Archive for the ‘Eurodollar Options’ Category
Thanks
November 27, 2024********************* –Minor bounce back in curve. Yesterday I had noted re-inversion of 2/10 to just under zero, but using the new 2y note 2/10 is back to +4.8 bps (4.256/4.304) . Of course, just the one-month between 2y auctions is worth a couple of bps with the front end inverted as much as […]
Bonds surge
November 26, 2024********************* –Huge bond rally with 10s down 14 bps to 4.267%. 2/10 spread re-inverted, now just under zero, though yesterday’s 2y auction was stellar (wi ended 4.252). Back calendar spreads on the SOFR strip made new lows, for example, SFRM5/M6 fell 6.5 to -32.0 (9592.5, +5.5 and 9624.5, +12.0). The peak contract on […]
Relief Rally
November 25, 2024********************* –Bounce in treasuries and EUR being attributed to Bessent’s choice as Treasury Sec’y. Stock futures powering higher, precious metals under selling pressure. This shortened week features auctions of 2, 5 and 7 year notes, with 2’s today. Chgo Fed National Activity expected -0.15; Dallas Fed Mfg as well this morning. WTI slightly […]
Delusions
November 24, 2024 – Weekly Comment****************************************** It is astonishing what foolish things one can temporarily believe if one thinks too long alone, particularly in economics… The difficulty lies, not in the new ideas, but in escaping from the old ones, which ramify, for those brought up as most of us have been, into every corner […]
Taking my bitcoins and moving to Sardinia
November 21, 2024*********************–Note: Due to a glitch in the matrix, this note may come out sporadically, if at all, going forward. –Yields rose yesterday with tens +2.9 bps to 4.404%. On the SOFR strip, SFRZ5 was the weakest at -5.0 to a price of 9610.5 or 3.895%. Five yr yield was +3.2% 4.273%. SFRH5 settled […]
20y auction and NVDA post-close
November 20, 2024*********************–Early action was dominated by news of Putin updating Russia’s nuclear doctrine. Stocks lower, fixed income bid. Those moves sputtered; stocks ended positive and near SOFR contacts were slightly lower on the day while yields from 5 yrs out were lower by 3 to 4 bps. SFRZ5 to SFRZ8 were +2.5 to +3.5 […]
Doomsday clock is ticking
November 19, 2024 *********************–Stocks appear to be starting the session on their back foot (ESZ4 -30). Something about Putin updating Russia’s nuclear doctrine as Biden gave a green light for Ukraine to use western weapons on internal Russian targets. Sounds ominous, but prolly good for bitcoin…right? That’s where we are now… –Lina Khan closing out […]
Data’s not this week’s catalyst. It’s Geopolitics
November 18, 2024*********************–Friday featured a slightly flatter curve in the wake of Powell’s comments Thursday. SFRZ4 -4 at 9554.5, Z5 -1.0 at 9611.5 and Z6 unch’d at 9617.0. 10y yield up 1.4 bps to 4.424%. Odds of an ease at the Dec 18 FOMC are still favored, but being squeezed slightly lower. FFZ4 settled 9548.5, […]
Poco a poco? Not any more
November 17, 2024 – weekly comment***************************************** This note is not about the market, but about the realignment of incentives. I think this clip of Nayib Bukele, President of El Salvador, crystallizes the inflection point where we now find ourselves. https://x.com/nayibbukele/status/1846375736308887723 In summary Bukele’s advisors said:“You know that you can’t eliminate crime all at once, right?” […]
In: Eurodollar Options
Fed has the ability to approach policy carefully. Uh-oh
November 15, 2024*********************–Knee-jerk selling of rate futures on higher than expected PPI, 0.2 with Core 0.3 m/m. Then prices reversed. TYZ4 109-04+ on the number, then back up to 109-24+ pre-Powell, then to 109-08 post-Powell. –SFRZ5 9600p seller of 40k at 37.0 covered 9614.5, 42d. SFRZ5 9612.5^ settled 90 on Wednesday and immediately traded 88.5 […]
