Mar 3. New highs red euro$’s

New highs in red eurodollar contracts, with red pack +3.0 on the day.  Volume was light. Curve edged steeper, with 2/10 up 1.5 bps to 281.5. New lows in near one-year calendar spreads, with EDM10/M11 down 3 to 114.5.  Gold had a nice rebound yesterday, gaining $15 and poised for a further run.
–The ten year strangle seller (114/119 strangles in J, K, and M) is still active, but the incessant selling has begun to draw out buyers.  Yesterday TYM 119c traded about 21k, with open interest up 17.5k, while the 114p traded 43k with OI up 22k.  There was a new buyer of 114p in size of 20k to whom locals were only too willing to transfer positions. Vol was still lower on the day, but we are finally getting two way trade.
–ABC Consumer Comfort was -49, a slight improvement.  From Zerohedge, CMBS data for January shows a big jump in delinquencies to $46B, or 5.76% of total.  Chas. Rangel will reportedly step down from Chairmanship of the House Ways and Means Committee.
–ADP data this morning and sev’l Fed speakers on tap including Fisher, Rosengren and Lockhart. Also non-mfg ISM.  Given winter storms, and Summers’ announcement that job numbers will be distorted, the upcoming emp report may not be of much interest. (Retail store sales today also expected to be influenced by weather).  Fed speakers now have added importance as Kohn is leaving and divisions on policy may become sharper.

Posted on March 3, 2010 at 5:07 am by alexmanzara · Permalink
In: Eurodollar Options

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