Archive for the ‘Eurodollar Options’ Category
Gliding into the end of the week
January 24, 2025****************** –Quiet Thursday featuring lower vol and a slightly steeper curve. SFRH6 remains the peak SOFR contract at 9602.5 (+2 on the day). H’27 9595.5 (+0.5) and H’28 9588.0 (-1.5). Ten-yr treasury yield rose 3.8 bps to 4.635. The 2y yield fell 1.5 to 4.28%. 2/10 spread 35.5 and up another 1 bp this morning. […]
Could Fed Flip?
January 23, 2025******************* –Some large option trades in rates in an otherwise unremarkable session. Ten year yield rose 2.3 bps to 4.597%. Stocks soared. with SPX up 0.6% and Nasdaq Comp +1.3% just shy of new all-time highs. –Early buyer (new) 50k SFRU5 9587.5/9562.5/9537.5p fly for 7.0. Settled there vs 9596.5. For a roll comparison, […]
Flattening Continues
January 22, 2025****************** –Main feature Tuesday was curve flattening, with heavy selling pressure on 2yr notes. In cash, 2s rose in yield just over 1 bp to 4.281% while 10s fell 3.5 to 4.574%. In futures, TUH5 fell 0.25/32s while TYH5 was +6/32s at 108-23+. Last Thursday a large block trade occurred, selling 52k TUH5 […]
Stressed?
January 21, 2025******************–The titans of tech were on display at the inauguration. Musk, Cook, Zuck, PichAI, Bezos. I didn’t watch much, but what I didn’t see were banking and finance giants. I guess they’re in Davos. –BBG has an editorial today: Fed’s Bank Stress Tests Are Facing a Stress Test. https://blinks.bloomberg.com/news/stories/SQ8BWKT1UM0W The article notes that at […]
Musing about the Composition of Employment
January 19, 2025****************** Last week I touched on the decline in yields which began globally in Q3 2018. In November 2018, tens were 3.24 and fell though 2019 to 1.50 by September. Another huge decline followed as Covid hit in late 2019 into Q1 2020. I don’t think we will copy that experience, but last […]
Something Brewing
January 17, 2025****************** –There was a large 2/10 flattener printed on block yesterday morning at 9:03ET.-52k TUH5 102-22.625+23k UXYH5 110-175 On the chart below, it makes sense as a profit-taking exit. I’m not much of an Elliott wave analyst, but it looks like the completion of a 5th wave up. 1st from late June to early August, […]
Covered call buyer adding in TY
January 16, 2025****************** –Yields imploded on a slightly softer than expected Core CPI of 0.2% vs 0.3 exp and y/y 3.2% vs 3.3 expected. Curve flattened. 10y yield down 13 bps to 4.653%. 2y yield down almost 10 at 4.262%. Headline CPI yoy was 2.9% from 2.7% last. Not close to Fed’s target, but the […]
Bonds remain weak going into CPI
January 15, 2025****************** –Steeper curve yesterday with some large TY option trades going into today’s CPI data (more below). 2s fell 3.6 bps to 4.36% while 10s were down 1.4 to 4.784%. On the SOFR strip SFRZ5 was strongest +4 at 9591.5 (also peak price). Net changes tailed off from there. SFRZ6 +3 at 9580.5, […]
If neutral is lower, why are real yields going higher
January 14, 2025****************** –USH5 contract made a new low 110-25. The low for the front US contract in October 2023 was 107-04. On the cash 30y bond, the high yield in October 2023 was 5.115%. I marked 4.984% at the time of futures settlement USH5 110-27. Worth noting is that the 30y inflation indexed note […]
January Resolutions in Turmoil
January 13, 2025****************** –January 10 was Quitter’s Day. The second Friday in January is apparently when most resolutions go out the window. If the resolution was ‘support financial assets’ then indeed, it seems to have crumbled. –Yields soared on Friday’s blowout +256k payroll number. Curve flattened, giving back some of the steepening seen over the […]
