May 23. The start of summertime, when the livin’ is easy
–Another quiet session with downward price bias in bonds. Today is June option expiration in the treasuries; of near TY strikes the 126 call has the most open interest at 85k. On the put side, 126p have only 17k, 125.5 32k. Premium in general continues to erode, with most ED straddles down another 0.5 bp, though there was some responsive buying in green and blue straddles by the end of the day. For example 10k Blue July 9750^ bought for 29.5 covered 9744. June midcurves expire in 3 weeks, 13-June, just prior to the FOMC meeting. July treasury options expire on the Friday after the Fed meeting, so there might be some opportunities to sell ED midcurves and buy TYN premium. (Although Green and Blue June mids are already pretty cheap).
–EUR making new lows, 136.18 currently, continuing the slide which commenced on the May 8 ECB meeting. In the US, New Home Sales expected 420k. Shortened holiday session today.
–In continuing retail troubles, Sears is closing 80 stores, American Eagle Outfitters plans to close 150 stores. Yet McDonalds was the target of protests in an effort to force wages up to $15/hr. This at a time when the amount of panhandling on downtown Chicago corners is at an all time high. There were at least 4 or 5 guys on each side of the bridge over the Chicago River on Madison yesterday. While I don’t have hard data on “all time high”, I doubt that many would argue the point…
