Where is the mass of expectations? Look at the change in option open interest for a good idea. Here is the change in open interest during the last week for December eurodollar option on futures strikes. There has been a significant increase in put open interest for lower strikes with some lifting of positions of higher strikes.
We have not provided alternative expirations, but this does suggest the direction of option trader focus. For the end of the year, there is a strong expectation that rates are going higher than the closing futures contract at 97.16. Higher inflation and talk of 50 bps increases is leading some traders to think that moves in 2022 will be greater than expected.
No comments:
Post a Comment