Archive for the ‘Eurodollar Options’ Category
Do Bond Yields Continue Higher?
January 12, 2025 – Weekly Comment***************************************I don’t believe the payroll data. However, there’s no doubt that the US economy has been resilient. In any case, the employment report (NFP 256k) bolsters the last Fed dot plot which ratcheted up inflation estimates. (PCE price estimate for 2025 in September was 2.1%, moved up to 2.5% in […]
Payroll Friday!
January 10, 2025****************** –Payrolls today expected 165k with rate of 4.2%. LA fire damage now estimated $150B and going higher. Likely inflationary at the margin. –On a half day there were some fairly large trades. In the long end, weighted to the downside. In SOFR there were some decent size call buyers.[half day due to […]
New high Gilt yields
January 9, 2025**************** –UK assets continue to deteriorate, with 10y yield at a new high 4.83% and GBP 1.2260 (from 1.3440 three months ago). Gilt yield high was 4.75% in August of 2023. –Estimate on BBG says LA fires could cause $57b in damage. –US futures close at noon today in honor of President Carter. […]
Rates higher…
January 8, 2025*****************…is it due to a whiff of inflation, or borrowing to buy Greenland? –Data stronger than expected Tuesday with ISM Services 54.1 vs expected 53.5. Prices Paid were 64.4, highest in the past two years. JOLTS continued to rebound, up to 8098k. Treasuries were inspired to make new lows (price). High 30y yield […]
Price action in rate futures remains bearish
January 7, 2025**************** –30y bond exceeded last year’s high yield, printing 4.86% yesterday. marked at 4.835% at futures close (USH5 113-04s). In tens there was an early buyer of 50k TYH5 106p for 14, adding. Settled 15 vs 108-17. Open interest now 108k. The 106 strike is approximately 5% yield. Today tens are auctioned, followed […]
Super Highways
January 5, 2025 – Weekly Comment*************************************First, a couple of Fed snippets which highlight a shift back to favoring the inflation mandate (as if the increased inflation dots in the last SEP were too subtle of a hint): From Tom Barkin’s Fed speech on Friday, Jan 3: Basically, consumer strong but pickier. Jobs balanced, not as […]
Bond supply…then payrolls
January 3, 2025****************** –Treasury auctions of 3, 10, 30y moved to Monday, Tuesday, Wednesday due to memorial day for President Carter on Thursday. Payrolls on Friday. –Yields were lower yesterday morning to start the year but ended around unch’d with tens 4.573%. SOFR contracts -1 to +1.5 out to golds (5th yr). There was fairly […]
2/10 close 2024 at high of year, +32.7
January 2, 2025***************** –Thin conditions Tuesday to end the year. Yields edged a bit higher. I marked tens at 4.577%, up 3.4 bps on the day and up 70 bps on the year. –Buyer 7.5k SFRZ5 9600/9650/9700c fly for 8.25. Settled 7.75 ref 9605.5. Also SFRU5 9650/9750cs bought 24k, vs sold 12k SFRZ5 9550p at […]
Bring on 2025
December 31, 2024********************* –Yields eased yesterday, with tens down 7.6 bps to 4.543%. Current is 4.52 (pre-open). Year’s range 3.62 to 4.71; the low coincided with the Fed’s initial 50 bp ease in mid-Sept. Tens are currently about 20 bps above the Fed Effective rate. –BBG article this morning ‘Treasury’s $50 trillion Deluge Will Test […]
We can absorb delinquencies on credit cards. CRE?
December 30, 2024******************** –Big trade Friday as stocks slid: New buyer of 50k SFRM5 9612.5/9662.5cs vs 9556.25p for 3.0 to 3.5 covered 9592. 9612.5c 13.0s OI +43.5k. 9662.5c 6.0s OI +54k. M5 9556.25p 4.0s, OI +42k. Spread settle 3.0 ref 9592.0 settle. Stocks are slightly easier this morning and SFRM5 is 9593.5. —Curve steepened Friday […]
