April 15. Stronger than expected Retail Sales

Retail Sales were stronger than expected +1.6.  After Bernanke comments which affirmed low rates, the back end of the curve sold off; curve steepened.  Red/gold pack spread was up 5.75.  At one point golds were -10.  Ten year yield rose 4.5 bps to 3.855%.

–Several news items today suggest foreclosures are again starting to rise.  A piece on zerohedge had some rough calculations: 6 million households that don’t pay for their mortgages (but haven’t yet been foreclosed) amounts to $8 billion per month of extra cash flow.  Of course one might think that’s $8 b of cash inflow that others don’t receive, so net effect is zero, but FNM and FRE guarantee those cash flows.  So its like a stealth stimulus program. 

–Implied vol in eurodollars continues to slide; straddles down 1-2 bps. 

–A lot of news and Fed speakers today.  Empire State expected 25.0. Job Claims expected 440k.  Industrial Production expected +0.8% as inventories are re-built.  Philly Fed expected 20.0.

Posted on April 20, 2010 at 5:52 pm by alexmanzara · Permalink
In: Eurodollar Options

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