Archive for the ‘Eurodollar Options’ Category
Complications
January 15, 2023 Ironically, last week’s lower CPI data, (-0.1 m/m, 6.5% yoy) and decline in UofM’s 1-yr inflation expectation to 4.0% complicates the Fed’s job going forward. That’s because a general ‘risk-on’ sentiment seems to be taking hold, bolstered in part by the weakening dollar. Below is a chart of DXY, which on Friday […]
Deceleration in prices. Except eggs
January 13, 2023 –$/yen 128.50, having traded 128.11 earlier, the lowest level since June, as talk of the BoJ abandoning YCC circulates. 10y JGB breached the 50 bp cap though BOJ buying has brought it back down to that level. As a BBG report previously said, “Japan is the largest exporter of capital to the […]
If it LOOKS like a conspiracy…
January 12, 2023 –It’s almost like the plot of James Bond’s Casino Royale. Hackers hatch a plan to ground the US airline fleet by corrupting NOTAMs (Notice to Air Missions). This will, of course, cause a massive stock market sell-off, so the hacker group first buys puts on airline stocks and other sectors. The plan […]
Stick to our knitting
January 11, 2023 –Powell declined to expand the Fed’s role in combatting climate change, and claimed that dual mandates of unemployment and price stability provided more than enough of a challenge. Oh, and throw social justice in there. NFIB small business optimism printed at 89.8, “…marking the 12th consecutive month below the 49 year average of […]
I like the idea of lending at 20%
January 10, 2023 –Powell comments today followed by the three year auction. Large reversal in ESH yesterday as it made an early high of 3973.25 (+57.75) only to go negative by the end of the day with a late print of 3912.00 (-3.50). Dollar index at its lowest level since the middle of last year, […]
Markets focused on signs of economic weakness
January 9, 2023 –The reaction to Friday’s data left us with an additional ‘ease’ priced into reds. June’23 is the lowest contract on the SOFR curve at 9506.5, up 8.5 on the day. But one year forward, SFRM4 was up 29.5 at 9605, and the strongest contract was U4, up an astonishing 30.5 bps to […]
CPI week
January 8, 2023 From last week: “In terms of year end prognostications, SFRZ3 settled 9547.0 or 4.53%, and the 9550 straddle at 100. There. That’s the prediction: 4.5% overnight rate (maybe 25 bps above the current target) plus/minus 100.” The range on SFRZ3 on the first week of the new year was 9533 to 9562.5. […]
They’re not buying puts and they’re not buying foward SOFR calendar spreads
January 6, 2022 –NFP today looking for 202k. Jobless Claims yesterday were only 204k and ADP surprised to the upside at 235k vs 150 expected. ISM Services expected 55.0 vs 56.5 last. –Fed continues to guide toward higher for longer with Esther George looking for terminal above 5%; Bullard said data will determine whether next […]
Hikes give way to cuts. That’s just how it is.
January 5, 2023 –Early exit sale of 50k TYG 113.5/114.5 call spread at 26. Open interest down 37k in both strikes; settled 23 ref TYH3 113-06. Implied vol down fairly hard in short end with straddles down 2 to 3.5 bps. Fed minutes…higher for longer? Honey badger don’t give a sh-t. SFRM3/SFRZ3, the six-month calendar […]
Focus on FOMC minutes
January 4, 2023 –Today’s news includes ISM Mfg expected 48.5, and FOMC minutes in the afternoon, the latter of which has been hyped as a market mover. –Atlanta Fed GDP Now revised up to 3.9% for Q4, but a St Louis Fed report flagged by ZH questions whether the US is already in recession by […]
