June 29. Ten year yield jumped back above 3% to 3.04…

June 29. Ten year yield jumped back above 3% to 3.04 as the five yr auction was disappointing.  Green eurodollars were down over 17 bps on the day. Calendar spreads rebounded strongly from their lows.For example, March’12/March’13 was up 13 bps to 68. Treasury auctions 7 yr notes today.

–Stocks continued to rise in front of today’s Greek austerity vote. However, financials were weak, with Goldman and JPM actually making new lows for the move. BofA, with market cap of around $106 bln, is to pay $8.5 bln in a settlement on mortgage securities, according to WSJ. In any case, markets have generally shrugged off concerns about Greece for the short term.

–Treasury vol rose on the sell off, with TYU atm straddle jumping to 303 from around 257 at the start of the day.  Market sentiment appears to have shifted to reflect fears of higher rates at the long end of the US curve, perhaps exacerbated by quarter end and the US holiday weekend.

Posted on June 29, 2011 at 12:00 pm by alexmanzara · Permalink
In: Eurodollar Options

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