mester said she sees no compelling reason to pause rate hikes, followed by Fed […]
No Ceiling, just open sky
May 30, 2023 –After closing lower in 11 of the last 12 sessions, SFRZ3 is getting a small bounce. Settled 9501.5 on Friday, now 9507.5. On March 8 the settle was 9446.5, the high settle a week later, following SVB was 9616.5. This latest sell-off started with a high close of 9579.5 on May 10, […]
Feeling the blues
May 28, 2023 -Weekly Comment ***************** As far as I know, David Zervos, Chief Market Strategist for Jeffries, coined the memorable catchphrase “SPOOs and Blues” a short time after the financial crisis. It’s not always the case, but since the Fed began hiking rates, the two have pretty much traded in tandem, with moves in […]
Washout
May 26, 2023 –Washout in rates continues. SFRZ3 settled -15 at 9508. Range on the month in that contract has been 108.5 bps and high settle to yesterday’s low settle is 89.5 bps. New highs in near SOFR calendars as another near-term hike is priced: FFQ3 settled 9467 or 5.33%, exactly 25 bps above the […]
A soft, easy hike
May 25, 2023 I left a good job in the cityWorking for the man every night and day -Tina Turner Proud Mary –Jobless Claims today expected 245k. 7yr auction. As Waller said yesterday, the labor market remains tight and inflation is stubbornly high, but credit conditions are a wild card which could lead to a […]
Front contracts weak
May 24, 2023 –Short end rates continue to press higher; weakest SOFR contract was SFRZ3 at 9531.5 (-3.0) but Z4 closed UP 2 at 9677 and Z5 UP 2 at 9691.5. So, the curve flattened with 2/10 at a new recent low of -63.5. Regarding SFRZ3, on May 10 the settle was 9579.5, and since […]
A quiet economic warning from copper
May 23, 2023 –ZH quotes Zoltan Poszar about banking issues: “It’s basically lessons in not being able to run interest rate risk, not knowing how to make a loan that will be weathering a rising interest rate storm.” Of course, deposit flight due to “bail-in” fears is a big part of the problem. Jamie Dimon […]
Pause
May 22, 2023 –Debt ceiling talks continue. –Powell on Friday: FED WAS EXPECTING FURTHER TIGHTENING UNTIL RECENTLY @NickTimiraos Powell: “The risks of doing too much versus doing too little are becoming more balanced.” –From MarketWatch“Fed’s Kashkari says he’s open to a pause in rate hikes in June”. The tide appears to favor a pause at this […]
Rumbling beneath the surface
May 21, 2023 – Weekly comment ******************************* In the past week, yields rose aggressively. The five-year ended at 3.74%, up about 30 bps on the week. The thirty-year bond added 17 bps, to 3.944%. On the SOFR curve, June’24 (SFRM4) was the weakest, down 39 bps in price to 9625.5 or 3.735%. The treasury curve […]
