Mar 22. Swans

–Getting to the point where people are asking “Does anyone remember what a WHITE swan looks like?”
–Irish yields soared yesterday…2yr 9.26%, 10 yr 9.48%. Portugal’s gov’t set to fall over opposition to austerity measures (as every gov’t is that imposes austerity). I saw a news clip that said “US treasuries dip as fears over Japan recede.”  It could just as easily be that UST’s fall because Japan will no longer be a major buyer. In the meantime Fukushima Reactor 1 Core is reportedly rising in temperature, over 400 celsius, and drinking water is contaminated. Oil is back over $105 as the ‘coalition’ can’t seem to agree on goals in Libya. Yemen is tense, though Saleh is apparently stepping down at the end of the year as his generals defect.
–So…implied volatility fell everywhere.  I heard it was down heavily in oil yesterday, and of course it fell in US rates.  The ten year atm straddle settled 2-53 yesterday, compared to previous 2-63.  VIX had a low of around 15.5 in early Feb, shot up to 30 last week, and is now back to 20.
–In dollars there was notable front put buying.  Fimat +25k EDJ 9925/9950ps for 0.75 (new).  EDM 9925p bought for 1.25, EDU 9950p also bought.
–Curve slightly flatter as greens were weakest dollar pack.  2/10 declined 3 bps to 268.

Posted on March 23, 2011 at 5:28 am by alexmanzara · Permalink
In: Eurodollar Options

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