Archive for the ‘Eurodollar Options’ Category
Defund the (small) banks
April 2, 2023 – Weekly Comment When does the tipping point occur? This photo is from The Guardian, “When and Why did Men Stop Wearing Hats?” I think the hat thing was also a topic in Malcolm Gladwell’s ‘The Tipping Point’. In the photo, every man is wearing a hat. Then it all changes. I […]
Panem et circenses
March 31, 2023 –They just HAD to put Trump on the front pages again. –Rate trading was quiet yesterday in front of today’s PCE prices, expected 5.1 from 5.4 with Core 4.7 vs 4.7 last. With the recent hike, the FF rate will now be above Core. The curve inverted a bit more with twos […]
Initial crisis averted, now comes regulation
March 30, 2023 –As the first effects of the banking miscalculation wash over the financial system, there’s a sense of relief that crisis was averted. Stocks are rising and the curve is inverting further. For example, yesterday SFRM4 was -5 (9571.5), SFRM5 -1.5 (9592.0) and SFRM6 +1.0 (9694.5). The 2yr note up 1.6 to 4.078% […]
Simmering down – except bitcoin
March 29, 2023 –Rate futures continued to recede as fears of bank contagion abate. SFRH4 and M4 both down 12 at settlement to 9613.5 and 9646.0. The ten year note rose 4 bps in yield to 3.564%. Implied vol in rates eased. SOFR straddles are now being quoted 3 to 6 bps wide rather than […]
Worst is over?
March 28, 2023 –FFJ3 settled 9518 or 4.82%. On March 23 and 24 EFFR was 4.83 or 9517. May FF settled 9506.5 or 4.935, indicating decent odds of a hike at the May 3 FOMC. The August contract is right back at 9530. FFJ4, one year forward, fell 26.5 bps yesterday to 9616.0. Despite this […]
Panic Abates
March 27, 2023 –New highs for the move in rate futures Friday, but panic subsided and futures retreated, to close nearly unchanged. It’s reported that First Citizens is acquiring SVB. Rate futures considerably lower this morning. For example, SFRH4 posted a high Friday of 9684 but settled 9652.5 (just +2.5 on the day at settle) […]
The Ghost of Ace Greenberg
March 26, 2023 -Weekly Comment**************** $3.2 Billion Move by Bear Stearns to Rescue Fund – NYT By Julie Creswell and Vikas Bajaj Bear Stearns Companies, the investment bank, pledged up to $3.2 billion in loans yesterday to bail out one of its hedge funds that was collapsing because of bad bets on subprime mortgages. It is the biggest […]
Projected easing
March 24, 2023 –Here we go again. Yields cratered with short maturities leading. On the SOFR curve SFRZ3 rallied 27.5 bps to a price of 9610.5 or 3.895%. 120 bps lower in yield than the just-released 2023 Fed dot of 5.1%. Banking issues remain at the forefront, with Yellen’s tepid guarantees of deposits falling short […]
Settle in at 3% in a little over a year
March 23, 2023 –Powell went to great pains to say that the Fed’s goal is still squarely bringing inflation back to 2%. He said that the banking issues will likely result in tighter credit conditions for households and businesses and therefore act as restraint in the same way as overt Fed tightening might, though it’s […]
It’s all ‘money-good’
March 21, 2023 –US is looking at ways to guarantee all depositors, which should effectively end the worst of this crisis. However it doesn’t alleviate funding problems for long-dated assets in an inverted curve (like commercial real estate). In front of tomorrow’s FOMC, April Fed Funds settled 9524.5, a price between 0 and a hike […]
