Friday, September 30, 2011

Morning Note Sept 30th

September 30, 2011

US equity futures are lower following Asia and Europe lower after slowing manufacturing numbers in China and weaker retail sales figures out of Germanyweigh on the markets.

Lipper reports equity fund outflows of ($5.9B) in w/e 28-Sep vs outflows of ($1.6B) in w/e 21-September. Ex-ETFs, outflows were ($1.7B) in w/e 28-Sep vs outflows of ($171M) in w/e 21-September.

Fed reports balance sheet assets of $2.854T on Wednesday, ($6.9B) w/w and +$552.4B y/y 
Holdings of US Treasury securities were $1.665T on 28-Sep, +$1.6B w/w and +$853B y/y
Holdings of mortgage-backed securities were $870.9B on 28-Sep, ($8.4B) w/w and ($207.7B) y/y.
Holdings of federal agency debt securities were $108.3B on 28-Sep, unchanged w/w and ($45.8B) y/y.

Libor fixings 
- Overnight Libor: Dollar: 0.145% vs prior 0.145% ; Sterling: 0.624% vs prior 0.584%; Euro: 1.275% vs prior 0.904%
- 1-month Libor: Dollar: 0.239% vs prior 0.239% ; Sterling: 0.692% vs prior 0.689%; Euro: 1.299% vs prior 1.298%
- 3-month Libor: Dollar: 0.374% vs prior 0.372% ; Sterling: 0.953% vs prior 0.949%; Euro: 1.495% vs prior 1.494%

Asian Markets

Asian markets were mixed today, with some giving up early gains on nerves over European debt and most trading in a tight range. Financial and electronic stocks allowed Taiwan to lead the region. South Korea ended a volatile day almost unchanged. Australia ceded its early rise to finish almost unchanged. Japan lost early gains and returned to flat. The Chinese market, which will be closed for holidays all next week, declined slightly, with export-related stocks and financials falling out of favor. The PBOC says price stability still top priority of macro policy. Inflation has eased, though remains high and economy is still seeing stable, relatively fast growth. World economy is recovery slowly, still faces risk. People's Bank of China says it plans to continue to improve yuan exchange rate regime and implementing prudent monetary policy. Separately, China 5-year sovereign CDSs are 21bp wider at 200bp, marking the widest since Mar-09. Mainland stocks fell in Hong Kong, which was the region's largest loser. Japan August core CPI +0.2% y/y vs cons +0.1%. Jobless rate 4.3% vs cons 4.7%. Preliminary industrial output +0.8% m/m vs cons +1.5%. September manufacturing PMI 49.3 vs 51.9 seq. TokyoSeptember core CPI (0.1%) y/y, matching expectations. HSBC China September PMI 49.9 vs preliminary 49.4, month-ago 49.9. The yen is trading at 76.83 to the US dollar.

European Markets

European equity markets fell from the open following Asian markets lower as disappointing economic data from China and worries that the size of the EuroZone bailout fund will not be large enough to resolve the regions debt crisis hit sentiment on the final trading day of the quarter. Germany's economy ministers comments that the country's lower house of parliament seems unwilling to approve any future raising of the EFSF/ESM limits led to a retracing of gains following its approval of the boost in the EFSF yesterday, with Germany's upper house of parliament and Austria expected to pass EFSF legislation today. Germany Aug retail sales +2.2% y/y vs consensus (0.6%), prior revised to (1.8%) from (1.6%). France Aug consumer spending +0.2% m/m vs consensus +0.3%, prior (1.6%). France Jul producer prices +0.5% m/m vs consensus +0.3%, prior (0.3%). Eurozone August unemployment +10.0% vs consensus +10.0% and prior +10.0%. Eurozone Sep CPI +3.0% y/y vs consensus +2.5% and prior +2.5%. The pound and the euro are trading at $1.5599 and $1.3521 respectively

Today's Economic Releases (Eastern Time)

08:30 US Personal Income (Aug); consensus 0.0%
08:30 US Personal Consumption (Aug); consensus +0.1%
08:30 US Core PCE (Aug); consensus +0.2%
09:45 US Chicago PMI (Sep); consensus 54.8
09:55 US Michigan Consumer Sentiment (Final) (Sep); consensus 57.6
21:00 China PMI Mfg (Sep); consensus 51.5 

Today's Key Events (Eastern Time)

