June 30

June 30.  New low yields in treasuries as tens sliced through 3% to end at 2.96%, down 7 bps.  Stocks plunged due to downward revisions in China growth rate, a steep drop in Consumer Confidence in the US, and the disconcerting news that Russian spies are hotter than ours.  
–Many eurodollar calendar spreads made new lows with EDU10/EDU11 at only 40 bps, down 4.5 on the day.  Also a new recent low made in 2/10 treasury spread at 236. Two year yield can’t fall much more, as it has dropped below Dec 2008 crisis lows and now stands at only 60 bps.
–Near eurodollar contracts were slightly weaker as the the ECB’s one year financing program ends July 1, to be replaced by a smaller 3 month facility.  Additionally, more european banks face “stress tests” which may accentuate funding concerns.  And of course, a trading halt in Citi which fell 6.75% on the day doesn’t help with the concept of free flowing credit in a low risk environment. 
–News today includes ADP data and Chicago PMI, expected 59.7.

Posted on July 31, 2010 at 8:37 am by alexmanzara · Permalink
In: Eurodollar Options

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