Dec 1. Periphery bonds weak

US yields fell as bond markets in Spain, Italy, Belgium dropped.  ECB may be forced into stronger moves to prevent contagion.
–Economic data in the US has been generally more positive lately, with yesterday’s Chicago PMI up to 62.5.  Today’s data includes ADP jobs number, ISM and Beige Book.
–In another piece of positive news, a report said Q3 state tax revenues rose 2.6% yoy, though they are still 7% lower than levels 2 years ago.  Cities are still struggling with budget cuts; Newark laying off 14% of its police force.
–In dollars, Dec/March has closed higher 7 days in a row, moving from 7.25 to 19.75 in that time.  Selling in EDH1 seems a little overdone, I am considering buying H1/U1 through options…futures spread settled 13 yesterday, -3.5 on day. 
–EOZ options expire one week from Friday.  With all the ratio selling of EOZ 9937c there is a feeling that the strike won’t be violated.  Open interest: 9925c 98k, 9937c 144k, EDZ1 866k.  9937 calls yesterday traded mostly at price of 1, with EDZ1 settling at 9921.5.
–Gold and silver are ready to test recent highs.  Gold priced in EUR is (not surprisingly) exploding higher.  US stocks fell yesterday.  Bank of America now below 11, down 3.3% yesterday (new recent low), perhaps in part due to rumors of Wikileaks threatening to disclose bank data.

Posted on December 9, 2010 at 6:47 am by alexmanzara · Permalink
In: Eurodollar Options

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