Oct 28. Oxi day

–High gamma straddles hit as ECB stress test results lacked drama.  TYZ 127 straddle settled 1’40 on Friday and 1’31 yesterday.  USZ 142 straddle from 2’60 to 2’42.  Green Nov 9825^ from 22.0 to 20.0.  However longer dated midcurve straddles maintained a bid.  For example there was a new buyer of 2k Green Sept 9775 straddle for 76.5, unchanged from Friday settle, and the last two blue straddles actually closed higher on the day.  Yields were marginally lower across the curve, down 1-2 bps.
–Crude oil traded below $80/bbl early yesterday but rebounded to close at 81.  Russian ruble makes a new low every day, which perhaps begins to raise fears of stability.   Sweden’s Riksbank cut to zero.  Vietnam also cut rates… slow global growth.
–Today’s news includes the recently volatile Durable Goods data, expected +0.9 and +0.5 ex trans.  Consumer Confidence expected 86.8.  Two year note auction today, followed by 5’s and 7’s.  Treasuries are holding a fairly solid bid despite higher equity prices and the expected end of QE to be announced at tomorrow’s FOMC.

 

Posted on October 28, 2014 at 5:10 am by alexmanzara · Permalink
In: Eurodollar Options

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