June 21. China reval

In what was perhaps a foreshadowing of China’s weekend revaluation announcement the curve steepened Friday with red/gold pack spread up over 6.5 bps. 
–The initial response Sunday evening to China’s announcement indicates a return to risk assets, though moves are muted at best.  Treasuries are lower; a better indication of ramifications will likely occur with this week’s auctions of 2, 5 and 7 year treasuries. 
–There was a buyer of about 20k midcurve Sept 9825/9900 combo Friday, helping EDU11 perform best on the curve.

Posted on June 27, 2010 at 1:06 pm by alexmanzara · Permalink
In: Eurodollar Options

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