April 7. Ten year auction/Bernanke speaks

— US interest rate futures rallied Tuesday.  While more economists appear to be moving toward the view that growth is picking up steam due to increased business profits, the FOMC minutes revealed a bias toward slower growth and subdued labor gains. 
–In spite of treasury supply (tens today, bonds tomorrow), the market pushed toward lower yields with 4% being a key level, both as support in US tens, and a panic level of greek/bund spread.  Surprisingly growth in the eurozone faltered in Q4; 7 of 16 members had negative output.
–Greenwich was notable player in treauries: bought 20k TYK 116.5/17.5/18 c fly for 8 and 10k USK 117/19 c 1×2 for 10.  Both new positions.  Exits of long put structures also noted.
–While 2/10 treasury spread barely moved, red/gold pack spread declined nearly 4 bps to 265.
–News today includes 10 yr auction.  Bernanke speaks about economic challanges 30 mins after auction.  Consumer Credit at end of the day.
–NYSE/Liffe announced plans to launch US eurodollar and treasury futures in Q3/2010.  Liquidity providers with ownership stake are Getco, DRW, GS, MS, UBS, Citadel.  The press release notes margin benefits fron netting cash bonds/derivatives.

Posted on April 7, 2010 at 5:23 am by alexmanzara · Permalink
In: Eurodollar Options

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