09:00 Geron Corporation appoints John Scarlett as CEO and director: 866.362.4666 / Intl 617.597.5313 pc 65315216
11:00 Fed's Bullard speaks
—:— Home Properties (HME) will replace BJ’s Wholesale Club (BJ) in the S&P 400 - after the close
—:— Resources Connection (RECN) will replace Home Properties (HME) in the S&P 600 - after the close
—:— Smart Grids Asia
—:— VMWorld 2011 

Company Specific News

AZZ (AZZ Inc reports Q2 EPS $0.77 vs Reuters $0.76; Reports Q2: Revenues $114.7M vs Reuters $115.9M)
IR (Ingersoll-Rand guides Q3 EPS $0.77-$0.80 vs prior $0.85-0.95 and Reuters $0.91)
MU (Micron reports Q4 EPS ($0.14) vs Reuters $0.01; Reports Q4: Revenues $2.14B vs Reuters $2.11B)

Offerings / Syndicate
IRC (Inland Real Estate prices public offering of 8.125% Series A Cumulative Redeemable Preferred Stock)
KGC (Kinross announces investment in White Bear Resources Inc. Kinross Gold Corporation (KGC) announced that it has subscribed for 2.4M units of White Bear Resources pursuant to a private placement.)
LPTH (LightPath files 4.5M unit offering through CK Cooper. Each unit consists of one share of Class A common stock and a warrant to purchase 0.25 shares of Class A common stock (and the shares of Class A common stock issuable from time to time upon exercise of the offered warrants)
MVIS (Microvision to sell 7.6M shares at $0.6545 per share to Azimuth Opportunity as part of 13-Sep announced stock purchase agreement)

Corporate Actions
NKE (NIKE, Inc. names Michael Egeck as New CEO of Hurley brand)

Newspaper Articles / Headlines

All Things Digital
Kayak Software said to put IPO on hold. AllThingsD reports Kayak is putting their IPO on hold citing market volatility. Management notes the company will file when market conditions are favorable to IPOs.

Strategic bidders look like current favorites in EMI auction. Consultants involved in the deal and industry sources tell Billboard that Len Blavatnik/Access Industries/Warner Music Group seems to be the frontrunner, because the consortium can bid highest thanks to anticipated cost savings. But regulatory issues may interfere with the bid. Sources say Oaktree Capital Management is no longer bidding -- and Apollo Global Management may also have pulled out -- for EMI's publishing operation. Citi is directing bidders to make up to three offers: One for the whole company, and separate bids for the recorded music and publishing units.

Financial Times
Italy softens blow of falling government bond prices for insurers. The FT reports that an amendment was passed 27-Sep but has not yet been announced; the article discusses the change with analysts, however, suggesting that the information is already well known.

Les Echos
Air France-KL's first low cost flights begin operations this Sunday. The newspaper reports Air France is launching 13 low cost new flights from Marseille and will expand this offer to other french cities later. The first flights will be heading, among others to BrestEindhoven, Moscou or Istanbul

Mail & Guardian
ArcelorMittal's failure to empower Ayigobi Consortium due to due-diligence issues. The Mail & Guardian notes that ArcelorMittal announced earlier this week that the ZAR9B (€829.7M) transaction had lapsed because an extension couldn't be agreed upon.

New York Post
Oswald Grübel approached Bill Winters to join UBS last year. Sources tell the NY Post that Grübel had thought Winters would be a good successor, but attempts to bring him to UBS failed, probably due to differences over compensation. The Post says that despite yesterday's WSJ story, Winters is no better than a longshot to be named CEO at this point, partially because he is both American and an outsider.

- Allianz to stop taking new life insurance contracts in Japan 1-January.
Without citing sources, the Nikkei reports that the company will maintain its non-life-insurance offerings in the country.
Sumitomo Mitsui Financial (8316.JP) board expected to approve making Promise wholly owned subsidiary. Without citing sources, the Nikkei reports that SMFG will inject more than ¥100B in capital into Promise, which it currently holds 22% of. The SMFG board is expected to approve nearly ¥200B in investments in the consumer-finance firm today (30-Sep in Asia). Promise posted a parent-only loss of (¥104.4B) for the FY ended in March, at the end of which it had ¥772.6B in loans outstanding.

Private equity could pay $1.5B for TI Automotive. A person familiar with the matter says that Carlyle is also interested in Cooper Standard (COSH), which competes with TI Automotive in fluid systems. Bain and Pamplona are reported to be bidding for TI Automotive, but the article gives no indication that they may get involved in the competition for Cooper Standard.

