Archive for the ‘Eurodollar Options’ Category
Funding
January 29, 2023 – Weekly Comment The above is a chart of various rates. White is Fed Funds midpoint, blue is the 2y treasury, purple the 10y, green the bankrate avg 30y mortgage, and red is yoy CPI. Next week the Fed is going to raise the FF range to 4.5-4.75% with a midpoint of […]
PCE prices today to set tone for FOMC next week
January 27, 2023 –Today’s news includes the Fed’s preferred measure of inflation, PCE prices. M/M expected 0.0 with Core +0.3%. YOY expected 5.0% from 5.5% with Core 4.4% from 4.7%. FOMC is Wednesday. –Yesterday’s economic data generally good, with Jobless Claims surprisingly low at 186k. Advance Q4 GDP 2.9%. The last Atlanta Fed Q4 GDP […]
The Vengeance
January 26, 2023 –Large trade yesterday was a block of 49k buys SFRZ3/Z4 for -146. Said to be an exit; open interest rose 880 in Z3 and fell 44294 in Z3. The most inverted one-yr calendar remains SFRU3/U4 at -162.5 (9531.5/9694.0) up 5.5 on the day, having posted an all-time low of -177 last week. […]
The world goes on
January 25, 2023 –Yields fell yesterday with tens down 5.5 to 3.466%. Five yr auction today, with wi 3.565%. –“Glitch” on NYSE caused havoc at open, with some trades canceled. This follows the “glitch” related to air traffic control a couple of weeks ago that grounded all flights. –Vol easing with VIX at 20, but […]
A look at SFRM4 (just as boring as it sounds)
January 24, 2023 –PCE prices on Friday (Fed’s preferred measure of inflation). Two year auction today, followed by 5’s and 7’s Wednesday and Thursday. –Last week, many trades focused on front March, June and Sept, in terms of pegging a terminal rate. Yesterday, the focus shifted to reds. For example, there was a buyer of […]
Can inflation miraculously melt?
January 22, 2023 – Weekly comment Just a few thoughts here that don’t necessarily lead to any strong conclusions. Liz Ann Sonders tweeted this on Friday: Used Car Value index from Manheim…”has been less bad MTD…but -13.7% yoy drop is still one of the worst readings on record. Fed’s Waller on Friday: “The market has […]
Teach Your Children Well (Crosby Stills Nash & Young)
January 20, 2023 –Interesting comments from Brainard yesterday; here are a couple of snippets: Core PCE inflation is running at a 3.1 percent annualized pace on a 3-month basis—below its 3.8 percent reading on a 6-month basis and 4.5 percent on a 12-month basis. …housing services inflation remains stubbornly high at 8.8 percent on a […]
Pivot accentuated
January 19, 2023 –Data released Wednesday was uniformly weak. Retail Sales were -1.1% (expected -0.8). PPI, expected -0.1 was -0.5, with yoy 6.2 vs expected 6.8 and Core 5.5. Industrial Production was -0.7. Negative job announcements continue, with MSFT cutting 10k, BofA freezing hiring. Against this backdrop Bullard once again said the Fed needs to […]
E – M – P – I -R – E
January 18, 2023 –BOJ held to ultra easy policy and the 50bp cap on 10y JGBs, causing long yields to ease and $/yen to rebound to 131.50 (now just over 129). Yesterday US tens were up 2.2 bps in yield to 3.53% but now 3.476%. –Many years ago in the euro$ option pit when it […]
BOJ turmoil
January 17, 2023 –Friday featured pressure on red pack and 2y note, with reds -11.25 and 2y up 9.6 bps to 4.234%. Curve was flatter with 2/10 down 4 to -72.5 as 10y yield ended 3.51%. New low in Z3/Z4 SOFR one-yr calendar at -144.5, with U3/U4 still the low at -165. –BOJ meeting tomorrow […]
