April 13. Strong rally in eurodollars

In spite of the Greek bailout, US rates continued to fall, with ten yr note back to 3.85% (-4 bps on the day).  There was notable buying in green eurodollars (third year).  I don’t usually check open interest changes but total was up 82k in eurodollars, about 14k in greens, which closed +8.125 on the day.  The other notable development is large size bid/offer in EDM11, with occasional 10k bid or offer, and often several thousand per side. I thought might be related to gamma squeeze but the largest open interest in E2M (green June) options is 9750c at 50k; only 20 delta.  Strong price action suggests further rally. 

–From HuffPost, JPM representative arguing against Obama’s home plan: “Like all loans, mortgage contracts are based on a promise to repay money borrowed,” Lowman’s prepared remarks read. “Importantly, there is no provision in the mortgage contract, express or implied, that the lender will restore equity or reduce the repayment amount if the value of the collateral — be it a home, a car or a stock market investment — depreciates.”  OK…here’s a plan then. go ahead and take the collateral on your own balance sheet JPM, BUT MARK IT TO MARKET.

–According to zerohedge, the IMF just increased its emergency lending facility to $500B, a tenfold increase.  US will provide $105B.  The old Paulson “bazooka” plan, misinterpreted as “bouzouki” by the Greek govt. Music for everyone!

Posted on April 13, 2010 at 5:05 am by alexmanzara · Permalink
In: Eurodollar Options

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