Archive for the ‘Eurodollar Options’ Category
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 […]
Resilience or Potential Risks
February 2, 2025 – Weekly Comment*************************************** When I started in this business, there were “Fed watchers”. Guys like David Jones, chief economist for Aubrey Langston, who would occasionally appear on the weekly financial news show, Wall Street Week with Louis Rukeyser. They interpreted what the Fed was doing. It wasn’t always immediately clear if the […]
Longer maturities accepting the idea of lower yields
January 31, 2025****************** –Q4 GDP advance estimate was just 2.3%. Today, PCE prices are released: m/m expected 0.3 from 0.1Core 0.2 from 0.1Yoy 2.6 from 2.4Core 2.8 from 2.8 –Odds for an ease in March declined slightly. FFJ5 settled 9571.5, down 1.5, around 20%, and SFRH5 settled 9575, down 1. However, deferred contracts rallied, with […]
FOMC just hawkish enough to flatten curve slightly
January 30, 2025****************** –I thought the FOMC press conference leaned slightly hawkish, but a client read it the other way, and I skimmed a couple of summaries noting that the statement was hawkish, but Powell walked it back. I would say the market supported the idea of a Fed on hold. At futures settlement, the […]
FOMC Day
January 29, 2025****************** –Boring day in rates as stocks rebounded from yesterday’s pullback (related to NVDA plunge/DeepSeek). Ten year yield +2 to 4.546%. In SOFR, all contracts from SFRU5 thru SFRU9 were -1.5 to -2.5. Vols softer. Late seller 6k TYH5 107.75/110.225 strangle at 32. Settled 32 down 3 on the day vs TYH5 settle […]
Stocks wobble; stir traders cover shorts
January 28, 2025****************** –Stock rout sparked by China’s DeepSeek. SPX -1.46%, Nasdaq Comp -3.07% and NVDA -17%. Major indices aren’t even close to the early January lows. In fact, DJIA squeaked out a small gain on the day and is near the all-time high set in December. WMT set a new ath. –Quote from Kuppy […]
DeepSeek Pops the AI Bubble
January 27, 2025****************** –Live by AI, die by AI –All about DeepSeek this morning, with Nasdaq futures currently down 4.2% (-922 points at 20989). From BBG: “The buzz over DeepSeek emerged over the weekend, with tech analysts saying the company’s AI model provides comparable performance to the world’s best chatbots at a fraction of the […]
Vol hit, but the range of economic outcomes is wide
January 26, 2025 -Weekly comment************************************** A lot of it comes down to whether or not you think the new administration will be successful in changing the trajectory of government spending relative to GDP. If you believe that, and I do, then the long-end of the market will become less concerned about forward deficits driving yields […]
Gliding into the end of the week
January 24, 2025****************** –Quiet Thursday featuring lower vol and a slightly steeper curve. SFRH6 remains the peak SOFR contract at 9602.5 (+2 on the day). H’27 9595.5 (+0.5) and H’28 9588.0 (-1.5). Ten-yr treasury yield rose 3.8 bps to 4.635. The 2y yield fell 1.5 to 4.28%. 2/10 spread 35.5 and up another 1 bp this morning. […]
Could Fed Flip?
January 23, 2025******************* –Some large option trades in rates in an otherwise unremarkable session. Ten year yield rose 2.3 bps to 4.597%. Stocks soared. with SPX up 0.6% and Nasdaq Comp +1.3% just shy of new all-time highs. –Early buyer (new) 50k SFRU5 9587.5/9562.5/9537.5p fly for 7.0. Settled there vs 9596.5. For a roll comparison, […]
