After one of the most volatile months in history the week of April 1st has been quite tepid by comparison.
Granted too much volatility would not serve anyone. But too little is not good ithere. As the dial to the right shows the yield in 10yr. treasuries is currently around 2.65%. The Red and Green shading on the inner perimeter shows the range for the last month. Again the majority of that range was established in about 5 mintes time on Mar. 18th after the Fed announced it was going to purchase $300 bln. of Treasuries "including longer maturities. June 10yr. notes were trading 12116 early in the session on that day. That day and for the four sessions prior to that day there were very large purchaes of calls and call structures that were targeting a move to 124 or higher by the end of Mar. On that Day Golman Sachs bought 10K of the April 126 calls for about $100.00 a piece, by the end of the day they were worth aover $1,000 a piece. That day another firm bought 5K of the May 125 - 126 call spreads for for about $175.00 a piece, by the end of the day they were worth about $1,000 a piece.
Today well into the aftermath of that historic day, we have seen a buyer of June 120 - 122 put spread bought about 8K. That could be the same player that has been selling the June 119 - 128 strangle. If that hunch is correct that would mean they are buying back a short position in 120 puts and shorting the June 122 puts. I will have to look at the open interest report tomorrow to verify. In the mean time for up to the minute alerts on large trades in Treasury futures and options go to www.accutic.net.
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