May 31. The month has seen a sentiment shift toward less Fed accommodation.

–Starting the day, and ending the month, with some weakness in stock index futures (ESM -12) as dollar/yen drifts lower (100.45).  Interest rate futures are continuing their bounce from Wednesday’s plunge.
–Interestingly the long dated Green (third year) straddles remain very well bid, closing slightly higher on the day in spite of treasury vol selling.  In the same spirit, red/green eurodollar pack spead edged higher with green/blue slightly lower.  In my opinion, it’s a curve sentiment shift forward for the Fed to remove accommodation in 2015, rather than further out.  In the beginning of May, red/grn pack was around 28 vs 52 in green/blue, so the former spread was about 53% of the latter.  That ratio has now moved close to 70%, 48.25s red/grn and 70.5s grn/blue.
–Today’s news includes Personal Income +0.1 with Spending 0.0 and PCE Price Index expected -0.2.  Chicago PMI 50 (from 49 last).  Consumer Sentiment 83.7.
–From BBG: “Alcoa Cut to Junk by Moody’s as Aluminum Price Declines”.  Also, India GDP growth still sluggish, below 5% as emerging market economies fail to provide much of a spark for global growth.

Posted on May 31, 2013 at 5:35 am by alexmanzara · Permalink
In: Eurodollar Options

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