Archive for the ‘Eurodollar Options’ Category
Someone looking for a blow-up?
February 21, 2025******************* –Just considering yesterday’s flows, and this isn’t particularly rigorous analysis, it seems to me that someone is betting on an accelerated easing timetable, and that longer dated treasuries may see rising yields either as a result, or as an independent move. –Just after the FOMC minutes on Wed, which discussed a pause […]
Large SOFR call buys post-minutes
February 20, 2025*******************–Early part of the session was quiet, though Housing Starts lower than expected at 1366k (1390 exp and 1515 last). I didn’t expect anything from FOMC minutes, as Powell and other officials had already indicated that inflation concerns would keep the Fed on the sidelines for the near term. However, post-minutes there was […]
Rates Quiescent
February 19, 2025******************* –Yields rose yesterday with tens up 6.8 bps to 4.542%. Going into Friday’s March Treasury option expiration, I had thought TYH5 would gravitate to the 109 strike, but yesterday’s settle was a bit lower at 108-27. –Vol was again hit. Example: On Friday SFRH6 9600^ was 74.25. Yesterday, 72.0. It wasn’t all […]
Waller HODL
February 18. 2025******************* –From Waller’s speech yesterday:After two good months of inflation data for November and December, January once again disappointed and showed that progress on inflation remains uneven. I continue to believe that the current setting of monetary policy is restricting economic activity somewhat and putting downward pressure on inflation. If this winter-time lull […]
Manipulating long treasury yields lower wont necessarily boost the economy
February 16, 2025 – Weekly Comment ___________________________________________________________________ A friend sent me a link to the latest MacroVoices which this week featured Jim Bianco (thanks DDK). The beginning 5 minutes or so is Bianco’s excellent summation of a proposal that’s being called the Mar-a-Lago Accord. A rough outline is that Treasury would issue 100-year bonds that […]
In: Eurodollar Options
Bonds and Wheat
February 14, 2025**********************–PPI was also higher than expected, with yoy 3.5% vs 3.3 exp, but rather than extend the sell-off from Wednesday’s hot CPI, the market completely erased the move. On Tuesday, TYH5 settled 108-305. On Wed (CPI) 108-085. Yesterday, 108-31. Similar in SOFR, for example SFRH6 9601.5, 9591.0, 9598.5. Today’s news includes Retail Sales […]
Inflation… in WIG20
February 13, 2025******************* –CPI sent yields soaring, +0.5% m/m vs expected +0.3. Yoy was 3.0%. Recent peak was Sept 2023 at 3.7%. The yoy low was Sept 2024 at 2.4%. Ten year yield jumped 10 bps to 4.635%. On the SOFR strip, blues (4th year forward) were weakest, -14.5 on the day. Typically, reds (2nd […]
Inflation expectations have risen. What will CPI say.
February 12, 2025******************* –Not much reaction to Powell’s appearance. Yields ended higher on the day with tens up 4.2 bps to 4.535% in front of today’s CPI data and 10y auction. Three year auction was solid at 4.30%. Odds for an ease in March (and beyond) are being squeezed out. Current SOFRRATE is 4.35% or […]
Powell faces off with the Senate
February 11, 2025********************–Yields little changed yesterday with tens +1 bp at 4.493%. Interest rate premium hit across the board, with many SOFR straddles losing a couple of bps. For example, on Friday, SFRU5 9593.75^ settled 40.75. With the contract +0.5 to 9593.5, that straddle settled 39.25 yesterday. SFRZ5 9600^ went from 60.5 to 58.5 with […]
Peak Taylor
February 10, 2025******************* –Front end bore the brunt of selling pressure Friday. Payrolls were mixed with NFP 143k (175k exp) but previous revised up 51k to 307k. Avg Hourly Earnings jumped to 4.1% yoy vs expected 3.8. Unemployment rate fell to 4.0%. The big surprise was U of Mich 1-yr inflation expectations which surged to […]
