Archive for the ‘Eurodollar Options’ Category
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 […]
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 […]
Settling in for higher terminal rates
November 8, 2024******************* -Fed cut 25 as expected, so EFFR should now be 4.58% (from 4.83%). Jan FF contract settled 9560.5, +0.5 on the day, or 4.395%, so the spread to the new EFFR is -18.5, i.e. about 75% chance of another 25 bp cut in Dec. FFG5, which also captures the Jan 29 FOMC, […]
Front runners
November 7, 2024******************** –FFX4 are locked-in for a 25 bp ease today. A cut will take EFFR from current 4.83% to 4.58%. The Jan FF contract prices the Dec 18 FOMC. It currently is 9560 or 4.40%. If, after today, the Fed holds at 4.58, then FFF5 goes to 9542.0, or 18 lower. On another […]
It’s over
November 6, 2024******************** –It’s my solemn hope that I don’t have to watch Mark Cuban lectures any more. Apparently Americans don’t like being talked down to. Congrats to the Frenchman (bad news is that he hedged with bitcoin!). And congrats to Musk who went all-in. –Yesterday brief summary: Curve flatter and implied vol eased from extended levels. On the […]
Bonds and oil bid this morning
November 4, 2024*******************(As of 5:45am EST)–Rate futures closed out the week on the lows, though Friday’s rate moves have been completely erased this morning. Tens closed Friday +7.7 bps at 4.355%; now 4.29%. Red sofr contracts were -4 with SFRZ5 9630. At the end of September this contract settled 9700. SFRZ4/Z5 one-yr calendar settled at […]
Felection
November 3, 2024******************* It’s FOMC week and the election: Felection. Sound stupid? It’s supposed to. In the old days, there was no Fed statement. No press conference. There were legions of “Fed watchers” who interpreted policy moves. On the CBOT floor, “Fed time” was around 10:30 to 10:35. Repos or matched sales were big clues […]
Vol measures elevated pre-election
November 1, 2024******************* –Nonfarm Payrolls today expected 105k, though storms and strikes will make data less useful. In general, labor market indicators have been resilient. ISM Mfg expected 47.6 from 47.2. –Yields little changed yesterday, with 10s 4.278% up about half a bp. However, red sofr contracts were -2 and greens -2.5. While the increase […]
Down to the wire
October 31, 2024****************** –New highs in near sofr calendar spreads as the 2y area bore the brunt of selling. 2y yield +3.9 bps to 4.156. 10’s were unch’d at 4.272 and 30s -3.5 at 4.482. 5/30 treasury spread new low at 35 bps. SOFR spreads: SFRZ4/Z5 new high -73.5, up 5.5 on the day (9562/9635.5) […]
Yields on 2s and 5s nearly equal. 7y auction today
October 29, 2024******************–Yields rose further with relentless put buying on TY. 10y yield rose 4.6 bps to 4.276%. Curve had a slight flattening bias as 2’s and 5’s were auctioned (both tailed, 0.8 bp on 2y at 4.130% and 1.6 bp on 5y to 4.138%). New recent low on 5/30 spread at 42 (4.108/4.528). I’ve […]
