Mar 5. Curve flattener

March 5.  Huge curve flattening yesterday. Red/gold pack spread fell 9.25 bps with reds -4.5 and golds +4.75.  2/10 treasury spread was down 7 bps. Implied vol was crushed in treasuries.  FNM apparently cut lines to some european banks, (and DB long term debt was downgraded by Moodys), causing concerns of funding pressures.  Even near FF contracts fell a couple of bps. 

–Employment report today, NFP expected -50 to -65k.  A strong number would be a surprise.  At this point weak data would likely tend to flatten the curve even more. In eurodollars the pit is short green midcurve calls due to paper selling of red/grn.  Red/Grn pack spread declined to new low of 119, even as the march contract is ready to roll forwarrd. 

–Protests are beginning on some college campuses as students object to rising fees.

Posted on March 9, 2010 at 4:38 am by alexmanzara · Permalink
In: Eurodollar Options

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