June 2.

–Red/gold euro$ pack spread (60.0), 2/10 (94.3) and 5/30 (124.2) all right on the lows.  Below is chart (over the past two years) of 5/30 at 123. In a support area but looking vulnerable.  ISM data was stronger than expected at 51.3 and prices paid were high at 63.5.  Additionally the beige Book noted some wage pressures.  However, construction spending was quite weak at -1.8% and Atlanta Fed downgraded their Nowcast from 2.9 to 2.5%. May auto sales were down 6%.

–News today includes ADP expected 173k.  Jobless Claims 270k.  ISM NY was last at 57.0.
 Also the ECB and OPEC meetings.  Nikkei fell 2.3% today.
–Still call buying going on in tens.  TYN 131c probably bought in size of 30k 16 to 14 today, settled 13 with open interest +16.5k.  TYU 132c were bought covered, 35 paid vs 129-26.  Continued accumulation, open interest +6.5k to 65k.  New high in Sept/Dec euro$ spread at 12.0 (EDU6/EDZ6).  Short end pressured by relatively strong data, long end bolstered by capital flows and global risks.
–Yellen to give semi-annual testimony on June 21, after FOMC and just before the Brexit vote (June 23).  July treasury options expire June 24.
5_30 June 2017

 

Posted on June 2, 2016 at 5:24 am by alexmanzara · Permalink
In: Eurodollar Options

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