Archive for the ‘Eurodollar Options’ Category
“Sound and resilient” or downed and deficient ?
May 9, 2023 –Yields rose Monday in a quiet session. The Fed’s Sr Loan Officer survey was met with a yawn, though it pretty much confirmed that credit is tightening across every sector. The ten year rose 7.8 bps to 3.52% with auctions of 3s today, 10s Wednesday and 30s Thursday. The curve had a […]
A hint of the credit crunch to come
May 8, 2023 –The Fed’s SLOOS is out today, I believe release time is 2:00 EST. The Sr Loan Officer Survey on Bank Lending Practices. This is a quarterly report, the last one was released Jan 6. From that report: “Regarding expectations for credit quality—as measured by delinquencies and charge-offs—major or significant net shares of […]
Fed postmortem
May 7, 2023 On a week when the Fed raised the Fed Fund target 25 bps to 5.0-5.25%, the strongest SOFR contract on the week was SFRH4 which ROSE 24.5 bps to 9629.5. Therefore, a hike of 25 was met with a drop of 25 bps less than one year forward. The yield on SFRH4 […]
3 – 6 – 3 on 5/5
May 5, 2023 –NFP today expected 180k. Late headline yesterday, FDIC poised to release plan to refill insurance fund…by making big banks pay more. Fixed it. –Early morning buyer 100k SFRN3 9575/9587.5cs 2.0 vs selling 9487.5/9475ps 1.0. Paid 1 for package, new position. PS settled 1.25. CS settled 3.0. Underlying SFRU3 settled 9547.5, +23 bps on the day. Just […]
The Captain has turned on the Fasten Seatbelt Sign
May 4, 2023 –Complete melt-up in SOFR futures late in the day and into the new session. SFRM4 low yesterday was 9659, settle was 9668.0. The high on the re-open yesterday afternoon was 9693.5! So the Fed moved the FF target to 5-5.25% and a little over one year forward the M4 contract is consistent […]
Confidence Game
May 3, 2023 –FOMC today. High odds of a 25 bp hike to 5.0-5.25%, but what seemed certain yesterday morning was less so as the day progressed and regional banks were trashed. KRE (regional bank etf)-6.3%. USB -7.0%, KEY -9.4%. All new lows. This stuff’s going down faster than Bud Light sales. New Fed Effective […]
Long bond looks iffy
May 2, 2023 –RBA unexpectedly raised rate by 25 to 3.85%. Janet Yellen warning the US will run out of money in June; maybe JPM can buy it. –Light May Day volume. Long end of the treasury curve especially weak, though bonds have rebounded this morning, USM3 last at 130-06. The settlement was 129-21, but […]
Failed Risk Controls
April 30, 2023 – Weekly Comment The Chicago trading floors were famous for funny (and occasionally vulgar, even funnier) nicknames, and I was introduced to that fact shortly after becoming a runner on the Chicago Board of Trade floor. There was a girl that was trading in the bond pit, I don’t recall her name, […]
FOMO
April 28, 2023 –BOJ summary from Reuters, “The yen tumbled and Japanese bonds and stock rallied on expectations the BOJ’s new governor [Ueda] would take his time to withdraw the stimulus of his dovish predecessor…” $/yen new high for April over 136. The Argentine central bank was somewhat less timid, hiking by 10 percentage points […]
I got better
April 27, 2023 –Once again new low in FRC, down another 30% at 5.69, as a newsflash stated FRC faces potential curb on Fed borrowing. Interesting tweet from @Convertbond cites LNC (Lincoln Nat’l) as something to have on the radar: CDS new highs; 15% of mkt cap in debt matures this year. Another comment in […]