Royal Bank of Scotland to assume joint control of Ramada Jarvis Hotels Group. Sky News that RBS.LN will tomorrow assume joint control of a large stake of the Ramada Jarvis Hotel Group. Citing sources, the report indicates that RBS.LN will place 23 Ramada Jarvis sites into a pre-pack administration procedure overseen by Grant Thornton. The restructuring is supported by Jarvis' three biggest creditors. Recall on 30-Dec, The Guardian reported that RBS.LN was likely to end up with control of Jarvis Hotels, which had breached its banking covenants, and for which a buyer had not been found.

Viet Nam News
Mizuho Financial Group (8411.JP) to pay $567.3M (¥43.43B) for 15% of Vietcombank. Viet Nam News reports that the deal was signed this morning.

Wall Street Journal
WSJ is positive on's moves to expand its online ad offerings. A "Heard on the Street" column notes that Amazon can afford to put ads for competing retailers on its website, while less-visited sites run by Wal-Mart (WMT) and Best Buy (BBY) can't. Online ads have high margins, which allow Amazon to prosper despite low margins on the goods it sells, which makes it more powerful, and the vicious cycle continues to play out in Amazon's favor.
Alderney Gambling Control Commission pulls Full Tilt Poker's gambling license. A person close to the situation tells the WSJ that Full Tilt hopes to reach a deal with an investor that will allow it to repay the more than $300M it owes to defrauded poker players.
Research In Motion struggling with who to market its products to. Executives close to the company tell the WSJ that RIMM is trying to expand beyond corporate customers, but the company is not unified on how far to push efforts in that direction.
Workers at Chrysler's Global Engine Manufacturing Alliance plant approve joining with UAW contract. Citing people familiar with the matter. The WSJ reports that the vote at the factory ends a separate contract with Chrysler, meaning the workers now won't be able to strike against the company.
- AT&T to file motion to dismiss lawsuits from Sprint and Cellular South. The WSJ reports that, according to a person familiar with the situation, AT&T (T) will ask the U.S. to dismiss lawsuits from Sprint Nextel (S) and Cellular South that seek to halt a proposed $39B takeover of T-Mobile USA on Friday. The source tells the WSJ that AT&T will file a motion to dismiss the lawsuits in the U.S. District Court for theDistrict of Columbia.
St Louis Fed President James Bullard finds recent declines in inflation expectations worrisome. Inflation expectations, as measured in government bond markets, are worrisome according to Bullard (non voting member) in an interview with WSJ.


Auriga: downgraded ALTR
Bank of America Merrill Lynch: upgraded GRT; downgraded CBL, REG, ITRI
FBR Capital: downgraded CUBE
Morgan Stanley: downgraded CZZ
Oppenheimer: downgraded SCR
Piper Jaffray: upgraded AMAT, ASML, CGNX


Overnight…Disappointing Eurozone inflation and unemployment data have put investors in a sour mood, with European equities broadly lower and the S&P 500 futures flagging a retracement of yesterday’s 0.8% gain. Treasuries and the U.S. dollar are sharply higher, with the 10-year yield down 6 bps to 1.94% and the 30-year rate back below 3%, while the euro has dipped below US$1.35 and the Canadian dollar is down almost a cent to US$0.956. Adding to the sour taste were comments from Germany’s economic minister, who said Germany is opposed to leveraging or expanding the European rescue fund beyond what was agreed to yesterday in its parliament.

On tap today…Soft retail and auto sales suggest U.S. personal spending stalled in August after accelerating 0.8% in July. After accounting for inflation, spending likely fell slightly following the strongest gain in two years (0.5%) the prior month. Consumer spending looks to have risen a modest 2% annualized in Q3 after slowing to 0.7% in Q2. Personal income probably rose 0.2% in the month, held back by weak employment. Income growth has been decent at over 5% y/y, but it’s downshifting fast just as underlying inflation has picked up, putting the squeeze on purchasing power. The core deflator likely rose 0.2% in the month, lifting the yearly rate to 1.8% from 1.6%, double December’s record-low and smack in the middle of the Fed’s price-stability range.

Due later this morning, the consensus expects little revision in the September University of Michigan Consumer Sentiment Index, though the weekly Bloomberg measure suggests some downside risk, as it recently touched one of its lowest levels on record back to 1985.

