Archive for the ‘Eurodollar Options’ Category
20y auction and NVDA post-close
November 20, 2024*********************–Early action was dominated by news of Putin updating Russia’s nuclear doctrine. Stocks lower, fixed income bid. Those moves sputtered; stocks ended positive and near SOFR contacts were slightly lower on the day while yields from 5 yrs out were lower by 3 to 4 bps. SFRZ5 to SFRZ8 were +2.5 to +3.5 […]
In: Eurodollar Options
Doomsday clock is ticking
November 19, 2024 *********************–Stocks appear to be starting the session on their back foot (ESZ4 -30). Something about Putin updating Russia’s nuclear doctrine as Biden gave a green light for Ukraine to use western weapons on internal Russian targets. Sounds ominous, but prolly good for bitcoin…right? That’s where we are now… –Lina Khan closing out […]
In: Eurodollar Options
Data’s not this week’s catalyst. It’s Geopolitics
November 18, 2024*********************–Friday featured a slightly flatter curve in the wake of Powell’s comments Thursday. SFRZ4 -4 at 9554.5, Z5 -1.0 at 9611.5 and Z6 unch’d at 9617.0. 10y yield up 1.4 bps to 4.424%. Odds of an ease at the Dec 18 FOMC are still favored, but being squeezed slightly lower. FFZ4 settled 9548.5, […]
In: Eurodollar Options
Poco a poco? Not any more
November 17, 2024 – weekly comment***************************************** This note is not about the market, but about the realignment of incentives. I think this clip of Nayib Bukele, President of El Salvador, crystallizes the inflection point where we now find ourselves. https://x.com/nayibbukele/status/1846375736308887723 In summary Bukele’s advisors said:“You know that you can’t eliminate crime all at once, right?” […]
In: Eurodollar Options
Fed has the ability to approach policy carefully. Uh-oh
November 15, 2024*********************–Knee-jerk selling of rate futures on higher than expected PPI, 0.2 with Core 0.3 m/m. Then prices reversed. TYZ4 109-04+ on the number, then back up to 109-24+ pre-Powell, then to 109-08 post-Powell. –SFRZ5 9600p seller of 40k at 37.0 covered 9614.5, 42d. SFRZ5 9612.5^ settled 90 on Wednesday and immediately traded 88.5 […]
In: Eurodollar Options
Wide range of outcomes
November 14, 2024*********************–PPI today but the only thing that matters is Powell, on the Economic Outlook, at 3:00. –Big steepening rebound yesterday. 2y yield was DOWN 6.1 bps to 4.379% while 30s were UP 6.1 to 4.636%. As can be seen on attached chart, that’s a new high bond yield. 5/30 had made a new […]
In: Eurodollar Options
If the Gov’t Efficiency Team is cutting, does Powell ease?
November 13, 2024********************* –CPI today expected 0.2 with Core 0.3 (same as last month) and yoy 2.6 from 2.4 with Core 3.3 from 3.3. –Trump places Musk and Ramaswamy to tighten up gov’t efficiency. When an individual company announces layoffs, the stock often rallies. But culling government bureaucracy may not have the same effect on […]
In: Eurodollar Options
Bitcoin up/ Gold down / School’s out
November 12, 2024*********************–Light volume as treasuries were closed. Flattening bias with SOFR reds down 7.5 but greens -7.125 and blues -6.25. –Bitcoin explosion with Dec futures up over 10k late to 88300. Precious metals went the other way as DXY continues to rally. DXY now near 106. Dec Gold down nearly $15 this morning at […]
In: Eurodollar Options
Flatter curve
November 11, 2024********************* –Veteran’s Day. Cash bonds are closed. CME should be but isn’t. –Friday was a flattener trade on light volume. On SOFR strip weakest contract was SFRM5 which closed -6 at 9600 or 4%. Red SOFR contracts (2nd year forward) were -2.75 with an average price of 9622.25 while greens (3rd yr) were […]
In: Eurodollar Options
Post Election and FOMC
November 10, 2024 – Weekly Comment******************************************* Following the FOMC’s 25 bp cut and Trump’s sweep, SFRZ4 closed on the low at 9557.5 or 4.425%. After Thursday’s Fed cut, EFFR is 4.58 or 9542. So SFRZ4 is only 15 away from EFFR. SFRZ4/H5 spread closed at a new high of -24 (9557.5/9581.5). Roughly looking at just […]
In: Eurodollar Options
