Archive for the ‘Eurodollar Options’ Category
Bullard and SFRM3 on the same page
February 23, 2023 –News today includes Q4 GDP revision, still expected 2.9%. Jobless Claims expected to poke back over 200k. 7y auction. The Fed’s preferred measure of inflation, PCE Core Prices, is out tomorrow, expected 4.3% yoy from 4.4% last. Headline number expected 5.0, same as last. –Vol eased yesterday as rate futures stabilized. However, […]
Bear market
February 22, 2023 –Big jump in yields Tuesday. From Friday’s close, ten-yr up 12.7 bps to 3.951%. Fives led the way (in front of today’s auction) with a surge of 13.8 bps to 4.171%. On the SOFR strip reds thru golds were -13.5 to -16.5. –Ten year treasury to tip breakeven notched a new recent […]
ESH finally trades below the Feb 1 FOMC low
February 21, 2023 –On Feb 1 ESH3 low 4048.5. That was the day of the FOMC meeting. This morning is the first time in Feb that ES has traded below that level, with a low this morning 4047.75. In comparison, TYH low on Feb 1 was 114-175. After a brief rally the next day, the […]
Nearly priced for peak terminal
February 19, 2023 – Weekly comment From February 2 on, the Fed Effective rate has been 4.58 except for one print at 4.57. If the Fed hikes 25 in March the new EFFR should be 4.83, if 50 then 5.08. April FF, which prices for the March 22 FOMC, made a new low this week, […]
Bullard strikes again
February 17, 2023 –PPI was hotter than expected +0.7%, but Housing Starts were weak and Philly Fed at -24.3 was the lowest reading outside of the covid spike and GFC. The market absorbed this data, and easily digested early comments by Mester that 50 bp hikes are still on the table. However, late comments by […]
Using strong data as a chance to take profit
February 16, 2023 –Strong Retail Sales data (+3.0%) sparked selling pressure on rate futures, but the front four qrtrly SOFR contracts came back to close positive on profit taking. The lowest contracts on the SOFR strip, June and Sept’23 closed up 4 on the day (9476.5 and 9478.0). By contrast June and Sept’24 were down […]
Inflation decelerating? Not so fast
February 15, 2023 –CPI yoy was 6.4%, down 0.1 but higher than expected 6.2. However, the NY Fed’s Underlying Inflation Gauge, also out yesterday, was 5.1% for both the ‘full data set’ and ‘prices-only’ and both were down 0.3% from the previous month. In any case, the confidence for rapidly declining inflation was shaken and […]
I’m going off the rails…
February 14, 2023 –Big data today is CPI, expected 0.5 mom and 6.2 yoy vs 6.5 last. Core expected 0.4 mom and 5.5 yoy vs 5.7 last. Also worth noting that NFIB small business optimism is released and last was 89.8. That value approaches the low since 2013 which was in June 2022 at 89.5 […]
CPI Tuesday
February 13, 2023 –Bear steepener Friday with the 2y up just half a bp and 30s up 7.5 (4.511 and 3.827). 2/10 ended at -76.6, having posted a new cycle low (marked at futures settlement time) of -82.4 on Thursday. –Near SOFR calendars made new highs, with significant pressure continuing on the front end. SFRU3 […]
Notes on rates
February 12, 2023 – Weekly comment On the week the US 2y yield was up 21 bps, just over 4.5% (4.511). The 5y was up over 26 bps to 3.926%, and the 10y was up 22 to 3.745%. The German 2y was also up over 20 bps to 2.76%. On the SOFR strip, H4 and […]
In: Eurodollar Options
