June 3.

Yields edged higher Wednesday in front of this week’s employment data.  A rise in stocks was also negative for fixed income.

–Though volume was light there were a couple of large trades relating to EDZ10/EDZ11 spread.  There was a block trade of 5k in the spread itself, I believe at a price of 83.5.  The spread settled yesterday at 83.5, up 4 bps on the day, but had settled as low as 61 two Fridays ago.  Also there was a buyer of 20k EDZ0 9925c vs EOZ 9875c for 4 bps, buying the front Dec calls.  Both trades had the effect of pushing the spread higher.

–From Mortgage News Daily: “Purchase Demand In Freefall. Housing Industry Unraveling”…”With another week of historically low mortgage rates, the trend from the prior three weeks continued, as refinance applications increased while purchase applications dropped.  Purchase applications are now almost 40 percent below their level four weeks ago, while the refinance share, at 74 percent, is at its highest level since December,” said Michael Fratantoni, MBA’s Vice President of Research and Economics. 

–News today includes Jobless Claims, expected 450k from 460k. Factory Orders expected +1.8% from 1.3%.  ISM non-mfg expected 55.9 vs 55.4. 

Federal Reserve Chairman Ben Bernanke speaks at Chicago Federal Reserve Bank conference on small business finance in Detroit (ought to be short).

Posted on June 6, 2010 at 12:11 pm by alexmanzara · Permalink
In: Eurodollar Options

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