Jan 30. So goes January….

–Turkey and S Africa CB’s took action to stem capital outflows by raising rates, but rather than throw a lifeline to EM investors, the Fed continued to taper bond purchases. US equities took a run at the downside following the FOMC, but appear to be stable for now.  Other notable movers yesterday include extension of the parabolic natural gas rally, (with associated rumors of fund blow-ups), and a new high in Russian ruble, now above 35 vs around 33 at the start of Jan. I guess my dollar will stretch further in Sochi.  JPY is holding 102 level, though Nikkei was down 2.5% and Shanghai 1% as Final HSBC Mfg PMI dropped to 49.5, lowest since July.  This morning it’s the Forint that’s plunging.
–US rates fell with tens easing by 7 bps to just under 268.  Back month eurodollars led the charge higher with red/gold pack spread down nearly 7 bps to 273.25 as gold pack was up 9.625 bps.  Many eurodollar calendar spreads made new lows.  The highest one-yr spread is still Dec’15/16 but it’s now only 107 bps, down 3.5 on the day. (Last year in Sept max one year spread was 122.5).
–Greens had led the way on the downside.  Currently there is zero (or negative in some cases) put skew in 2EH and 2EM.  Additionally, green to blue straddle spreads remain compressed with 2EZ and 3EZ straddles trading the same premium.  2EJ 9850^ is 36.5 and 3EJ 9737^ is 40.  Yesterday blues outperformed greens to upside, blue +8.25 and green +5.5

Posted on January 30, 2014 at 5:15 am by alexmanzara · Permalink
In: Eurodollar Options

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