Archive for the ‘Eurodollar Options’ Category
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
Chatty Crashy
February 10, 2023 –Front end trading under enormous pressure with new low settles, testing the lowest levels from November. SFRU3 settled -4 at 9490. Red pack led the way, closing down 10.5. SFRM3/Z3 which had been around -50 a couple of weeks ago, settled -35 yesterday, +4.5 on the day (9483.5/9518.5). Near one-year calendars made […]
Small financial cracks
February 9, 2023 –Buyer Wednesday of 50k SFRU3 9462.5/9412.5ps for 8.5 covered 9494.5, 18d. Adds to yesterday’s 100k+ buy of the 9450/9400ps for 6.0 cov 9495.5, 14d. Buyer of 20k SFRZ3 9425/9375ps for 3.5, ref 9526. While there’s a lot of option related sell pressure on the front end, and Fed speakers acknowledged more hikes […]
BUY HIGH/SELL LOW
February 8, 2023 –Back in the early 1990’s the FBI infiltrated the currency pits to uncover wrongdoing. No kidding. I think they might have gotten some sort of minor conviction after spending a LOT of money, but the thing I remember is someone saying, “I just don’t understand how this new guy is lasting. He’s […]
Powell today. SFRM4 down 50 in two days!
February 7, 2023 –Red SOFR contracts (H4, M4, U4, Z4, 2nd year forward) were crushed again yesterday on NFP follow-through. Down 24.5 bps on Friday and another 20 yesterday. Post-settle yesterday SFRM4 traded 9619, Thursday’s settle was 9669, for a nice round 1/2% move in two days! Recall there had been a block buy a couple […]
Preparation is key
February 6, 2023 –Huge NFP of 517k saw rate futures fall like an anvil. Red pack in SOFR (H4, M4, U4, Z4) down 24.75, but the average price is still above 9651, or just 3.49% when the Fed just hiked to 4.50-4.75. FFG4 settled -25.5 at 9559.0 or 4.41%. This contract captures the next eight […]
Jay’s World
February 5, 2023 – Weekly Comment Let me bring you up to speed. My name is Wayne Campbell. I live in Aurora, Illinois, which is a suburb of Chicago – excellent. I’ve had plenty of jo-jobs; nothing I’d call a career. Let me put it this way: I have an extensive collection of name tags […]
Transitioning
February 3, 2023 –Employment data today with NFP expected 190k and Avg Earnings yoy at 4.4% (from 4.6 last). Jobless Claims were again low yesterday at 183k, but Challenger layoffs jumped. I’ve attached a chart and link from Chris Long, “Excluding 2020, we haven’t seen anything like this since Nov 2008 and January 2001.” At […]
Powell greenlights risk
February 2, 2023 –A friend deemed yesterday as a “tactical error” by Powell, which would create a rally in risk and housing, thereby encouraging the same conditions that helped spark inflationary impulses in the first place. The gold market likes it, with GCJ at new recent highs of 1971, up $28/oz. Powell sees disinflation in […]
FOMC day
Feb 1, 2023 –What happened Tuesday? Monday was reversed, that’s all. FVH3 settle Friday 109-10, yesterday 109-0775. TYH3 Friday 114-195, yesterday 114-165, USH 130-05, yest 129-28. SFRM4 9652.5 to 50.5. ESH3 4084.25 to 4090.0 CLH3 79.68 to 78.87. FOMC today. Powell pushback against pivot. June’23/Dec’23 SOFR calendar settled -48 (9510.5/9558.5). If Powell is successful, then this […]
