Archive for the ‘Eurodollar Options’ Category
A little TOO smart
September 23, 2024*********************–Friday featured continued strength in front-end contracts with SFRZ4 at a new high settle 9603.5. (86 bps premium to the new EFFR of 4.83%) Peak contract on the SOFR curve has moved forward to SFRZ5 at 9710.5; Z4/Z5 spread settled -107. There was a late block buy of 10k SFRZ4 9600/9575p 1×2 for […]
In: Eurodollar Options
Heading into (for a) Fall
September 20, 2024*********************–Autumn solstice September 22. –Fed’s SEP on Wednesday had 4.4% as their end-of-year FF projection for 2024. So someone bought 70k SFRX4 9562.5/9550ps for 0.5, probably in the belief that the Fed’s target has merit. You know when the Fed is REALLY good with their year-end projection? At the December FOMC, that’s when. […]
In: Eurodollar Options
Risk Management?
September 19, 2024*********************–Regarding my comment yesterday “Post-election comes with heaps of uncertainty and the Fed addresses uncertainty with liquidity” a friend responds with, “I know. I am taking extra time at the gun range.” INSURANCE. You buy it before you need it. Not when the hurricane hits. –Powell says the economy is in a good […]
In: Eurodollar Options
They don’t review it in the booth
Sept 18, 2024*************** –It’s 25 or 50. Just like the election, about half the trading population is going to be very angry. We’ll get some whiners. FFV4 settled 9508. If only 25, it still will probably hold 9493-93.5 instead of pegging 9492. The upside will exactly target 9517, and I wouldn’t be surprised to see […]
In: Eurodollar Options
One day til FOMC announcement
Sept 17, 2024**************–As Sept SOFR options have expired, I consider SFRZ4 to be ‘front month’. That is now the lowest quarterly at 9600 or 4%. The peak contract on the SOFR strip has been moving forward and is now SFRH6 at 9719.5. It’s now the 6th quarterly contract; it was the 7th quarterly last week. […]
In: Eurodollar Options
In 2007 the first cut was 50 bps, on Sept 18…
September 16, 2024********************* –On Sept 18, 2007 the Fed initiated the first cut, from 5.25 to 4.75. SPX rallied, gaining about 6% from the Sept 17 close, to the high settle on 10/9 of 1565. That remained the high until 2013. (High print was 10/11/07). So 16 or 17 trading sessions after the first ease […]
In: Eurodollar Options
Strange
Sept 15, 2024 – Weekly Comment***********************************How many lives are living strange? – Oasis The US ran a $318 billion deficit. In August. Yuge. Gold settled at a new all-time high this week with GCZ4 2610.70 and spot 2577.50. In early 1979 gold was around 200. By September it got to a little over 400. Chopped […]
In: Eurodollar Options
An exciting Sept expiration!
September 13, 2024*********************You start a conversation, you can’t even finish itYou’re talking a lot, but you’re not saying anythingWhen I have nothing to say, my lips are sealedSay something once, why say it again? Psycho KillerQu’est-ce que c’est? -Talking Heads –Talking a lot but not saying anything. That’s the world we’re in. Post-Wednesday’s CPI the […]
In: Eurodollar Options
Are you sure?
September 12, 2024*********************–In the old days on the floor, when asking the pit for quotes by way of hand signals (and not realizing exactly where prices should be in active markets) there were times when quotes would be wrong. So, you might quote a call diagonal and get 4 bid/at 5 and it was really […]
In: Eurodollar Options
9/11
September 11, 2024*********************–The trading floor always respected the moment of silence on the anniversary of 9/11 –If the payroll data didn’t provide a clear-cut signal for 25 or 50, it’s quite unlikely that today’s CPI will. Expected 0.2% with Core also 0.2% on m/m basis. YOY 2.6 from 2.7 last with Core 3.2 from 3.2. […]
In: Eurodollar Options
