March 29. Interest rates on hold
–Not much change in interest rate futures yesterday. Straddles were crushed…USM 138 straddle from 458 to 442 as futures settled unchanged. TYM 129.5^ from 230 to 221, I marked at 5.7 vol. TYK from 136 to 127. Big calendar spread buyer in eurodollar EDU13/EDU14 yesterday in size of about 15-20k from 45.5 to 47.0. Settled 46.5, up 1 on the day.
–Today’s news includes Jobless Claims expected 350k.. Final Q4 GDP expected +3.0. 7 yr treasury auction.
–According to Business Insider a report from Goldman suggests that unseasonably warm weather had added payrolls that now may be reversed. Next Friday NFP expected 213k. If the employment report is weak, the prospect of QE3 will loom much larger at the April 24/25 FOMC.
–Some talk of large asset reallocation from stocks into bonds as the quarter ends. Note that Brazil, Russia, India, China etfs all closing right at monthly lows. The last month and a half appears to have been consolidation of outsized gains from the beginning of the year, but there are some indications that emerging markets are rolling over. Copper is similar, having started the year 330 to 340, rallied to 400, and now has been between 370 and 395 for the past 2 months.
