June 1. Economic data continues to disappoint.

June 1. Economic data continues to disappoint.  Chicago PMI was expected 62 but came in 56.6.  Consumer Confidence was 60.8 vs expected 66.5 and Dallas Fed was -7.4 vs expected 8.5. Today’s news includes ADP data and National ISM, expected 57.5 vs 60.4 last.  A new rescue package for Greece was cited for equity market strength, but perhaps as important is the perception of endless liquidity measures to disguise underlying imbalances.

–Eurodollar calendar spreads made new lows as yields fell.  Red/green pack spread closed just below 100 bps.  EDZ1/Z2 (Dec/Dec) closed down 3.5 to new low of 71. New seller yesterday of 10k EDZ2/EDZ3 on block trade at 100.5. As EDM1 nears expiration, June/June is only 38 bps.   Ten year treasury yield fell to 3.05%.

–The house voted against a debt ceiling increase.

–(Reuters) As much of a quarter of the recent decline in the U.S. jobless rate is due to long-term unemployment benefits running out, according to research from the Chicago Federal Reserve Bank published on Tuesday.

Posted on June 1, 2011 at 12:18 pm by alexmanzara · Permalink
In: Eurodollar Options

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