June 24. FOMC slightly more downbeat

No surprise here: the Fed is on hold, but Hoenig again dissents in favor of higher rates; new home sales fell in May after the federal tax credit expired; a NY pension fund sued BP because the stock went down.  Nothing that even raises an eyebrow.
–A weaker than expected 5 year auction caused a bout of treasury selling, for all of about ten minutes.  Ultimately, the ten year note yield fell 5 bps to 3.11. Good buying in TYN 121c as shorts were enticed to cover.  Two year note yield fell to 67 bps, right on top of the December 2008 crisis low yield of 64 bps.  I would note that tens were as low as 2.08% at the depth of the crisis in 2008…a point that probably argues for a much larger rally in the ten year note over coming months,
–New lows in all near eurodollar calendar spreads, with EDZ10/EDH11 settling at 6.5 bps, down 2 on the day.  This spread is threatening to test parity, harkening back to the 1990’s when Dec/March spreads routinely inverted due to turn pressure. 
–Today’s news includes Durable Goods expected -0.5% and Jobless Claims expected 465k.

Posted on June 27, 2010 at 1:10 pm by alexmanzara · Permalink
In: Eurodollar Options

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