June 23, 2011

June 23, 2011. Not much market movement in interest rate futures given the FOMC announcement and Bernanke’s press conference, but stocks slid in the last hour to close at the low of the day.  Though Bernanke gave no hint of extending QE, ten year notes seem comfortable hanging out in the 2.90’s, like guests that won’t leave. (Closed 2.99%)  There are many reasons to be bearish treasuries, including the end of QE, inflationary pressures, lack of sponsorship by China, Russia, Pimco… yet they don’t seem to go down.

–News today includes Jobless Claims expected 415k (holding stubbornly above 400).  Chicago Fed Nat’l Activity, which is foreshadowing lower growth.  It was -0.45 last (negative values indicate below avg growth), and the three month moving avg also turned negative again to -0.12.  Finally New Home Sales expected 305k.  More home sales are now cash transactions, a reflection of tighter lending standards which Bernanke cited as a reason for sluggishness.

–July option expiration for Treasuries is tomorrow.  TYN at money straddle started the week at around 1 point, closed yesterday at 36/64.  Big trade yesterday was CSFB buying 60k EDH2 9875/9900ps for 2.0.  Adding to position…open int up 65k in 9875p to 215k and 62k in 9900p to 313k.

Posted on June 23, 2011 at 12:05 pm by alexmanzara · Permalink
In: Eurodollar Options

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