Jan 12. US yields continue to fall…

–Huge call buying yesterday in euro$’s including 80k EDM2 9950/9962 c spreads for 4. (volume actually 123k and 150k, open int up 62k and 48k). EDM settled yest at 9944…now 48 bid.  There was also call spread buying in greens and blues, for example 2EH 9912/9925c spread and 15k of 3EU 9862/9887cs.  Open interest in Green March calls +75k.  The point is that there is massive new buying, and of course eurodollars are higher this morning as Spain successfully sold debt and european stocks rally.  The LIBOR setting was a bit lower yesterday, (just above 57 bps) and now appears as if it might grind down by a fraction of a bp every day, just as it did on the way up.  So now EDH2 is trading 9951 or 49 bps, about 8 lower than than libor setting.
–Ten year yield fell to only 190 (down 7 bps) in spite of ten year auction and firm stocks. 30-yr bonds auctioned today (yield ended yesterday below 3% at 2.96).
–Natural gas plunged to new low yesterday, continuing a strong trend.  In the past two months the front contract is down 1/3rd (from 410 to 275).
–Today’s news includes Jobless Claims expected +375k and Retail Sales expected +0.3 to +0.4.  However, given the blow-out increase in Consumer Credit in November, I think there is a risk retail sales surprise to upside. [Actually came out weaker than expected at only +0.1%]

Posted on January 12, 2012 at 9:43 am by alexmanzara · Permalink
In: Eurodollar Options

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