Archive for the ‘Eurodollar Options’ Category
Brainiacs
May 19, 2023 –Lorie Logan yesterday (Dallas Fed President and former head of the NY Markets desk). “The data in coming weeks could yet show that it is appropriate to skip a meeting. As of today, though, we aren’t there yet.” –August Fed Funds (FFQ3) closed down 6.5 at 9485.5 or 5.145% vs current EFFR […]
Feel-good
May 18, 2023 –June’23 SOFR options expire 16 June, four weeks from tomorrow. SFRM3 settled 9486.5, or 5.135% with EFFR pegged at 5.08% (9492.0). The contract has 1.296 million open. What is pretty amazing is the amount of put open interest on SFRM3, a total of 5.146 million. Over 900k puts traded yesterday. For example, […]
More hikes = more bank failures
May 17, 2023 –Fed continues leaning against the short end curve, which has priced significant easing this year. Mester started it off by saying the Fed is not quite at the ‘hold’ rate yet. Barkin said he’s willing to raise again if necessary. Barr and Williams said the banking system is “sound and resilient”. Goolsbee […]
Retail Sales today, 20y auction Wednesday
May 16, 2023 –Retail Sales today expected +0.08, ex-auto and gas +0.2%. Yesterday’s Empire State Mfg at -31.8 was much lower than expected, has only been more negative once since covid. –NY Fed’s Household Debt and Credit report shows that auto loan and credit card delinquencies are rising, but not yet at dangerous levels. –Markets […]
Free Loans at Risk
May 15, 2023 –Selling pressure across rate futures on Friday, led by weakness in the front end. SFRZ3 settled 9567.5 (-10) or 4.325%. The red pack settled 9698.0 or 3.02%. down just over 12 on the day. The 2y note ended at 3.99%, up 8.7 bps on the day, tens +6 at 3.455%. Vol softened […]
Prices don’t lie
May 14, 2023 – weekly comment ********************************** Still a man hears what he wants to hear and disregards the rest. –Simon and Garfunkel- The BoxerThe odds that the United States will fall into a recession at some point over the next 12 months have risen to a 40-year high, according to a probability model from the […]
Lumber was 1600 in 2021. Now 348.
May 12, 2023 –PPI yoy just 2.3% yoy. Core 3.2%, both lower than expected. Yields fell immediately but ended only marginally lower. 10s fell 4.3 bps to 3.394%. –Copper futures fell to their lowest level in 2023 (HGN3 3.71). As can be seen on attached chart, lumber is back at 2018 level, less than one-quarter […]
Inflation deceleration
May 11, 2023 –CPI slightly better than expected at 4.9% yoy. NY Fed’s Underlying Inflation Gauge declined as well: –Rate futures immediately surged as the market was set up short going into the data. Tens ended down about 8 bps to just over 3.43%. SFRM4 was the leader on the SOFR curve, closing +16 at […]
Inflate out of it
May 10, 2023 –Three yr wi was 3.723, went off 3.695; strong demand. 10y today. NFIB small business optimism weak at 89.0. –CPI today expected 5.0 yoy vs 5.5 and Core 5.5 vs 5.6. –Vol up in front SOFR contracts, for example SFRH4 was down 0.5 at settle (9618.5) but almost every otm call settled +1 on […]
Households’ Equity in Residential Real Estate Near Record High!
May 9, 2023 –Below is a somewhat interesting bit of data. From the chart, Household Owners’ Equity as a Percentage of HH Real Estate, one can see that Households have about 71% of equity in Real Estate, the highest level since the 1950s! –No wonder Tom Selleck (sell out) is out there shilling for reverse […]
