We continue to see some long end strength along the yield curve as spreads slowly come of from lofty levels. Bund Schatz spreads has come off sharply as you would expect, and this has translated through to Euribors as well. Jun10 Sep10 has come off from a high of 23.5 to trade 21.5s as I write. Sep10 has come of 2 fat ticks too as has the rest of the 3m Euribor spreads. I personally see these as small retracements and have a bias to buying these spreads into the pullback. However I have favoured Butterfly strategies in the past two days as it has been difficult to gauge the direction of these spreads. A butterfly is Buying one spread and selling another with the same month as the body of the spread. This has enabled me to then take profit on one spread and scratch the other. It is round trip intensive but it is what seems to work at the moment.
On the stock front we saw a mixed session, with financials giving way as they continue to dilute shares with new offerings to raise capital. We had a late pop up as Greenspan says housing is near a bottom. Don't really know how much we can look into that, but was enough to lift the markets. Bank of England inflation report and US retail sales later today will set the tone for the market today, lets hope they bring some volatility back :)
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