Oct 27. Yields moving higher…

Interesting day as curve steepened to recent new high, with 2/10 treasury spread at 224, up 5 bps on the day.  Also new high in red/gold pack spread, up 5.8 bps to 236.5.  Implied vol surged as interest rate futures sold off, with TYZ straddle closing at 7.0% (high end of range).  Ten year yield rose 8 bps to 2.66%.
–There was a seller of about 20k EOM 9912 straddle (midcurve June) from 44 to 43.5.  
–Dollar index appears to have run out of sellers for now.  Large structural short position could provide fuel for a rally. 
–Red/green/blue euro$ pack fly is around -23 bps.  Grn/blue/gold is +2.  I am inclined to look at double flies, buying former, selling latter.  
–The US Post Office lost $6 Billion last year.  Compare with FedEx and UPS (UPS Q3: Quarterly revenue-at $12.19 billion-was up 9.3 percent year-over-year, and operating profit—at $1.6 billion—was up 74 percent). Not to be overly political, but this is a good example of why many people don’t trust the gov’t to make good investment and spending decisions. THe USPS should be slashing mail delivery days, employees, etc, but is wringing its hands over stopping mail delivery on Saturdays. In a world of e-mail and internet bill paying, the biggest innovation I’ve seen in my post office branch is that they now have a greeting card rack.
  –Today’s news includes Durables expected +1.6% and New Home Sales, expected 300k.  Five year note auction as well.

Posted on October 27, 2010 at 4:25 am by alexmanzara · Permalink
In: Eurodollar Options

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