Jan 14. Bearish rate bets pruned

–Bearish positions continued to be pared back in the wake of Friday’s employment data.  For example, TYH 123 puts (the 3% strike) fell about 15k in open interest as 122/123 p spreads were sold.  There was a seller of 20k Blue March 9750p and buyer of 70k 9700/9687p spreads, exit as well.  Last Wednesday there was a buyer of 50k EDZ4/EDM5 spreads from 27 to 30, spread yesterday settled 24.5 though there’s no evidence of exit.
–Ten year yield slipped almost 4 bps to just over 2.82.  Red/gold pack spread edged to a marginal new low of 284, with 2/10 at 247.  Fixed Income was also supported by a pull back in stocks, with major indexes down a bit over 1%, Nasdaq and Transports closer to -1.5%.
–The five year note future (FVH) is now almost exactly halfway back from its high in late November at 121-03 to last Thursday’s low of 119-02.75.  This ought to be an area of fairly stiff resistance, though data today could prolong the squeeze.  NFIB small biz optimism expected 93.5. Retail Sales expected 0.0, +0.3 less autos and gas.
–The Fed is reportedly looking regulating banks’ commodity trading and ownership (FT and BBG).  And this just in:  Reuters reports that the FBI is reviewing the possibility that Fannie and Freddie were the victims of front running in the swaps market.  This is the age of knowing how to make things happen…

Posted on January 14, 2014 at 5:46 am by alexmanzara · Permalink
In: Eurodollar Options

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