Archive for October, 2009
Wednesday, October 7th, 2009
The premium on a three month/ten year ATM swaption straddle is454 basis points. Annualized vol is131.9 and the daily breakeven is 8.24 basis points.
The premium on a 5year/10 year ATM swaption straddle is1469 basis points. Annualized vol is 116.8 basis points and the daily breakeven is 7.3 basis points.
The breakeven ...
Posted in Uncategorized | Comments Off on MBS and Vol
Wednesday, October 7th, 2009
With low delivered volatility, gamma continues to tick down and the peak of the vol surface has moved out to 6M through 1Y expiries. The mortgage community doesn’t have any hedging needs at these rate levels and the vol market clearly reflects that. A lot of our customers like being ...
Posted in Uncategorized | Comments Off on VOL Color Via an Anonymous Dealer
Wednesday, October 7th, 2009
That was a loser. The market continues to push higher so am out at 43.14. I lost 42 cents.
Posted in Uncategorized | 9 Comments »
Wednesday, October 7th, 2009
* 10-year auctions stops at 3.210% vs. a 3.215% 1-pm bid WI.
* Bid/Cover 3.01 vs. 2.37 average.
* Dealers were awarded 47.5% vs. 54.9% average of the last four Reopenings.
* Indirects get 47.4% vs. 39.3% norm -- strong, but off 55.3% Sep.
* Directs take 5.1% vs. 7.3% average. Below average, but ...
Posted in Uncategorized | 1 Comment »
Wednesday, October 7th, 2009
The 10 year note stopped at 3.21 percent. I do not have real time pricing here at Across the Curve global headquarters but it looks as though it was right on the screws.
Posted in Uncategorized | 2 Comments »
Wednesday, October 7th, 2009
That title should really drive some traffic to Across the Curve.
On a more serious note, the size of the current 10 year note will be $ 63 billion when today's auction is completed.
That means that on August 15 2019 the Treasury will need to sell $ 63 billion 10 years ...
Posted in Uncategorized | 2 Comments »
Wednesday, October 7th, 2009
The market continues to grind higher and the 30 year is inching up on the 4 percent level.
Traders believe that the 10 year note auction in about 30 minutes will go fine. Nothing spectacular but an auction with just a minimal concession at 100PM.
The FX story I wrote about seems ...
Posted in Uncategorized | Comments Off on Ten Year Auction
Wednesday, October 7th, 2009
Ian Lyngen of CRT notes that with its purchase today the Open Market Desk will purchase just $ 5.9 billion more coupons before it reaches its goal.
On the day in march when they announced the program the 10 year note rallied from the mid 2.90s to the mid 2.40s.
If you ...
Posted in Uncategorized | Comments Off on Tag Ends
Wednesday, October 7th, 2009
MBS is split. Lower coupons are wider by 1 tick to TSYs and swaps; higher coupons (5.5s and up) are tighter by 2 to 3 ticks. Slower speeds are the main driver of such performance. real money has been going up and down in coupon, with those going up in ...
Posted in Uncategorized | Comments Off on MBS Color Via an Anonymous Dealer
Wednesday, October 7th, 2009
I just bought some TBT at $43.56.
I think that the market needs a concession for 10s and 30s.
I will probably be out by tomorrow at 100PM.
Posted in Uncategorized | 1 Comment »