Nov 10. Friday’s payroll data stopped the move toward higher rates

–Friday’s disappointing wage growth and lower than expected non-farm payroll data caused a trend reversal in treasuries, as all futures contracts had an outside day and settled on the high, having been under moderate selling pressure for the past few weeks.  Gold also arrested its drop with a new low, outside day, and higher close.
–Ten year yield fell over 6.5 bps to 231.  2/10 treasury spread edged to a slight new low at 181, but there is a ten year auction on Wednesday, followed by 30’s on Thursday, so a move to further flattening may not occur until very late in the week.
–Immediately after the data, implied vol was crushed with the Short (red) Nov euro$ straddle trading at 6.0, from 9.0 settle Thursday.  Green Dec straddle went from 24.0 Friday to 21.5 right after data, though it settled 22.5.
–Consumer credit was also released at the end of Friday, showing a robust gain of $15.9B.  However, the growth continues to be primarily in student loans.  At an annual rate (flow), revolving debt has increased at $17.3 billion.  Non-revolving grew ten times higher, at 173.8 B.  In fact, outstanding revolving debt is lower now than in 2009.  Same with mortgage debt (more on this in another post).  However student loan debt has soared and is now $1.3T.  In 2009 non-revolve debt was 1.64T, now 2.39T (also includes auto loans).
–Oil is up $1.00 this morning.  Another China/Russia gas deal was sealed making China Russia’s largest gas buyer.

Posted on November 10, 2014 at 5:34 am by alexmanzara · Permalink
In: Eurodollar Options

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