Archive for the ‘Eurodollar Options’ Category
Dead money
April 26, 2023 –FRC was cut in half (again) yesterday, and now asset sales are going to occur. I guess the $30 billion in “UNINSURED” deposits by JPM, BofA et al, wasn’t enough. The problem of course, is that banks now have to PAY for deposits, unless they are TBTF, in which case depositors forego […]
Walking into recession
April 25, 2023 –SFRH4 9600 straddle settled 129.0 vs 126.25 on Friday. SFRZ3 9550^ settled 106.5 vs 103. Good early buying of SFRZ3 9700c, 19.5 paid for about 10k, delta 22 vs 9553.0 down to 51.5. Settled 19.75 vs 9552.5. After Friday’s 50k buy of SFRZ3 9600/9650/9700/9750 call condor, about 10-15k added yesterday; settled 5.25. […]
Slow trade
April 24, 2023 –On Thursday TYM settled 114-21, on Friday 114-15, with the ten-yr yield up 2.7 bps to 3.572, and this morning we’re right back to Thursday’s level at 114-225. Trade is lackluster. Chicago Fed’s National Activity last at -0.19, and Dallas Fed’s Mfg last at -15.7. –On Friday, SFRH4 9600^ settled 126.25 ref […]
What if the Fed hikes, but debt-limit issues spark a stock sell-off
April 23, 2023 With every mistake, we must surely be learning Still my guitar gently weeps. -The Beatles, 1968 White Album The thirty year bond range on the year is 3.54%, the low on Jan 18, to 399.5% for a high on March 2. Friday I marked the 30y yield at 3.776%, essentially right in […]
When there were journalistic standards
April 20, 2023 –Markets just weren’t that interesting yesterday. So I have taken the liberty of attaching an old news story below, which can probably be considered in some way relevant to the business of futures and options. –If there is something worth mention in yesterday’s activity, it’s that SFRM’24 and U’24 continue to be […]
Global fragmentation risks higher prices: Lagarde
April 19, 2023 –We’re now two weeks from the FOMC, and the Beige Book is released today. Also on tap is the $12b 20y auction; late wi was 3.90/3.895. –Not much change in rates, but the curve became slightly more inverted. For example red to green pack in SOFR (2nd to 3rd year) settled -31.5, a new 20 […]
Dismissing credit concerns
April 18. 2023 –Another weak day in interest rate futures. Red pack (SFRM4 thru H5) again led the way, settling down 11.75 on the day. On Thursday April 13, SFRM4 settled 9659.0. Yesterday it settled -12.0 at 9632.5, and is therefore down 26.5 in two sessions. SFRU4 was actually the weakest contract yesterday, settling -12.5 […]
Higher yields to end last week
April 17, 2023 –Friday featured higher yields across the board; slight bear flattener. On the SOFR curve, whites -13.75, reds -13.375, greens -10.625, blues, -9.0 (Note I consider reds to be M4 thru H5; I think BBG has changed it). In treasuries, 2s +12.4 bps to 4.099% and tens +6.5 to 3.517%. Retail Sales were […]
DIXI
April 16, 2023 -Weekly note I wasn’t going to write anything this weekend, but I made a few notes, and thought I would just put out a couple of abbreviated bullet points. However, I got a call Friday afternoon from a friend from the old CME floor who informed me that James Dean passed away […]
Might be the most awesome mustache ever
April 14, 2023 –PPI much lower than expected -0.5 m/m and 2.7% y/y. However, rate futures were quiet; expectations of future Fed activity saw little change in terms of price. Ten year yield was +3.3 to 3.452%. SOFR contracts unch to -5 out to blues. Treasury vol continues to ease. Not much news out over […]
