Archive for the ‘Eurodollar Options’ Category
Treasury yields higher as geopolitical events fail to awaken safety fears
October 28, 2024******************–As mentioned in weekend note, Friday started with a buy of 50k TY wk1 MONDAY (today expiry) 111.75 call for 3. Likely same player who had bought 50k 111.75 put which expired Friday 44/64s in-the-money, with a settle of 111-02 in TYZ4. Gains continue this morning with TY at a new low of […]
The Playbook
October 27, 2024****************** Friday began with a buyer of 50k TY wk1 MONDAY 111.75c for 3. These calls expire Monday, 28-Oct. [Symbol on BBG for Mon options is VBYA; VBYZ4 <commdty> OMON. On CME Daily Bulletin VYO] This was probably a hedge for an Israel response to Iran that could spin out of control. Note […]
The price is right. For today, anyway.
October 25, 2024******************–Yields eased a bit, with 10s down 4 bps to 4.20%. No particular meaning associated with that yield level, though everyone might want to take a toke over the next two weeks for medicinal purposes. November treasury options expire today. TYZ4 settled 111-09 and the X4 111.25^ settled 16/64. Not looking for much […]
Turnaround Thursday?
October 24, 2024******************–Yields pushed a bit higher, punctuated by an aggressive, end-of-day buyer of 30k USZ4 109p for 10, 11 and 12, (10k each). This 5 delta put was bought just after USZ4 settle at 118-01 with futures around 118-03/04; puts settled 9. 20y auction tailed by 1.7 coming in at 4.59%. Ten year yield […]
Moving on up
October 23, 2024*******************–Yields continue to push higher with tens +2.5 bps to 4.202%. Every yield now over 4%. Two and fives are just over 4%, tens 4.20% and thirties 4.5%. Ed Bolingbroke of BBG put out a piece yesterday titled, ‘Cost to Hedge Against Treasuries Losses Soars to Highest of 2024’. Attached I created a […]
Yields powering higher
October 22, 2024****************** –Yields are climbing. Yesterday 10’s rose 10.9 bps to 4.182%. I had mentioned the midway point of this year’s range in the 30y bond, from the April high of 4.81% to the Sept low of 3.93%. That level is 4.37% and the market had bounced around that area for a few days. […]
Gold bugs
Oct 21, 2024************* –Rate futures were little changed last week. 2s, 5s, 10s and 30s were within 1.5 bps of the previous Friday’s close (at futures settlement time). On Friday, the 10y yield was -2.2 at 4.073 and the 30y was 4.38, down 1.3 bps. However, this morning, after having settled 120-08 on Friday, USZ […]
Which Consumer
October 20, 2024- Weekly Comment*************************************** Does this make sense? I set the time period as the last twenty years, from 2004 to 2024. Covers the mortgage bubble, zirp, QE, covid, etc. In Q2 2004 Household Assets were $64.9T and Liabilities $10.5T. Currently, Q2 2024, Assets (green) are 185 and Liabilities (red) are 20.7. So assets […]
Bonds. Monday’s weakness wasn’t an aberration
October 18, 2024****************** –Housing Starts today. Waller speaks at 12:10 on Decentralized Finance. Kashkari at 10:00. Some have said that Kashkari’s recent remarks are concerned with excessive bond market (funding) volatility, so worth noting. –Data stronger than expected yesterday with Retail Sales +0.4, Philly Fed 10.3 from 1.7 last and Jobless Claims 241k from 260. […]
Changes
October 17, 2024 ******************–Retail Sales today expected 0.3 from 0.1, ex-auto and gas +0.3 from 0.2. Jobless Claims 260k, Ind Production -0.1 from +0.8. Philly Fed 3.0 from 1.7. –As attached chart shows, new recent low yesterday in SFRH5/H6 at -61.5 (9608.5/9670). SFRU4/U5 is -134 (U4 continues to trade) and Z4/Z5 is -99 (9655.5/9665.5) so […]
