Archive for the ‘Eurodollar Options’ Category
NFIB optimism. Will it bear out?
December 10, 2024******************** –Yields a touch higher in front of this week’s auctions; 3y today. Ten year re-open tomorrow, ended at 4.197% up 4.8 bps on the day. On the SOFR strip reds through golds down 3 to 4 bps. Notable new buyer of 50k SFRJ5 9625/9700cs for 11.0. Settled 11 ref 9608 in SFRM5. […]
Shifting Sands
December 9, 2024******************* –NFP about as expected at 227k (220k exp). However, Private payrolls were 194k vs 205k expected. So government payrolls rose, but they will be under the cutting knife next year. The Unemp rate upticked to 4.2%, enough to solidify expectations of an ease at the Dec 18 FOMC. –Current EFFR is 4.58%. […]
Low MOVE underpricing uncertainty
December 8, 2024 – Weekly comment****************************************Image below is MOVE (treasury vol index) and the yield of the US 10 year. The ten-year yield bottom corresponded with the September 18 FOMC 50 bp rate cut. That yield was 3.62% on September 16, the low for this calendar year. Rates soared from there going into the election, […]
Earth is Shaking
Dec 6, 2024************ –Going into today’s payroll report (NFP expected 210 to 220k, rate 4.1) longer end contracts closed near the highs of the past week. TYH5 settled 111-065, down 1.5/32s, but well off the week’s low of 110-18. It feels like the market is set up a bit short, looking for a solid rebound […]
Front end pricing favors Dec cut
December 5, 2024******************* –News articles attribute bitcoin’s surge above 100k to a pro-crypto choice for the SEC. Paul Atkins. I guess it has nothing to do with political gymnastics in S Korea and France. Or with Blinken urging Ukraine to conscript younger kids into the meat grinder. Well, maybe it doesn’t because gold is still […]
Just kidding about the whole ‘Martial Law’ thing…
December 4, 2024******************* –Early headline: URGENT: South Korean president declares emergency martial law, accusing opposition of anti-state activities South Korean President Yoon Suk Yeol declared an “emergency martial law,” Tuesday accusing the country’s opposition of controlling the parliament, sympathizing with North Korea and paralyzing the government with anti-state activities. –UST went slightly bid but reverted […]
Linked-in post from weekend…$/yen
The FOMC is December 18. BOJ is December 19. On Friday (11/29) Ueda said the time for a hike is “approaching”. According to several articles, the probability of a hike is around 60% from the current 0.25% rate. (3m TIBOR fixing has moved from just above 25 bps to 36 bps since early November). On […]
Waller reverses front-end weakness
December 3, 2024******************* –Early trades featured pressure on nearer contracts. For example, early buyer: FV wk1 106.75p cov 107-12, 18d 5 paid 50k (Settled 3.5 vs 107-167, OI +53k).FV wk 2 106.75p cov 107-12, 25d, 9.75 avg paid 35k (settled 7.5, OI +35k). (likely large asset mgr protecting against possible BIG rebound in NFP Friday) […]
NFP Friday. ISM Mfg today. China 10’s below 2%
Dec 2, 2024************ –Quiet day on Friday with yields slightly lower. Tens ended at 4.192% down 5.4 bps, and TYH5 settled 111-06, adding to a recent bounce. Big news of the week is the Unemployment report, with NFP expected 195 to 200k. The press is running with a lead story of Biden pardoning Hunter as […]
Labor side of dual mandate this week
December 1, 2024 – Weekly comment**************************************** Yields plunged last week. I marked 5’s down 21.3 bps to 4.073%, 10s down 21.4 to 4.192% and 30s -21.6 to 4.378%. On the SOFR strip, every contract from SFRM6 to SFRM8 was up 21 to 21.5 bps. The prices: SFRM6= 9633.5 or 3.665% to a high on the […]
