Futures Curve by Accutic

Treasury Trading Update.

From today's Accutic Plus report:

Screen shot right does a good job of showing the new interest rate dynamic. Most of us including Bernanke agree that forecasting is very myopic work and the further out one tries to look the blurrier things become.

 

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Thanks,

TomP

Treasury Trading Update.

From todays Aucctic Plus report.

Interesting feature of the day so far was some block trades in the Green and Blue pack Eurodollar futures just prior to today’s 5yr. auction which was moved up from the traditional time slot by 1 – ½ hours to 10:30 a.m. c.s.t. – see players list below for details. Chart to the right shows price action on the June 15 futures.

Will be getting new forecasts from Fed later today.

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Treasury Trading Update.

From today's Accutic Plus report:

In the early going comments from Ollie Rehn that collective action clauses could possibly be introduced on Greek debt caused a bit of risk on trade and we saw the Euro currency probe session lows.

We continue to see some decent OTM put buying - one large trade was targeting a move to 2.72% area on the on the run 10yr. note - that's well over 60 basis points higher from current levels.

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Treasury Trading Update.

From today's accutic plus report:

To sum up in a nut shell - it seems the effects of the LTRO done by the ECB back in Dec. is the main thing for bulls in terms of the Euro currency and European Sovereign debt - to cling too. However ...

Treasury option straddles were pretty firm albeit from low levels at today’s open compared to last week. The move down in prices seemed to coincide with the uptick. However around 9:40 a.m.c.s.t. (note chart right)

For more on the above and an update on trading flows members can log in here:

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Treasury Trading Update.

From today's accutic plus report:

Chart right shows pretty good down tick during London hours. There was a WSJ story saying further QE could be put on hold and that may have emboldened trades to speculate for a run of 20 or more basis points higher in 10yr. note yields.

I noted yesterday on the yield chart that some of the put structures targeting a move to around 2.38% and we see a bit more of that today. The 129 puts that were bought for size this morning equate to a yield of around 2.20% -

For more on the above and look at charts and today's flows members can log in here:

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Treasury Trading Update.

From today's accutic plus report:

Hourly chart of Mar. 10yr. futures shows fairly dramatic move down – with the exception of the large selling of calls by UBS – see players list below, nothing too dramatic yet in 10yr. options even though we have made a decent move. Bell weather 10yr. cash yield is currently 1.98% with the futures trading 13022.5.

For update on Libor and a look at charts showing target for recent play and current yields - members log in here:   http://financialfutures.typepad.com/accutic_plus/

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Thanks,

TomP

 

Treasury Trading Update.

From today's Accutic plus report:

There was excitement and good cheer briefly this morning as I was watching my Bloomberg television show with the lovely Maryam Nemazee.  She and her entire staff were reporting the IMF was going to contribute 1 trillion (euro’s buskos) what ever to the cash strapped Eurozone countries. The denomination really does not matter – because they don’t have it anyway. That is probably why the chart right which initially rallied on the news has given some back.

Currently from my perch it seems things in Europe are currently perceived to be moving in a positive direction – however only affecting charts on the intra-hour view – certainly not so much intra day – absolutely not – intra week, and so on. Bottom line you probably have to come back tomorrow the next day and so on.

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Treasury Trading Update.

From today's accutic plus blog.

Apparently no one told S&P that Eurobonds are just around the corner. Had they made this explicitly clear chances are the down grades – which exacerbate an already dangerous environment – close to FUBAR – very likely could have been avoided.

After a fair amount of profit taking Friday (after the well advertized downgrades became fact) in Mar. 15 and June 15 call structures – today looks like some getting into some put type structures – see players list below.

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Treasury Trading Update

From today's accutic plus report:

S&P is on the loose and they are doing a bit of grim reaping – lopping alpha characters of Eurozone sovereigns – Italy so far has felt the blade and they’re just getting warmed up.

We seem to be seeing some “sell the fact” type profit taking in some of the call structures that have been built up in deferred month Eurodollar options. That would be prudent as the stronger hands are supposed to hand things to the weaker hands. Back when they were putting these structures on in Nov futures were 20 ticks plus lower in the Mar. 15 futures and around 15 ticks lower vs. the June 15 futures so again prudent to sell some on a day like today…

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http://financialfutures.typepad.com/accutic_plus/2012/01/treasury-trading-update-8.html

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Thanks,

TomP

 

 

 

 

Treasury Trading Update.

From today's accutic plus report:

Chart above is interesting. During the transition that took yields from 2.30 to 2.40 and in a couple of days we started to trade around 2% with highs around 2.10 and lows around 1.90%.

The theme that was playing out during that end of Oct. period are worth noting. Take a look at the accutic plus report on Nov. 1.

http://financialfutures.typepad.com/accutic_plus/2011/11/treasury-trading-update.html .

 

For more on the above and update on today's flows - and they keep coming in by the busload in the short end - members log in here. http://financialfutures.typepad.com/accutic_plus/

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