Nov 18. Ireland maybe nearer to resolution…

 Sloppy price action yesterday. Curve steepened, with 2/10 at 238 and red/green euro$ pack spread a bit over 246, a new recent high.  Fairly good buying of Jan TY call spreads.  However, the 30 year bond, not being included in the Fed’s buyback program, appears to have lost market sponsorship.  Cash bond was 4.28% at yesterday’s futures close…I wouldn’t be surprised to see a test of 4.5%.  At about 7.4 bps for a futures point, that would take USZ to around 124.
–The market trades as if the situation in Ireland is going to be resolved in some manner, stretched out into the future as are all of the problems…
In the US San Fran was downgraded by Moody’s, as was Philadelphia.  California is still on the radar, Revenue Anticipation Note sale was delayed…the “revenue” is partially coming from selling gov’t property.  It’s a little bit like calling a liquidation of a 401K for living expenses “income”. 
–Implied vol slammed.  Midcurve March 9912^ settled at only 33.5.   
–News today includes Job Claims expected 445k.  Leading Indicators expected +0.6% and Philly Fed 5.6.
Bernanke speaks early tomorrow morning (pre-US open).

Posted on November 18, 2010 at 8:58 am by alexmanzara · Permalink
In: Eurodollar Options

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