... look a little (1.5bp or so) cheap to the Sep 06 and Mar 07 contracts. I know that linear interpolation isn't exactly appropriate here, but is there a fundamental reason why Dec sticks out? Anything to do with tax year, timing of FOMC meetings, something else?
i was thinking similar. my z6-z5 isnt doing as well as the u6-u5 rather than add to the z6-z5, i may for the sep spread. the spread has been out for a while imo - too long for some price anomaly - so i guess it must be funnymental reasons.
They've both crumbled nicely since early May, so I'm sure you can live with that. Still, EDU5-U6 had an upward "bump" around 9 May, EDZ5-Z6 didn't. I'm just racking my brain about what there is in the US calendar that makes December '06 so special with regard to interest rates. It's not like we've got extra Y2K money supply to counteract this time. Senate elections? Any other ideas?
Not sure if this explains anything but there are about 10,000 Dec 06 9575 straddles someone has on against 9591 in the futures, so that might have something to do with mispricing in the futures. This is a pretty big amount of straddles for the red months and was put on early this year (about 30 million in premium total for that position)
it's a year-turn, nothing usual - the companies are doing window-dressing over the new years eve, so the money is tighter. 1.5bps actually aggregates into a 50bp or so pad over libor on that weekend.