Archive for the ‘Eurodollar Options’ Category
Higher longer
March 8, 2023 –These bullet point headlines tell yesterday’s story from Powell’s semi-annual testimony: POWELL: “ULTIMATE LEVEL OF INTEREST RATES IS LIKELY TO BE HIGHER THAN PREVIOUSLY ANTICIPATED”POWELL: IF DATA INDICATE, FED IS PREPARED TO INCREASE PACE OF RATE HIKESPOWELL: RESTORING PRICE STABILITY WILL REQUIRE RESTRICTIVE POLICY STANCE FOR SOME TIME –Odds swung toward 50 […]
Powell today
March 7, 2023 –Powell appears in front of the Senate at 10:00. According to Steve Liesman prepared text will also be released at that time. The curve continued to invert further. 2/10 closed -91, 2/30 is very near -100, an historic low. [At yest close 4.89% and 3.91%]. Yesterday the ten-year ended up 2 bps at […]
Big week for policy
March 6, 2023 –Powell before Congress for semi-annual testimony Tuesday and Wednesday. Payrolls on Friday. 3,10 and 30y auctions starting Tuesday. Fed’s Quarterly Z.1 Financial Accounts (HH Net Worth, Aggregate Debt levels) is released Thursday. Lagarde says ECB must do more to bring inflation under control. –Strong rally in stocks and bonds on Friday. SPX […]
Won’t risk a backslide
March 5, 2023 – Weekly Comment On Thursday, Waller gave a speech with this line: Last month we received a barrage of data that has challenged my view in January that the Federal Open Market Committee (FOMC) was making significant progress in moderating economic activity and reducing inflation. On Saturday, the SF Fed’s Mary Daly […]
Challenged Outlook
March 3, 2023 –Nice thing about Waller: he’s direct. Here’s the opening line of yesterday’s speech: Last month we received a barrage of data that has challenged my view in January that the Federal Open Market Committee (FOMC) was making significant progress in moderating economic activity and reducing inflation. I’m not the only one whose […]
The Fat Thumb Presses Down on Red SOFR Contracts
March 2, 2023 –Well, the guy who hoovered up 60k 0QJ3 9500 puts for 7-7.5 on Tuesday afternoon seems to know what he’s doing, as SFRM4 fell to a new low settle 9536.5 (-12 on the day) and the puts settled 10.25. Higher yields across the board, where tens rose 7.7 to 3.991% (and >4.04% […]
New large put buying on contract lows
March 1, 2023 –Exit seller of about 50k SFRZ3 9450/9400ps 14.5 to 14.0 yesterday, settled 14.25 vs 9475.0. This was originally bought Feb 13 for 9-9.25 when Z3 was trading 9512.5. However, of greater interest was a late buyer of >60k 0QJ3 9500p for 7.0 to 7.5. Most buying occurred after settle of 6.5 v […]
The Fed convinces the market eases aren’t coming (with a little help from bad data)
February 27, 2023 –Rate futures crumbled Friday on higher than expected PCE prices, +0.6 on the month and 5.4% on the year. YOY Core 4.7%. The 2y yield soared nearly 12 bps to 4.807% while tens rose 7 to 3.947%. 2/10 remains pinned to recent lows at -86. April FF contract settled 9512 as the […]
It’s a Foghorn Leghorn Market
February 26, 2023 – Weekly comment SFRM4 was down an astonishing 38 bps on the week to 9551, with the next closest, SFRH4, down 34 to 9508. The high settle this year in M4 was on Jan 18 at 9683.5, a plunge of 132 bps in the space of a little over a month. The […]
In: Eurodollar Options
The Fed is Monitoring
February 24, 2023 –Had a friend working on the floor at our desk, everyone called him Zeets. Though he was clerking on the CME floor, he was training to become a teacher, and had assignments of going to classrooms and schools as an observer. He told the story of a big fight that broke out […]
