May 28. Near eurodollar contracts rally

Total protronic reversal as near eurodollar contracts exploded higher, euro rallied, stocks rallied, curve rallied.  EDU10 jumped 12 bps to close 9917.0.  Ten year yield rose 13 bps to 3.34%.  The DJIA gained 2.85% while SPX was up 3.3%.  Red/gold pack spread was up over 15 bps to 240.   

–The question now is whether this is a true reversal or simply a bout of position squaring after a dramatic move.  The front end of the eurodollar curve is getting more “normal” as calendar spreads widen.  EDZ0/EDZ1 spread gained 13 bps yesterday to close at 82, having settled as low as 61 last Friday.

–Implied vol in eurodollars was pressured early; most stradddles in 2-3 bps.

–Japanese employment and price data surprisingly weak.

–Today’s news includes Personal Income, expected +0.5% with Spending expected +0.2% from 0.5.  Chicago PMI expected 62 from 63.8.  Consumer Sent expected 73.3 (unch from last).

Posted on May 30, 2010 at 3:42 pm by alexmanzara · Permalink
In: Eurodollar Options

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