June 11. Red/gold euro$ pack spread points to a steeper curve

red-gold june 2015














Above is red/gold euro$ pack spread, which closed at a new recent high of 159.  (reds -3.25, golds -8.375).  As you can see, the high in the beginning of 2014 was 305.75 (when the ten year treasury yield hit 303), and the low this year was 103.75, (low in ten year treasury yield was 164).  Essentially a 200 bp range from 300 to 100.  the 38% retracement is 181, currently about 20 bps away and a reasonable target.

–Wednesday yields continued on their upside march, hitting important technical levels early in the day and holding those levels, though without any sort of enthusiastic bounce, even after the ten year auction was successfully concluded.  In fact tens slipped back down near new lows late in the day.  30 year bond auction today.

–Almost all euro$ calendar spreads made new highs.  Peak one-yr is still EDZ5/EDZ6 which rose 2.0 to 92.5.  Using the new ten year note, 2/10 hit a new high of 175 bps.

–Retail sales for May expected +1.2 from 0.0, ex-autos +0.8, but given the surge in revolving credit I think there’s a chance of a stronger than expected number.  Jobless claims 275k.

–Both New Zealand and South Korea cut rates.

Posted on June 11, 2015 at 5:15 am by alexmanzara · Permalink
In: Eurodollar Options

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