Archive for May, 2009

VOL AND MBS AND SWAPS

Thursday, May 21st, 2009

As one would expect the sharp move in the market has made vol more expensive. The three month/ten year swaption ATM straddle is 510 now. I believe when I reported on it earlier it was 490 ish. A hypothetical current coupon mortgage is unchanged versus swaps. Swaps are not doing so well ...

Position Update

Thursday, May 21st, 2009

I just paid $ 92.11 for 1000 IEF. Ten year is trading at about 3.36 percent. This was support last time down. The issue is back over 20 basis points from its best levels of the day. it is extremely cheap on the curve as well as on butterfly versus ...

Bond Market Ramble

Thursday, May 21st, 2009

The Treasury market has cratered. The 10 year note has returned to the 3.30 percent level. Why did we crater?I think I have a solid answer(s) but wish I had thought this through earlier. In the purest trading sense today is Friday. The treasury just announced $ 101 billion of new ...

Position Update

Thursday, May 21st, 2009

I sold 600 of my 1000 IEF position and have 400 left. I am long at 92.95 and sold at 93.29. The bond market failed to attract even a modicum of a bid and that motivated the sale. I will hang out for a short while with the balance. I hate to ...

MBS, SWAPS , and VOL

Thursday, May 21st, 2009

Mortgages are 2 1/2 ticks tighter to swaps. Swaps are getting smoked today with quite a bit of paying on spread.Two spreads are 1 1/2 basis points wider at 36 1/2. Three year spreads are 2 basis points wider at 42 3/4. Five year spreads are 3 1/4 basis points wider ...

Philadelphia Fed Manufacturing Index

Thursday, May 21st, 2009

The Philadelphia Index showed marginal improvement from the prior month. I thought the more interesting piece of the survey was in its special question section. The first question asked respondents to characterize demand for their product over the last two months. Nearly thirty two percent of respondents said demand was decreasing ...

Ridiculist

Thursday, May 21st, 2009

A trader friend has published what he refers to as the Ridiculist which he began compiling last December in eye of the financial storm as the Treasury market deleveraged and presented those with the luxury of balance sheet some wonderful opportunities. Most of those anomalies have corrected. Here is his ...

MSFT

Thursday, May 21st, 2009

In a previous post on Selected Corporate Bond Quotes a salesman friend and fast friend of the blog since inception cuffed quotes on the recent multi tranche MSFT deal. Here are quotes now from a trader. The 30 year quote is appreciably worse. 5 year 78/73 10 year 105/100 30 year 120/115

Some Treasury Market Thoughts

Thursday, May 21st, 2009

A constant theme of late has been the tremendous pile of cash which foreign central banks are plowing into the front end of the treasury market. One dealer offered several solid reasons for those important investment flows. Central banks have some inflation fears and have no interest in the back end ...

Select Corporates

Thursday, May 21st, 2009

Here are some selected quotes in corporate bond land: JPM 4.65 2014 253/248 priced 275 C 8.5 2019  497/492  priced 562 BAC  7 3/8 2014  432/427 priced 537 GE 5.9 2014  345/340 priced 387 On these next three these are best guesses of a veteran salesman and do not come from a trader but the ...