Oct 1. 4th quarter…

Oct 1.  Better than expected Chicago PMI sent SPZ futures through recent highs, and tens fell about a point, but neither move was sustained.  Curve ended slightly steeper; ten year yield 2.52%.
–Euribor contracts saw a significant sell off in front end of curve, with ERH1 down around 8 bps.  Red to green euribor spreads made news lows, with red/green pack spread at average of only 35 bps.  By comparison red/green eurodollar pack spread is 66 bps. 
–Dollar strengthened; commodities fell back.
–Still good buying of TYZ 127c, about 15k yest, open interest up 10k.
–Today’s news includes Personal Income and Spending, both expected +0.3%, Consumer Sentiment exp 67, and ISM mfg expected 54.5.

Posted on October 1, 2010 at 4:26 am by alexmanzara · Permalink
In: Eurodollar Options

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