March 26. A pause in belly selling as fives are auctioned today
–Fairly quiet day yesterday, with minor reversals in several recent trends. For example, green eurodollar pack was strongest on the board, closing +2.75 while reds were +1.875 and blues +1.75. Some large block trades (-TU, +FV, -Ultra as fly) suggested profit taking on curve trades.
–Today’s news includes Durables expected +1.0, and 5 year note auction.
–Draghi’s comments yesterday about eurozone needing lower real rates sent the euro briefly tumbling to 137.50, but it quickly rebounded above 138, though it’s weaker again this morning at 137.95.
–Treasury vol remains pegged to the low end of the range with May straddle at 118 or 4.5. There has been a consistent seller of USM 132 puts around 1’03 to 1’02, another 10k yesterday bringing 2 day total to 20k.
–In eurodollars there was an exit trade sale of 50k EDZ4 9962/9950p spreads at 2.0. While there was a pause for breath on relative weakness in greens, option trades pile on. For example, buyer of 2EM 9812/9800ps vs 0EM 9925/9912ps, 1.5 paid for green around 25k. Also, green Dec 9762^ bought vs blue Dec 9687^, paying 2.0 over for green, A few weeks ago all blue midcurve straddles were higher than greens on absolute tick basis. Greens are still higher in June and Sept, but just barely. For example green Sept 9800^ 56.0 vs blue 9700 at 57.5.
–Side note, Goldman (GS) was quite weak yesterday, closing -1.5% in an up market, and is now below its 200 day MA.
