July 7

July 7.  Stocks rebounded from Monday’s low on light volume; unconvincing fashion.  Ten year note yield again fell, down to 2.93%.  Back month eurodollar calendar spreads edged to new lows. Red/green pack spread settled 85.5, down 1 bp.  
–There has been a string of disappointing economic data with yesterday’s Service ISM adding to the list, at weaker than expected 53.8.
–While there are some market moves… gold down, grains higher….for the most part it feels like summer doldrums, with treasury yields and stocks both slowly trending lower.  Near eurodollar contracts have lost any semblance of drama.  With three weeks to go the recently expired June ’10 eurodollar contract was more than 20 bps away from cash three-month libor setting.  Currently EDU’10 is only about 7 bps away from 3 month libor setting, which has been anchored around 53 to 54 bps. So the choices are either to step away, or to overtrade (my personal vice).

Posted on July 31, 2010 at 8:44 am by alexmanzara · Permalink
In: Eurodollar Options

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