The consensus looks for a modest decline in both the Chicago and Milwaukee PMIs for September, suggesting the manufacturing sector is slowing though still growing moderately. Factories are benefitting from robust exports and business capital spending, but can’t run at full throttle until the consumer speeds up.

Yesterday brought more mixed news on the jobs front, as an encouraging 37k drop in initial jobless claims (to 391k) was marred by an alarming plunge in CEO hiring intentions (see Jennifer's AM Chart). Also yesterday, the BLS reported that 192,000 more jobs (16k per month) were likely created in the year to March 2011 than estimated before benchmark revisions. That’s on top of the 1.3 million net new jobs (1.0%) that were initially tallied during the 12-month period. Ah, the good old days of moderate job growth. We currently look for another soggy payrolls report in September (due next week). The “national crisis”, in Bernanke’s words, continues.

Speaking of the Fed, keep a close eye on inflation expectations ahead of the November 1-2 policy meeting. The TIPS-based measures have fallen meaningfully in recent weeks, though probably not enough to breach the Fed’s stability range. Earlier this week, Bernanke said "If inflation itself falls too low or inflation expectations fall too low, that would be something we'd have to respond to because we don't want deflation." A further decline in inflation expectations, coupled with continued weak economic data, would likely spur additional easing moves.

In spite of the wild ride stocks took Thursday, no new information can be discerned from the price action or internals. Two viable short-term (over the next week) scenarios remain in play, both equally probable. Both scenarios should lead to a sharp decline sometime over the next month. That decline would be the conclusion of Minor degree wave 1-down from May 2nd, 2011, and would be wave v-down, the fifth and final leg of wave 1. Once that decline finishes, wave 2-up will follow, a multi-month rally that retraces 40 to 60 percent of the decline from May 2nd to its eventual bottom over the next month. Wave 2-up could be triggered by a QE3 announcement from the Fed. Commodities and precious metals should follow stocks higher after this coming low, below the August 9th low, in stocks arrives. Once 2-up finishes, a powerful stock market crash, wave 3-down will follow, sometime in 2012.

Very short-term, one of two possibilities exist. Either wave iv up is finishing and needs one more rally leg to the 11,800ish area and 1,250ish area in the Industrials and S&P 500 respectively, or wave iv up is already over, and wave {3} down of 3-down of v down has started and is about to start a plunge. Check out the charts if all the numbers seem confusing. The charts are clearer. mchugh

THE S&P: We fear that
the recent consolidation
pattern evolving will prove
to be a mid-point
consolidation and that is an
ominous �fear,� for if it is
true it argues for an
eventual target well below
1000 and perhaps all the
way toward 960. As Sgt.
Esterhaus used to say on
Hill Street Blues, �Be
careful out there @ gartman

1. Stocks are lower, dragging the MSCI All Country World Index to its biggest quarterly loss since 2008.
2. Corporate bond  offerings worldwide plunged in the third quarter to the lowest level since Lehman�s 2008 failure as Europe�s sovereign debt crisis caused investors to shun all but the safest securities.
1. European inflation unexpectedly accelerated to the fastest in almost three years in September.
2. European leaders are turning their focus to the next steps to stem the region�s debt crisis after German lawmakers approved an expansion of the euro- area rescue fund�s firepower.
3. Utilities Giving Away Power as Wind, Sun Flood European Grid, BBERG. WORTH READING FULL ARTICLE.
? U.S.A.�
1. Global investors say FED Chairman Bernanke�s bond-swap program, known as Operation Twist, will fail to reduce unemployment as the world�s.
2. U.S. Recession Risk Rises on April Oil Price Jump.
3. Global investors overwhelmingly support President Barack Obama�s proposed tax increase for those earning annual incomes of $1MM or more in an effort to reduce the deficit.
4. Solyndra, the solar-panel maker that filed for bankruptcy protection two months after executives extolled its prospects, is being investigated by the FBI for accounting fraud.
5. Gasoline Cargoes to U.S. at a 3-Month High on Refineries
6. Corporate Jets Fly Onto Obama�s Tax Radar
7. Port Authority Chief Is Said to Resign; Cuomo to Pick Successor
1. Chinese manufacturing PMI shrank for a third month
2. China�s central bank may opt to inject more cash into banks in Wenzhou to ease debt stress in the eastern Zhejiang provincial city as high inflation prevents monetary easing.
? GERMANY� German Retail Sales Declined More Than Forecast in August, the most in 4 years.
? BRAZIL-- Japanese investors, who hold $102B worth of Brazilian assets, are pulling the most money out of the Latin American country�s currency market since April.
1. Japanese industrial production fell more than estimated.
2. Toyota and Honda�s return to full production this month is boosting U.S. auto sales back near the pace reached before Japan�s earthquake.
3. Tokyo Electric Power, which faces damages of at least $59B for the Fukushima nuclear disaster, may be consigned to a future as a �zombie company� requiring constant government funding.
4. Sumitomo Mitsui Unveils $2.6 Billion Buyout Plan for Promise
? NORWAY� Norway�s Biggest Oil Find Since �80s. Lundin, which operates Avaldsnes, raised its estimate for production to 800 million to 1.8B barrels of recoverable oil.
? CANADA� Canada�s Dollar at Almost 1-Year Low
? SOUTH KOREA� Korea industrial production expanded less than forecast.
? NEW ZEALAND� New Zealand Loses AAA Debt Ratings, Yields Jump Most This Year
? YEMEN-- Anwar al-Awlaki, a U.S.-born Islamic cleric has been killed in Yemen.
? BERMUDA-- Hurricane Ophelia Intensifies Rapidly on Course East of Bermuda
1. Copper Rout Outpaces Analysts Focused on Shortages
2. Thailand, Bolivia, Tajikistan Boost Gold Reserves in August
3. Gold Gains as Rout Spurs Purchases
4. Nickel Seen Posting Worst Performance Since 2008
5. Oil Heads for Biggest Quarterly Decline Since 2008
6. Palm Oil Posts Third Quarterly Loss
7. Coffee Price to �Fall Out of Bed� on Real Drop: Chart of the Day

