July 23. Quiet but steady US markets; 2 yr note auction today

July 23.  Not much net change in interest rate futures Monday, but implied vol continues to get hit and some of the eurodollar calendar spreads edged to monthly lows.  TYU 127.0 straddle settled Friday at 1’40, but closed 1’33 yesterday at 5.0 vol.  Near one year calendars like EDZ13/EDZ14 came in by half a tick, closing at new recent low of 27.5. (Of course, in the beginning of May before the fixed income sell off this spread was around 13).  Red/green pack spread settled just above 76, fully 22 bps below the high set on July 5th employment which was just above 98.
–Not much action in expiring August treasury options, with TYQ 127.0 straddle worth less than half a point at 31/64’s.   There was some buying of TYQ 128c for 2.
–The star performer was gold, up over $40 to 1336, just above the 50 day moving average, testing old lows from mid-April and May prior to the hard sell off. Perceptions of slightly easier central banks and tightness in physical gold spurred today’s buying.
–Two year auction today, followed by 5’s and 7’s Wed and Thursday.
–While Portugal’s yields have pulled back from the danger zone, the Telegraph’s Evans-Pritchard notes that public debt in Portugal has surged 15 pts in the last year to 127% of GDP, Italy’s has gone from 124% to 130 and in Ireland “public debt has leapt by 18 points to 125pc in a single year.”  These levels suggest that peripheral europe is still on the bubble.

http://www.telegraph.co.uk/finance/comment/ambroseevans_pritchard/10196220/Europes-crisis-states-should-fight-back-with-a-debtors-cartel.html

Posted on July 23, 2013 at 5:35 am by alexmanzara · Permalink
In: Eurodollar Options

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