June 7.

June 7.  The curve was slightly steeper as the short end continued to rally in spite of today’s upcoming 3 year auction. Red/gold pack spread edged up 1.125 bp while 2/10 was up 2 to 258.  Ten and thirty year bond auctions on Wed and Thursday. Perhaps a bp or 2 of concession from 3%??

–Bernanke is scheduled to give an IMF speech this afternoon at 3:45 EST.  The market will look for clues regarding QE extension.

–Once again heavy calendar spread selling in eurodollars with new lows made in near spreads.  Dec/Dec -2.5 to 61.0.   Late in the day there was some notable put buying (in an otherwise quiet session).  For example there was a buyer of 10k EDU1 and EDZ1 9950p as a package for 6.5.  Also there was a pit and screen buyer of about 6k E2M 9837.5p for 1.0…expires this Friday…14.5 out of the money.

–Stocks were weak, and some high fliers succumbed to general market conditions.  Netflix (NFLX) had a key reversal, making a new high for the move early, but ending down 4% on a big range.  Apple (AAPL) likewise had an outside day, up early in anticipation of Steve Jobs appearance at a software developers conference, but ultimately ending the day -1.6%. BofA, a decidedly low flier, closed down 4%, the lowest close in two years, and Citi fell 4.5%, working tirelessly towards another reverse split.

Posted on June 7, 2011 at 12:15 pm by alexmanzara · Permalink
In: Eurodollar Options

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