March 3. Yields jump Monday as Friday’s payroll data looms

–Yields jumped yesterday with tens up 8 bps to 208 (the high from the middle of last month was 214). Stocks made a new high as did the dollar index. The peak one-year euro$ calendar spread, Sept’15 to Sept’16 rose 4.5 bps to 91, still below last month’s high of 92.5. Interestingly, open interest in the ten year note future was down another 13k, though up 20k in fives. Ordinarily one would want to see increases in volume and open interest as confirmation of the move to higher yields, but that evidence is mixed so far. In any case, the market remains on the defensive going into employment data at the end of the week.

–Curve was steeper with red/gold up 4.5 bps to just under 127. 2/10 treasury spread also up 4.5 to 142.2.

–German retail sales were up a stronger than expected 2.9%, according to Reuters the “sharpest increase since January 2008.” However, the euro is still trading below 112 and EURJPY is sub 134. I suppose the weaker euro should help German exporters like BMW, who now apparently think they can sell what looks suspiciously like a Chrysler Town and Country minivan to their core US consumers. http://www.detroitnews.com/story/business/autos/2015/02/14/bmw-pushes-model-range-envelope-seat-minivan/23411385/

–Netanyahu’s speech before Congress tonight.

–Interesting article on Business Insider from Blackrock noting the general decline in productivity data.
http://www.businessinsider.com/american-productivity-is-stalling-2015-3

Posted on March 3, 2015 at 5:13 am by alexmanzara · Permalink
In: Eurodollar Options

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