Archive for the ‘Eurodollar Options’ Category
Front end pricing favors Dec cut
December 5, 2024******************* –News articles attribute bitcoin’s surge above 100k to a pro-crypto choice for the SEC. Paul Atkins. I guess it has nothing to do with political gymnastics in S Korea and France. Or with Blinken urging Ukraine to conscript younger kids into the meat grinder. Well, maybe it doesn’t because gold is still […]
Just kidding about the whole ‘Martial Law’ thing…
December 4, 2024******************* –Early headline: URGENT: South Korean president declares emergency martial law, accusing opposition of anti-state activities South Korean President Yoon Suk Yeol declared an “emergency martial law,” Tuesday accusing the country’s opposition of controlling the parliament, sympathizing with North Korea and paralyzing the government with anti-state activities. –UST went slightly bid but reverted […]
Linked-in post from weekend…$/yen
The FOMC is December 18. BOJ is December 19. On Friday (11/29) Ueda said the time for a hike is “approaching”. According to several articles, the probability of a hike is around 60% from the current 0.25% rate. (3m TIBOR fixing has moved from just above 25 bps to 36 bps since early November). On […]
Waller reverses front-end weakness
December 3, 2024******************* –Early trades featured pressure on nearer contracts. For example, early buyer: FV wk1 106.75p cov 107-12, 18d 5 paid 50k (Settled 3.5 vs 107-167, OI +53k).FV wk 2 106.75p cov 107-12, 25d, 9.75 avg paid 35k (settled 7.5, OI +35k). (likely large asset mgr protecting against possible BIG rebound in NFP Friday) […]
NFP Friday. ISM Mfg today. China 10’s below 2%
Dec 2, 2024************ –Quiet day on Friday with yields slightly lower. Tens ended at 4.192% down 5.4 bps, and TYH5 settled 111-06, adding to a recent bounce. Big news of the week is the Unemployment report, with NFP expected 195 to 200k. The press is running with a lead story of Biden pardoning Hunter as […]
Labor side of dual mandate this week
December 1, 2024 – Weekly comment**************************************** Yields plunged last week. I marked 5’s down 21.3 bps to 4.073%, 10s down 21.4 to 4.192% and 30s -21.6 to 4.378%. On the SOFR strip, every contract from SFRM6 to SFRM8 was up 21 to 21.5 bps. The prices: SFRM6= 9633.5 or 3.665% to a high on the […]
Bond differentials don’t matter, then they do
November 29, 2024********************* –Wednesday featured thin conditions. PCE prices exactly as expected with yoy 2.3% and Core 2.8%. Yields ended lower on the day, with tens down 5.8 bps to 4.246%. Ten year inflation-indexed note to treasury marked at a new recent low of 228 bps (exactly at yoy PCE). Treasury to tip spread this […]
Thanks
November 27, 2024********************* –Minor bounce back in curve. Yesterday I had noted re-inversion of 2/10 to just under zero, but using the new 2y note 2/10 is back to +4.8 bps (4.256/4.304) . Of course, just the one-month between 2y auctions is worth a couple of bps with the front end inverted as much as […]
Bonds surge
November 26, 2024********************* –Huge bond rally with 10s down 14 bps to 4.267%. 2/10 spread re-inverted, now just under zero, though yesterday’s 2y auction was stellar (wi ended 4.252). Back calendar spreads on the SOFR strip made new lows, for example, SFRM5/M6 fell 6.5 to -32.0 (9592.5, +5.5 and 9624.5, +12.0). The peak contract on […]
Relief Rally
November 25, 2024********************* –Bounce in treasuries and EUR being attributed to Bessent’s choice as Treasury Sec’y. Stock futures powering higher, precious metals under selling pressure. This shortened week features auctions of 2, 5 and 7 year notes, with 2’s today. Chgo Fed National Activity expected -0.15; Dallas Fed Mfg as well this morning. WTI slightly […]
