Archive for the ‘Eurodollar Options’ Category
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, […]
In: Eurodollar Options
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 […]
In: Eurodollar Options
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 […]
In: Eurodollar Options
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 […]
In: Eurodollar Options
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 […]
In: Eurodollar Options
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 […]
In: Eurodollar Options
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) […]
In: Eurodollar Options
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 […]
In: Eurodollar Options
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 […]
In: Eurodollar Options
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 […]
In: Eurodollar Options
