Archive for the ‘Eurodollar Options’ Category
Musing about the Composition of Employment
January 19, 2025****************** Last week I touched on the decline in yields which began globally in Q3 2018. In November 2018, tens were 3.24 and fell though 2019 to 1.50 by September. Another huge decline followed as Covid hit in late 2019 into Q1 2020. I don’t think we will copy that experience, but last […]
Something Brewing
January 17, 2025****************** –There was a large 2/10 flattener printed on block yesterday morning at 9:03ET.-52k TUH5 102-22.625+23k UXYH5 110-175 On the chart below, it makes sense as a profit-taking exit. I’m not much of an Elliott wave analyst, but it looks like the completion of a 5th wave up. 1st from late June to early August, […]
Covered call buyer adding in TY
January 16, 2025****************** –Yields imploded on a slightly softer than expected Core CPI of 0.2% vs 0.3 exp and y/y 3.2% vs 3.3 expected. Curve flattened. 10y yield down 13 bps to 4.653%. 2y yield down almost 10 at 4.262%. Headline CPI yoy was 2.9% from 2.7% last. Not close to Fed’s target, but the […]
Bonds remain weak going into CPI
January 15, 2025****************** –Steeper curve yesterday with some large TY option trades going into today’s CPI data (more below). 2s fell 3.6 bps to 4.36% while 10s were down 1.4 to 4.784%. On the SOFR strip SFRZ5 was strongest +4 at 9591.5 (also peak price). Net changes tailed off from there. SFRZ6 +3 at 9580.5, […]
If neutral is lower, why are real yields going higher
January 14, 2025****************** –USH5 contract made a new low 110-25. The low for the front US contract in October 2023 was 107-04. On the cash 30y bond, the high yield in October 2023 was 5.115%. I marked 4.984% at the time of futures settlement USH5 110-27. Worth noting is that the 30y inflation indexed note […]
January Resolutions in Turmoil
January 13, 2025****************** –January 10 was Quitter’s Day. The second Friday in January is apparently when most resolutions go out the window. If the resolution was ‘support financial assets’ then indeed, it seems to have crumbled. –Yields soared on Friday’s blowout +256k payroll number. Curve flattened, giving back some of the steepening seen over the […]
Do Bond Yields Continue Higher?
January 12, 2025 – Weekly Comment***************************************I don’t believe the payroll data. However, there’s no doubt that the US economy has been resilient. In any case, the employment report (NFP 256k) bolsters the last Fed dot plot which ratcheted up inflation estimates. (PCE price estimate for 2025 in September was 2.1%, moved up to 2.5% in […]
Payroll Friday!
January 10, 2025****************** –Payrolls today expected 165k with rate of 4.2%. LA fire damage now estimated $150B and going higher. Likely inflationary at the margin. –On a half day there were some fairly large trades. In the long end, weighted to the downside. In SOFR there were some decent size call buyers.[half day due to […]
New high Gilt yields
January 9, 2025**************** –UK assets continue to deteriorate, with 10y yield at a new high 4.83% and GBP 1.2260 (from 1.3440 three months ago). Gilt yield high was 4.75% in August of 2023. –Estimate on BBG says LA fires could cause $57b in damage. –US futures close at noon today in honor of President Carter. […]
Rates higher…
January 8, 2025*****************…is it due to a whiff of inflation, or borrowing to buy Greenland? –Data stronger than expected Tuesday with ISM Services 54.1 vs expected 53.5. Prices Paid were 64.4, highest in the past two years. JOLTS continued to rebound, up to 8098k. Treasuries were inspired to make new lows (price). High 30y yield […]
