Nov 26. Happy Thanksgiving

Old Turkey would cock his head to one side, contemplate his fellow customer with a fatherly smile, and finally he would say very impressively, “You know, it’s a bull market!”
–Reminiscences of a Stock Operator

–Interest rate futures continue to form a rounded bottom following mid October’s upside spike.  Yesterday’s close was the highest of the month, as tens fell 4.4 bps in yield to 226.2.  On October 15, as stocks were plunging, the thirty year yield was 291.8 at the futures settlement of 2pm Chicago time.  Yesterday’s mark was only 5 bps away at 296.8.  For the sake of comparison, fives are nearly 25 bps higher, at 158.3 vs 134.4 on Oct 15.  Prior to yesterday’s 5 year auction the w/i was 160.5.
–As might be inferred from the above, all curve spreads made significant new lows yesterday.  Red/gold euro$ pack spread fell nearly 5 bps to 175. (Low of the year was 169 in early October.  This spread started the year at its high at 303).   Red/green pack spread closed -1.5 at a new recent low of 87; low for the year was just under 81 on Oct 15.  In treasuries, partially of course due to the new five year, curve spreads also made new lows: 5/10 broke below 70 to close at 68, and 5/30 below 140 to 138.5.   The peak one year euro$ spread is EDZ5/EDZ6, now at a monthly low of 95.5. Late in the day there was a huge NOB block, -34856 TYH 126-09 vs +18950 USH 141-11.  A large amount of the roll from Dec to March went through yesterday in all contracts.
–Oil plummeted nearly $2 bbl, CLF5 was 73.91 late, -187, as Venezuela indicated a lack of agreement on production cuts.  The low for the move has been 73.22.  Dec Copper broke decisively through $3 and now trades 2.96, finally on the verge of a Chinese unwind which should cause much lower prices.  Disinflationary impulses continue to course through the markets.
–Plenty of data today, including Durables, expected -0.5 but +0.5 ex-trans.  Jobless Claims 288k.  Personal Income +0.4 with Spending +0.3, and New Home Sales 470k.

Posted on November 26, 2014 at 5:24 am by alexmanzara · Permalink
In: Eurodollar Options

Leave a Reply