In front of the September Retail Sales report, Treasury and Eurodollar future prices are slightly higher with the Eurodollar futures yield curve having flattened by 3 basis points between EDZ5-EDZ7 since yesterday’s close while the Treasury 5-30 is relatively unchanged at 153.5 basis points and near recent wide of 157.
Red December 2016 Eurodollar (EDZ6) trades flat on the day following the jobless claims data. Price action was muted yesterday, which is consistent with pre-employment report trade. Open interest rose modestly across the Eurodollar curve (+18K) but was slightly lower for EDZ6 (-2k). The yield curve flattened with the first three years falling 1.5 bps and the last three years rising 1 bp.