A Wiggle

European debt auctions, earnings reports, Fed messages and a smattering of  data have landed the 10 year Note future virtually unchanged on the week. The close today is important to us as the up/down week has now been crossed 6 times. Negating a weekly down (new high then lower on week) is a more powerful signal as positions would need to be re-established into Monday. We wanted to see the Yen weaker to the dollar (futures base) as this rates move unfolded. The concept of buying 200B-400B in MBS re-boots some volatility into the complex through the data next week. Not a quake, just a wiggle, so far.

One thought on “A Wiggle

  1. mike

    Kevin,

    I would like to know your thoughts on eurodollar futures with respect to the LIBOR scandal. Specifically, what do they represent? Do traders just try to predict what banks will rig LIBOR to at settlement date? Given the scandal, it seems ED futures are less than useful. Also, hasn’t one side of each ED trade been screwed for the period of time when LIBOR was being falsely reported (possibly still happening)?

    Thanks,
    mike

    Reply

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