Archive for the ‘Eurodollar Options’ Category
Loss of support for long-dated USD assets?
April 13, 2023 –CPI slightly lower than expected at +0.1 with yoy 5.0% vs expected 5.1 to 5.2. FOMC minutes contained this assessment: “…the staff’s projection at the time of the March meeting included a mild recession starting later this year, with a recovery over the subsequent two years.” As other reports have indicated, a […]
All about CPI today
April 12, 2023 –CPI today expected 5.1 to 5.2 yoy from 6.0 last. Core expected 5.5 to 5.6 from 5.6 last. Ten year auction. Fed minutes from March 22. –Yesterday 2/10 pushed to a recent low of -62.2. with the 2y up 5.3 bps to 4.054 and tens +1.7 to 3.432. At the low on […]
Rates more ‘normal’ but bids in BTC and prec metals signal trepidation
April 11, 2022 –Another slight new low in SFRU3/U4 at -153.5, down 1 on the day (9530.5/9684.0). TYM3 settled -9 from Friday’s settle at 115-165, but is regaining part of that small loss today, trading 115-22+. –FHLB only issued $37 billion in debt in the last week a March, hailed as a sign the banking […]
“Recessionary false alarm” ???
April 10, 2023 –A BBG story this morning proclaims, “Bond Market is Overplaying the Risk of a Deep Recession”. Part of the article cites the relative calm in VIX vs MOVE. “Explaining the divide has become a Wall St obsession – an urgent one, given the sway treasuries hold in models designed to divine the […]
Curveballs
April 9, 2023- Weekly Comment ****************************** An article on Reuters from Thursday is headlined, ‘Powell’s curve’ plunges to new lows, flashing US recession warning. The spread is that of the yield on current 3m bills vs 18 months forward. From the article: “Powell’s curve … continues to plunge to fresh century lows,” Citi rates strategists […]
Short Session
April 7, 2023 –From Bullard presentation yesterday: “Continued appropriate macroprudential policy can contain financial stress, while appropriate monetary policy can continue to put downward pressure on inflation.” –I would dispute the premise. Monetary policy does put downward pressure on inflation, but also puts upward pressure on financial stress, which regulations can’t control. The presentation is […]
Ignoring Bullard
April 6. 2023 — ISM service was 51.2 vs expected 54.4, with Employment index 51.3 vs 54.0 last. ADP was just 145k. The strong data releases from February are in the rearview mirror; markets have reversed those moves. Jobless Claims today expected 200k. NFP released on Friday’s abbreviated session. CPI on Wednesday. –Bullard speaks today at […]
April 5, 2023 –JOLTs sub-10m sparked a stunning SOFR rally. SFRH4 and M4 led the way, both +20.5 to 9638.5 and 9677. On March 30 the 2y yield was just over 4.12%, ending yesterday at 3.82%; a drop of 30 bps in three days, after Bullard just told us short rates need to be over […]
Bank strains are unrelated to the inflation fight
April 4, 2023 –FED BULLARD: FED NEEDS RATES ABOVE 5%, HIS FORECAST IS ABOVE MEDIAN; EXPECT INFLATION TO BE STICKIER, LABOR MARKET STRONG; STRONG JOB MKT GIVES FED HEADROOM TO FIGHT INFLATION; MARKETS `SHOULD LISTEN TO ME’ ON RATE OUTLOOK; MARKETS PUTTING TOO MUCH FOCUS ON BANKING STRAINS –Bullet points from Bullard yesterday are above. […]
3 yrs ago, WTI went negative. Now near 80 bbl on OPEC+ production cuts
April 3, 2023 –CLK3 up 5.2% at 79.62 as of this writing as MBS was apparently displeased that the Biden admin refused to support oil by buying for the SPR with prices in the low 70s. OPEC+ cutting production by 1mbd. It was three years ago in April that front WTI crude went negative during […]
