June 15. In a turn of events no one could have predicted, Greek debt talks hit a snag.

June 15.  In a turn of events no one could have predicted, Greek debt talks hit a snag.  Moody’s warned French banks on exposure to Greek debt.  Glencore says demand is slowing in China (FT).

–US fixed income pulled back from recent gains, with ten year note jumping to 3.10%.  Curve was steeper with 2/10 out about 6 bps.  Implied vol in treasuries was very well bid from the open and closed at new recent highs.  There was a notable buyer of about 60k TYQ 126/127c spreads (new position) for 6/64 down to 4/64.

–In eurodollars there was a large seller of EDH2/EDM2 spread mostly at 11.0 (settled 12).  Interestingly open interest was down quite a bit in first 4 euro$ contracts according to prelim sheets.  EDU1 -26k, EDZ -18k, EDH -20k and EDM2 -15k.  No conclusions to draw, though there was a bit of a rebound in one-year calendar spreads, for example EDZ1/EDZ2 +6.5 to 60.0.

–POMO today $4-5 billion in 5 year area.  CPI expected 0.0 with Core +0.2%.  Empire State 14.0 expected from 11.9.  Industrial Production +0.2 expected (from flat) with Capacity 77.0.

Posted on June 15, 2011 at 12:10 pm by alexmanzara · Permalink
In: Eurodollar Options

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