Jan 16. Employment data rally sputters

–Interest rate futures fell yesterday, with green pack closing down 5.25.  Red/green/blue pack butterfly once again closed positive with red/green at 104.25 (+1.25) vs green/blue at 103.25 (-1).  Back month euro$ straddles firmed by 0.5 to 1.5 bps, which suggests the rally after employment was a short squeeze and the market remains bearish.  EDZ4/EDM5 spread, which had been bought in size one week ago Wed from 27-30 is now back to 29.5, having closed as low as 24.5 in the interim.  With just over one week to go in Feb ten year options, more trade is occurring in April and June, for example buyer of 5k TYJ 121 puts yesterday.  Also a notable buyer of Feb 123 p which settled 4.  5/30 treasury spread closed at new recent low 213.4.
–There has also been more trade in April euro$ midcuvres as the expiration on 11-April captures the March FOMC meeting.  April 9800p bought for 12.0 and settled there. The 9800/9775/9750 put fly settled 2.75. Open interest in those strikes +15k, +49k and +10k.
–This morning Aussie dollar at new low on weak employment report, and yen again approaching 105 (though Nikkei slightly lower this morning).  FT reports that Japanese machine orders are at 5 year high.
–US news today includes CPI expected +0.3 with Core +0.1.  Jobless Claims 327k and Philly Fed expected 8.7 from 7.0 last.  Bernanke speech as well at 11:00 NY time on challenges facing central banks

Posted on January 16, 2014 at 5:23 am by alexmanzara · Permalink
In: Eurodollar Options

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