June 27.

June 27.  As June draws to a close it seems like the firewall has been jumped and now Italy is under attack (banks downgraded).  It’s a rolling crisis of confidence.  Two year US treasury is near new low at 33 bps.  Five year dropped 8 to 1.38. However the US bond yield was unchanged…the long end is balking at diving to shallow rates, especially without overt sponsorship of the Fed.

–Once again eurodollar calendar spreads made new lows, with Sept/Sept barely above 1/4% at only 28.5.  As mentioned previously, open interest continues to drop in near contracts.  Total ED open interest fell 75k.  EDU1 was up 8500, but the next 4 were -20k, -38k, -33k and -17k. When in doubt, get out?

–Today’s news includes 2 year auction, Pers Income/Spending +0.4/0.0.

–I saw an article that Greece was unable to pay past due bills, that some bills related to medical care were being left unpaid for 2 years.  In Illinois, the Governor recently floated new bonds in order to pay past due bills.  Huffington Post ran a piece with this headline: Chicago Taxpayers Owe $63,525 Per Household In Local Government Debt …”The average debt per household in Chicago is over $63,000, based on municipal shortfalls and underfunded pension obligations. In the suburbs, the average is just under $33,000.”  Median household income in Chgo according to 2010 census is $38625.  We scoff at problems in Greece.

Posted on June 27, 2011 at 12:03 pm by alexmanzara · Permalink
In: Eurodollar Options

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