June 7. Payroll day. Yen surge

–Obama vowed to run history’s most transparent administration.  We just didn’t know he meant private citizens’ phone calls, texts, financial records, internet communications would be made transparent to the gov’t… Is that part of the reason the dollar was crushed like an errant protester yesterday? Euro surged to its highest level in three months.  Yen exploded higher, apparently blowing through large stops, and is higher this morning.  USD/JPY had been near 104 in the middle of last month, now around 96.  Everything has been correlated to the yen, including US equities.  However, stocks staged a furious late day rally from new recent lows and closed higher. Weak growth means that the QE gravy train keeps on rolling, right?
–Nonfarm payrolls today expected +170k. But with euro$ vol smackdown seen the last two sessions, it’s hard to conclude that the big players are afraid of a big jump in interest rates associated with an upside surprise in NFP.  For example, EDM4 9950 straddle was 32 in the early part of the week, now 28.5.  Longest dated EDH6 9862 straddle was 109.5, settled 105 yesterday.  However, colleague Art Main noted (citing CMEgroup Dave Reif) “As of last night we have a new record OI in the Weekly Treasury Options, 257,249.  Most of the OI is in the Week 1 Ten Year and Week 1 Bond which all expire tomorrow June 7 after the Non-Farm Payroll report. …No huge put/call biases going into this number however there is greater open interest in Out of the money strikes than we would typically see.”

Posted on June 7, 2013 at 5:17 am by alexmanzara · Permalink
In: Eurodollar Options

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