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.
