Archive for the ‘Eurodollar Options’ Category
Inflation… in WIG20
February 13, 2025******************* –CPI sent yields soaring, +0.5% m/m vs expected +0.3. Yoy was 3.0%. Recent peak was Sept 2023 at 3.7%. The yoy low was Sept 2024 at 2.4%. Ten year yield jumped 10 bps to 4.635%. On the SOFR strip, blues (4th year forward) were weakest, -14.5 on the day. Typically, reds (2nd […]
Inflation expectations have risen. What will CPI say.
February 12, 2025******************* –Not much reaction to Powell’s appearance. Yields ended higher on the day with tens up 4.2 bps to 4.535% in front of today’s CPI data and 10y auction. Three year auction was solid at 4.30%. Odds for an ease in March (and beyond) are being squeezed out. Current SOFRRATE is 4.35% or […]
Powell faces off with the Senate
February 11, 2025********************–Yields little changed yesterday with tens +1 bp at 4.493%. Interest rate premium hit across the board, with many SOFR straddles losing a couple of bps. For example, on Friday, SFRU5 9593.75^ settled 40.75. With the contract +0.5 to 9593.5, that straddle settled 39.25 yesterday. SFRZ5 9600^ went from 60.5 to 58.5 with […]
Peak Taylor
February 10, 2025******************* –Front end bore the brunt of selling pressure Friday. Payrolls were mixed with NFP 143k (175k exp) but previous revised up 51k to 307k. Avg Hourly Earnings jumped to 4.1% yoy vs expected 3.8. Unemployment rate fell to 4.0%. The big surprise was U of Mich 1-yr inflation expectations which surged to […]
Shorter runway to runoff
February 9, 2025***************** Futures Clearing and Execution/ amanzara@rjobrien.comTruckin’, like the doo-dah manOnce told me, “You got to play your hand”Sometimes the cards ain’t worth a dimeIf you don’t lay ’em down Truckin’ – Grateful Dead I always thought it was “…the cards ain’t worth a ‘damn’” not ‘dime’. Another one of my long-held beliefs, shattered. […]
Payrolls!
February 7, 2025****************** —Payrolls. NFP today expected 175k from 256k last. I’ve seen some higher estimates. Private payrolls expected 150k from 223k. My personal bias regarding TY and US is that a strong number will be met with dip buyers, while a weak number could cause a powerful rally. In TY I suspect the week’s […]
BIG flattener
February 6, 2025******************–Back in the Clinton presidency, there was angst about budget deficits. From Bob Woodward’s ‘The Agenda’: “Clinton recognized that it was the exact argument that Greenspan had made to him the previous month. Deficit reduction could mean lower long-term interest rates.… Clinton’s face turned red with anger and disbelief. “You mean to tell […]
Rate futures find footing
February 5, 2025****************** –Near one-year sofr calendars are pressing lower as reds led to the upside (+6.125). SFRH5/H6 settled -36.5 (9574.5, +1 and 9611.0, +5.5). In treasuries the 2y yield fell 5 bps to 4.21% while 10s were down 3 bps to 4.54, so that spread bounced a couple to 30 bps. Overall, the session […]
Only halfway thru the first MONTH
February 4, 2025****************** –Tariffs on both Mexico and Canada were tabled as both countries acquiesced to some US demands about tightening borders. China retaliated with trade restrictions. John Authers has an opinion piece on BBG smugly titled, ‘It’s Almost Like They Knew Trump Was Bluffing.’ I guess he doesn’t think Mexico and Canada really gave […]
brief note
February 3, 2025****************** –Starting the month of February with weakness in equities related to Trump imposing tariffs. Dollar surged. Fixed income markets remain weak; on late Friday’s stock sell-off treasuries also fell. TYH5 settled Friday at 108-27. Current print is 108-28+ with ESH 5985 (-82.25). –In ESH5 the 200 DMA is 5765. The low on […]
