June 9. New lows in all eurodollar calendar spreads.

June 9.  New lows in all eurodollar calendar spreads.  Red/green pack spread fell a whopping 7 bps to only 88.5.  Ten year note fell to 2.93/94 before ending the day 2.96. Two year note below 40bps. There is still continuous buying of out of the money green calls…9875 thru 9900 as green pack trades 98.29.  One month ago on May 10, EDZ1/EDZ2 was 101.  Yesterday it closed 52.5, down 6 bps, 14 consecutive lower settles, (yet there’s surprise and consternation that DJIA has gone down 6 days in a row).

–Yesterday oil surged as the OPEC meeting broke up without an increase in production…news story suggested the group was in “disarray”.  Meredith Whitney was on CBNC maintaining her call of fiscal hardship at state and local levels leading to bankruptcies and broken contracts.  Ten year note auction was eagerly bought even at these paltry sub-3% yield levels.  Beige book noted some areas slowing, some growing. Chgo Trib reports CME may move corporate headqtrs from Illinois due to taxation. Every large firm knows it can wring preferential treatment by threatening to leave, leaving smaller companies to shoulder the burden of bad state mgmt.

–Today’s news includes Trade balance expected -49.0 B.  Job claims +418k.  Trichet to warn of rate increases?  30-yr bond auction.  The Obama team is considering a payroll tax break and other measures to spur the economy.  CNN Money says US debt to GDP will surpass 100% (to 102) this year.

Posted on June 9, 2011 at 12:14 pm by alexmanzara · Permalink
In: Eurodollar Options

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