? MS-- is being priced in the credit- default swaps market as less creditworthy than most U.S., U.K. and French banks and as risky as Italy�s biggest lenders.
? BCS� was ordered to suspend part of its Japan brokerage business for 10 days after breaching Japanese securities rules.
? ALLY-- Bond investors are turning against Ally Financial, as mounting mortgage liabilities threaten its turnaround plan.
? IBM & MSFT-- IBM Tops Microsoft to Become Second-Most Valuable in Technology
? GM-- S&P Raises GM to Highest Junk Rating While Ford May Follow
? FUTURES�1142.50, DOWN 13.80.
? OVERSOLD: 275. 

WSJ: Fed's Operation Twist May Prompt a Bigger Turn

   By Matt Phillips

  "Operation Twist" might be more powerful than many investors expect.
  As the Federal Reserve Bank of New York prepares to release on Friday new details about the central bank's rate-lowering program, some bond-market strategists have done their own back-of-the-envelope assessment already.
  Their conclusion: Operation Twist could in some ways do as much--or more--for the bond market than its predecessor, known as QE2. The program also could prove to be a boost for stocks.
  When the plan was announced Sept. 21, it got a resounding raspberry from the stock market. The Dow Jones Industrial Average fell 2.5% that day and had its worst week since October 2008. Stocks have stabilized somewhat since then.
  Operation Twist was initially maligned by some market participants because it mainly involves the Fed shuffling its bond holdings, rather than pouring new money into the system. By contrast, QE2, so-named because it was the second round of quantitative easing, saw the Fed pump in $600 billion.
  (This story and related background material will be available on The Wall Street Journal website,
  Even though Operation Twist hasn't begun being implemented, it already is having an impact on long-term interest rates. It also is affecting what bond investors are buying and selling, pushing many to buy somewhat more risky bonds like mortgage securities and corporate bonds. That's the outcome the Fed has suggested it wants to achieve.
  "Operation Twist has greater punch than the QE2 program, or should," said Ray Stone, an economist at Stone & McCarthy Research, a firm that focuses on research for the bond market.
  Prices on 30-year Treasury bonds have soared on the announcement of Operation Twist, at times driving yields below 3% for the first time since January 2009.
The yield, which moves in the opposite direction to price, has fallen 0.21 percentage point since the day before the program was announced Sept. 21.
Ten-year notes also have surged. Yields on both Treasury securities have moved off their recent lows.
  Here is how the program works: The Fed will buy $400 billion of longer-term Treasurys--those maturing in six to 30 years--and in turn will sell $400 billion of Treasurys that mature in three months to three years.
  Essentially, the Fed is sucking up bonds that have the most risk tied to interest-rate fluctuations. By doing that, the Fed shrinks the supply of those investments available to private investors, which raises the price.
  But investors still need bonds with similar interest-rate risk, known as duration, in part because many of them have set duration targets within their investment portfolios.
  Barclays Capital and other bond observers measure the impact of the Fed's buying through a concept known as 10-year equivalents, or the amount of 10-year notes an investor would have to buy to get the same amount of interest-rate risk.
  In those terms, Operation Twist looks similar to, or a little bigger than, QE2.
  Barclays Capital analysts suggest that Operation Twist will remove roughly
$375 billion in 10-year equivalents from the market.
  Credit Suisse put that number at $436 billion in 10-year equivalents from the market, more than the roughly $412 billion pulled out of the Treasury market during QE2. Goldman Sachs analysts estimate the impact at roughly $400 billion.

