Archive for the ‘Eurodollar Options’ Category
Dislocations
April 9, 2025*************The bond market is breaking. The collapse of swap spreads is a terrible development. The pressure on the basis trade does not bode well. It shows funding issues, and also indicates that end demand for treasuries is drying up versus supply. –From ‘Swap Spreads: Should We Be Worried’ by Kevin Muir, The MacroTourist, yesterday. –ECB […]
Wild price action
April 8, 2025**************–Wild price action Monday. ESM5 had a range of 454 points, around 8%, 5286.5 to 4832. At the low SPX was off a bit over 21% from the February high. Long end of the curve also had a monster outside range day, with USM5 range nearly 5.5 points! 122-05 to 116-24 with a […]
A few early levels
April 7, 2025*************A few updated levels show early panic, now subsiding. These prices are from approx 5:00 am EST. FFK5 high 9601.0 now 9580.0 +4.5 (If the Fed eases on May 7, then FFK5 goes to 9586.5)FFF6 high 9707.5 now 9685.0 +16.5 (at the high, sub-3% by year end) SFRM5 high 9657.0 now 9618.5 +12.0 […]
Taketh Away
April 6, 2025 – Weekly Comment**********************************We all know what happened. SPX and Nasdaq 100 made new all-time-highs in mid-February. From Tuesday, pre-Liberation day, to Friday’s close, SPX down 12.2% and NDX down 14.2%. From Feb highs to Friday, SPX -17.4% and NDX -21.5%. Worth noting is that from the high at the start of 2022 […]
Forced to react
April 4, 2025**************–SPX -4.8% and Nasdaq Comp -6% yesterday, with somewhere around $2.5T erased, according to various reports. –SFRU6 is still the peak on the SOFR strip, but now much higher having surged 26 bps yesterday to 9686.5. The calendars in front made new recent lows (red), and calendars from Z6 forward made new highs […]
Markets shaken, not stirred
April 3, 2025*************Buy bonds? –Nasdaq futures had a swing greater than 6% following the start of the tariff announcement, posting a high of 20044 and a low of 18819, 1225 points. For now, asset prices are on the defensive, and of course, there will be forced sales in some cases. –Rate futures rallied to new […]
Front end of SOFR curve inverts to new recent low
April 2, 2025**************–To Scott Bessent: the good news is that long end rates are falling. The bad news is it’s because the economy is disintegrating. –Almost every piece of data is showing a reversal of the election bounce. ISM Mfg interesting. The main number at 49.0 now indicates contraction. But prices paid soared to a […]
Yesterday’s push to lower yields fizzled. Today’s the day?
April 1, 2025************* —Flight to quality bid Monday evaporated as stocks stabilized. TYM5 posted an early high of 111-225 but came back to settle 111-07, up just 0.5/32. Trade of the day was new buy of 60k SFRZ5 9625/9650/9675/9700 call condor for 5.0. Settled 5.0 vs 9637.5. Max value occurs at settle between middle two […]
Assets have risk
March 31, 2025*****************–Stocks under follow-thru pressure following a poor session Friday. SPX was down 2% and Nasdaq Comp -2.7%. SPX ended 5581. I would think a reasonable target would be somewhere around 4800 to 5000. High at the end of 2021/start of 2022 was 4819. The halfway back level from the 2022 low of 3491 […]
Bluff
March 30, 2025 – Weekly Comment**************************************This might not be the greatest analogy, but it’s a story I enjoyed hearing firsthand, so here it goes. There was a large filling broker in front month Eurodollars. This is, obviously, well before SOFR, and when 1 bp was the minimum tick, not 0.5 bp. It was at a […]
