Archive for the ‘Eurodollar Options’ Category
New low treasury yields for 2025, new high vol
March 3, 2025****************–Trump announces Crypto Strategic Reserve, causing bitcoin to jump 10%. Precious metals also rebounding, but in a much more muted way. GCJ +34.50 to 2883, up 1.2%. –Friday featured new low yields for this calendar year, with tens down 5.6 bps to 4.227%. 2y now just under 4% at 3.995 (-8.3 bps). PCE […]
Bessent in the Driver’s Seat?
March 2, 2025 – Weekly Comment************************************** Yields at new lows for the year. On the week, 2s dropped 19 bps and are now just under 4%. 5s down almost 23 at 4.026%, 10s down 19 at 4.227%, now 10 bps under the Fed Effective rate of 4.33%. The thirty-year fell 15.3 bps to 4.513%. A […]
Nasdaq and bitcoin more interesting than rates…
February 28, 2025*******************–So ends February. At yesterday’s close Bitcoin had fallen to its 200 day moving avg at 81963, this morning it has broken below, for now, with a low of 78225. Nasdaq-100 futures, NQH5, also just pierced the 200 DMA, 20644; traded slightly below this morning but is now slightly above. NDX and CCMP […]
Pause (in the TY rally) that refreshes
February 27, 2025*******************–New buyer of 105k TYK5 113.5c: 19 covered 110-20 with 17d. Settled 22 vs 110-28+. On Tuesday, buyer of 100k TYK5 111.5c up to 40, settled 55 yesterday. Cash yield at futures settlement was 4.249%, down 4.7 bps on the day, and now well below the SOFRRATE and EFFR of 4.33%. It becomes […]
Off topic
February 26, 2025*******************I happened upon what I thought might be an interesting post:Recession indicators are everywhere online — even if we’re not actually in onehttps://mashable.com/article/recession-indicator-meme-explained The author is Christianna Silva. The bottom of the piece outlines her credentials: Christianna Silva is a senior culture reporter covering social platforms and the creator economy, with a focus […]
In: Eurodollar Options
Large treasury option flow appears to favor upside
February 26, 2025******************* –SMCI was able to sneak their audited financials to Nasdaq – just under the wire before being delisted. Now it’s all better. At least until we see NVDA’s results this afternoon. –Yesterday saw vols pop amid some huge TY option trades. May TY calls added 125k on open interest. Flows were weighted […]
Bitcoin tail-wagging
February 25, 2025******************* –Bitcoin has broken out of its three month sideways consolidation to the downside, with the Feb future now at 88200, down nearly 5800. Range had been approx 92.5 to 105. Trapped longs suggest further downside, and NQH being down 89 at 21331 is a potential spillover indication. MSTR is in the red […]
Monday morning consolidation
Feb 24, 2025************** –On Friday SPX -1.7% and Nasdaq Comp -2.2%. Led to flight-to-quality buying in treasuries and SOFR. Ten-year yield fell 8.2 bps to 4.416% and on the SOFR strip H6, M6, U6 (the first three reds) were the strongest, all +10.5 (9614.5, 9616.5, 9617.5) with U6 being the peak price contract. SFRU5 atm […]
The ‘Countertrade’
February 23, 2025 – Weekly comment******************* Fascinating story on slashgear.com about Pepsi’s dealings with the old Soviet economy. Here are a few snippets: To solve this problem, Pepsi orchestrated what is known as a “countertrade,” essentially allowing the Soviets to pay for Pepsi sodas with a commodity rather than cash. Bartering agreements were a common […]
In: Eurodollar Options
Someone looking for a blow-up?
February 21, 2025******************* –Just considering yesterday’s flows, and this isn’t particularly rigorous analysis, it seems to me that someone is betting on an accelerated easing timetable, and that longer dated treasuries may see rising yields either as a result, or as an independent move. –Just after the FOMC minutes on Wed, which discussed a pause […]