  Those numbers don't count the impact of the Fed's surprise announcement that it would take the proceeds from its maturing mortgage-backed securities and reinvest them in other mortgage securities, which caused mortgages securities to rally and shrank the gap, or spread, between mortgages and Treasurys.
  "Operation Twist is taking the exact same amount of interest-rate risk out of the market, so it should have effectively the same effect" as QE2, said Priya Misra, head of U.S. rates strategy at Bank of America Merrill Lynch.
  But bond-market observers contend that the creation of new money wasn't what gave the QE programs their oomph, rather it was duration the Fed removed from the markets. Fed officials, including Chairman Ben Bernanke and the New York Fed's Brian Sack, who runs its market desk, also have pointed to the Fed's duration removal as a key aspect of how Fed policy works.
  As the Fed buys bonds, portfolio managers see those prices rise, tempting them to sell. The managers then have cash, which they use to buy other investments that have better expected returns. To get those returns, they buy something slightly riskier, perhaps corporate bonds.
  That pushes corporate-bond prices higher, pushing holders to sell and then buy something else, like higher-yielding corporate bonds. In theory, the pattern repeats itself, causing a ripple effect through the financial markets, pushing up prices of everything, even stocks at some point.
  "It will force all money managers to venture into the riskier realm of whatever they're allowed to invest in," said Ward McCarthy, chief financial economist within the fixed-income group at Jefferies & Co.
  But as McCarthy points out, the Fed isn't operating in a vacuum. Worries plaguing financial markets-soft economic data and the prospects for a disorderly end to the European debt crisis-might cause investors to stay in safe assets like Treasurys.
  "We look at it in the context of everything. Not just this one item [that] suddenly changes our mind as to how we are going to approach things," said Bob Auwaerter, head of fixed income at Vanguard, adding that his funds, which have roughly $620 billion under management, are cautious in the current environment.
"I would say at this moment, from a risk perspective, we have some risk on but we're pretty close to home."

*** The Personal Income print came in at -0.1% MoM with downward revisions to July to just +0.1% -- disappointing with wages/salaries -0.2% in Aug.  Personal Spending came in as-expected at +0.2% MoM, but on an inflation-adjusted basis consumption was unchanged -- leaving expectations for Q3 GDP lower.  Real PCE growth was running at 2.2% for Q3, but in the wake of this release the number is closer to 1.4% -- dropping the GDP estimates to 2.0% vs. 2.5% in Q3.  The lowered expectations were consistent with the bid in Treasuries following the number.
*** Inflation pressures were relatively benign as well, with the core-PCE print at +0.1% MoM vs. +0.2% consensus and prior.  This leaves the YoY rate at 1.6%, unchanged from July but under the 1.7% forecast and providing ample cover for the Fed's accommadative policy stance.  That said, the YoY rate has been steadily edging up and is nearing the FOMC's 1.7%-2.0% 'target' range.
*** The Treasury market was well bid ahead of the data and since the release, the price action has extended further with the long-bond outperforming.
*** Volumes have been modest this morning, with cash trading at 94% of the 10-day moving-average, with 2s the most active issue, taking a 27% marketshare, while 10s took 26% and 5s just 22%.
*** From here we look to the Chicago PMI release as well as the U Mich confidence revisions later this morning.  We are also awaiting the NY Fed's announcement of the Operation Twist details. 

 *Special thanks to Option Radar, BMO Capital, MEB Options, Bloomberg, Reuters, Optionistics, LiveVolPro, CBOE, AMEX, Option Monster, T.O.P. group, and all of the options desks and traders we work with to provide the option flow!

 No position at this time. Position declarations are believed to be accurate at time of writing but may change at any time and without notice.

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