July 3.

–ISM was a large miss, expected 52 but actual was only 49.7, indicating mfg contraction. New Orders component collapsed (worst since just after 9/11 according to Business Insider), and prices were weak. Even though equities didn’t decline, the message from interest rate futures is quite clear, a slowing, stagnant economy. Ten year yield fell back to 1.58, down 7 bps. The curve flattened, more than reversing the bounce after late last week’s european deal to expand the ESM’s bailout role. Red/gold pack spread fell over 7.5 bps to 121. There was continued selling of TYU premium. TYU2 131/136 strangles sold 20k on block trades at 26 and 27 (adding to short, total position ~45k), forecasting a tight range in the ten year yield over the near term.
–CBS ran a story about explosive growth in disability benefits being paid in the US, From CBS News: “In May of this year, there were 142,287,000 people employed, and 8,707,185 workers taking federal disability payments. That equaled 1 worker taking disability payments for each 16.3 people working.” (In 1992 it was 1 per 35 workers). http://cnsnews.com/news/article/8733461-workers-federal-disability-exceed-population-new-york-city
–From ZeroHedge: As of the last day of June, the US had a record $15,856,367,214,324.44 in debt, a $75 billion increase overnight, and a post World-War II high Federal debt/GDP ratio of 101.5%.

Posted on July 3, 2012 at 4:44 am by alexmanzara · Permalink
In: Eurodollar Options

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