March 22. Russia rebuffs Cyprus. Euro$ algos
–Lack of progress in Cyprus as Russia rejected proposals for financial aid. There continues to be put buying on the front end of the curve, for example, EDU3 9900p traded as high as 2.0 late, 63 bps out of the money. EDM3 9937.5 p settled 1.75, 28.5 bps out of the money with less than 3 months to go. These trades reflect concern about Cyprus sparking a wider bank run.
–Little net change in interest rate futures, with most eurodollar contracts down 1 bp. April treasury options expire today, with a shot for TYM to test 132 strike…currently 131-19.
–Wall Street Journal has a piece today about the Fed and US Treasury wanting to regulate bitcoins due to concerns about money laundering. As traditional currencies lose value and are subject to confiscation, virtual and anonymous forms of transaction have grown. http://en.wikipedia.org/wiki/Bitcoin
–A friend sent a note about algo activity in eurodollars…”An algo was placing and canceling orders in many contracts (not just the one shown here) at the rate of ~800/second in each contract: the combined rate exceeded 5,000 per second.” (Thanks AOK) http://www.youtube.com/watch?v=rx2WYffaRHc
I am not sure what a “normal” per second level of activity would be in ED contracts (cancels/replaces) but I would think the chance for an accident increases as global banking concerns could lessen liquidity in all sorts of contracts.
