Archive for the ‘Eurodollar Options’ Category
dots and dissents
March 18, 2026**************** –Boring day yesterday with little outright movement. Peak SOFR contract SFRZ7 rose 1.5 to 9672.5. Ten year yield fell1.8 to 4.20%. Implied vol continued to slip in front of today’s FOMC. As an example, 0QM6 (SFRM7 underlying midcurve straddle) was 54.5 on Friday, then 46.0 on Monday (9662.5^ vs 9664.0) to 43.0 […]
Hedges unwound
March 17, 2026******************–Hedges placed for weekend risk on Friday were unwound yesterday, Red SOFR contracts were mostly +8, 5yr yield down 6.8 to 3.802% and 10’s fell 6.1 to 4.218%. Peak SOFR contract SFRZ7, +8 at 9671 or 3.29 vs current EFFR 3.64. Implied vol on rate futures imploded with many near SOFR straddles down […]
Made it thru the weekend
March 16, 2026**************** -Friday featured a slightly steeper curve after two weeks of relentless selling in the 2y and red sofr contracts. On Friday 2y fell 2.8 bps to 3.732% (2/27 low 3.38) and 10y rose 0.8 bp to 4.279% (3.94). Weekend hedges against disaster were, fortunately, mostly unneeded, leading to small reversals this monring. […]
Worth watching Currie interview
March 15, 2026 – Weekly comment************************************** BIG jump in yields over the past week. The 2y surged 18.4 bps from 3.548% (essentially the bottom end of the FF target range of 3.50-3.75%) to 3.732% (just under the top of the target range). Tens and thirties rose just over 15 bps to 4.279% and 4.904%. On […]
Short end implosion
March 13, 2026****************–On Wednesday afternoon/Thursday morning I suggested that selling pressure on the US front end may have run its course. I was spectacularly wrong. –SFRM7 was the weakest contract yesterday, down EIGHTEEN bps to settle 9652.5. From the early morning March 2 high of 9711.5 to yesterday’s low 9651.5 has been 60 bps. SFRZ6 […]
Selling pressure on SOFR contracts likely drawing to an end
March 12, 2026**************** –Pressure on interest rate futures has been relentless since the hostilities against Iran started. SFRU7 is peak contract on the SOFR strip; the 3/2 high was 9711.5 and yesterday’s (new) low was 9672, a total range of 39.5. The ten year treasury yield (closes only, not extremes) has gone from 3.941 to […]
All about oil infrastructure
March 11, 2026*****************–Markets continue to be dominated by the oil chokepoint of the Strait of Hormuz. Yesterday’s X-post by Energy Sec’y Chris Wright that the US had escorted a tanker through the strait saw oil immediately sell off a few bucks, but the post was then deleted and oil recovered. With various reports of Iran […]
Oil pullback helping stabilize markets
March 10, 2026*****************–Through last week and into yesterday selling pressure was evident in rate futures, particularly in shorter maturities, as Iran hostilities boosted oil prices and gave rise to increased inflation concerns. On Friday 2/27 red sofr pack settled 9704.625, popped higher Sunday night and has declined ever since. Yesterday’s settle was 9676.25 (-3.875) so […]
Oil Surge Weighs on FI
March 9, 2026***************–The WSJ site features this chart of inflation adjusted oil prices: –WTI spiked close to 120/bbl early this morning but is now back around $100. It’s worth noting that the front WTI contract was also above 120 at the start of the Russia/Ukraine invasion. As is typically the case, gov’t actors step in […]
Liquidity mismatch
March 8, 2026 – Weekly comment************************************Summary of week’s ‘highlights’: US/Israel attacks on Iran continue, now targeting energy infrastructureIran closes Strait of Hormuz; April WTI rises 23.88 to 90.90 (around the level from early 2022 just before the Fed started hiking, Front WTI traded over 120 in 2022) NFP much weaker than expected at -92k. (3 […]
