June 4. Expecting big nonfarm of 600k

A bit more decoupling as euro closed near its low while stocks shrugged off selling attempts and closed at the high of the day.  Employment report today universally expected to show a large rise in nonfarm payrolls, from 500-700k.

–Mostly bearish (insurance?) structures in interest rate futures.  For example Merrill bought about 15k TYU 114p from 22 to 19. EOM 9850/9837put spread bought for 1.5 for 50k (several houses).  Both trades  appear to be new from open interest sheets. 

–One year calendar spreads in eurodollars are approaching more “normal” levels of around 100 bps.  For example, EDH11/EDH12  closed up 6 at 96. Treasury curve was steeper as well with 2/10 at 256, up 4 on the day.

–While expectations are for a strong employment showing, the market isn’t pricing any sort of a near term hike.  For example, October Fed Funds, which will cover the next three FOMC meetings are still trading 9973, only a slight premium to the Fed effective rate which has been around 21 bps.

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

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