Aug 20. Ten year yield nearing 2.5%

Economic news continues to surprise on the weak side, with Jobless Claims jumping to 500k and Philly Fed coming in at -7.7 versus expected +7.0.  It almost seems like a mini-episode of Oct 2008 when economic activity nearly stopped.  Yields probe lower, with 2 yr notching another new low (48 bps) and bonds have fallen 20 bps since last Friday. Tens now nearing 2.50% at 2.57. 
–There was a huge roll from Green Dec call flies (83/86/88) into midcurve March call 1×2’s (91/93) in size of 30k.  New lows in EDZ10/EDZ11 and H11/H12 year spreads to 46.5 and 57.5 respectively.
–St Louis Fed’s Bullard suggested more treasury purchases if inflation continues to fall.
–Stocks were down around 1.5%, as the enticement to invest in risk assets due to paltry bond yields is overwhelmed by fears of an economic standstill.

Posted on August 22, 2010 at 2:34 pm by alexmanzara · Permalink
In: Eurodollar Options

Leave a Reply