Archive for the ‘Eurodollar Options’ Category
Round trips
October 16, 2024*******************–The Columbus round-trip: On Monday ESZ4 sailed, with a range of 5850.0 to 5918.50, settling 5908.25, +48.50. Tuesday’s range was almost exactly the same in reverse, testing the high early at 5915.50, with a low of 5850.0 and settle of 5962.75, -45.50. Weakness in semis was sparked by a 4-letter stock ASML, on […]
Waller’s gone soft
October 15, 2024******************–Waller’s speech yesterday pretty much describes no landing or a soft landing. Job market coming into better balance. Wage growth decent. but perhaps not inflationary with productivity growth as an offset. Summary: With the labor market in rough balance, employment near its maximum level, and inflation generally running close to our target over […]
Just add that interest payment to principal. We good with that?
October 14, 2024******************–Yields eased Friday led by front end. 2y down 5 to 3.94. 10y down 2.3 to 4.07 and 30s down just 1.2 to 4.38 as sentiment shifts on the long-end. Similar with SOFR curve: reds +6.75, greens +4.5, blues +2.375 and golds only +1.5. I marked 10 year breakeven at 233.3 bps, a […]
Really Awesome
October 13, 2024 -Weekly comment************************************** One of Bloomberg’s top headlines on its website Sunday is:Retail Traders Embrace Market Turbulence With Bets on Volatility Here’s a quote: “We’re starting to get into unprecedented territory here,” says Akshay Aravindan, a 25-year-old software engineer at Microsoft who trades early in the morning before work starts. “This market is […]
Closing out the week
October 11, 2024*******************–You’re not going to find this interesting, but I’m throwing it out there anyway. On Wednesday, SFRZ5 settled 9655. The October midcurve 9556.25^ settled 15.25 with two days to go (expires today). Pumped up, because of Milton and the CPI data, both of which came and went by yesterday afternoon. SFRZ5 settled up […]
CPI might be lower, but inflation expectations edging up
October 10, 2024******************–CPI today expected 0.1 with Core 0.2. On yoy basis, 2.3 expected from 2.5 last with Core 3.2, same as last.I would note that the ten-yr breakeven (treasury – tip) rose to 229.5. Exactly one month ago on 10-Sept it hit the cycle low at 202.8. Those that believe the Fed made an […]
Calm before the storm
October 9, 2024*****************–Little change in rates Tuesday as selling pressure related to NFP abated. SFRH5 settled 9609, +3.0, the strongest contract on the strip. Every contract on the SOFR strip from SFRZ5 to SFRZ7 is between 9660 and 9666. In fact, Z5 is 9660 and Z7 is 9661, a spread of just -1. On June […]
NFIB uncertainty index at new high
October 8, 2024******************–Follow-thru front end selling and continued flattening. On the SOFR strip, reds -8.5, greens -5.375, blues -3.625 and golds -3.125. On Oct 1, SFRZ5 settled 9705, yesterday it was -9 at 9557.5, down nearly 50 in four sessions. For comparison, over the same time period, SFRZ7 fell just 30, from 9691.5 to 9662. […]
Eases dialed down to quarter point increments
October 7, 2024******************–On September 24, FFG5 settled 9631 or 3.69%, 114 bps below the current Fed Effective rate of 4.83%. This contract captures the next three FOMC meetings. On the attached chart, I’ve marked eases in terms of 25 bp increments. Obviously, with the contract having settled -20 on Friday at 9592.5, one ease came […]
Puke
October 6, 2024 – weekly comment*****************Friday’s payroll report showed a surge of 254k vs expected 150k, and the unemployment rate fell back to 4.1% from 4.2%. Rate futures plummeted. Curve flattened. Some are now saying that September’s 50 bp cut by the Fed was a policy error. Below is a table of selected futures prices, […]
