Profit taking on Call structures drive 10yr. notes lower

To sharpen image simply click on it, to return to text click page back. As can be seen on the Bar chart on the bottom, as noted last week traders were buying cheap call structures looking for an up move after the quarterly refunding. The June 121.5 calls were definitely featured in a number of these strategies as our alerts were indicating. Today as the 121.5 calls were unwound futures prices came off between 8:00 a.m. and 9:00 a.m.c.s.t. and really have not recovered. The June options expire a week from tomorrow so traders were smart to sell them today. Notice how the volatility declined over the 25 minute period between these two alerts. For more go to www.accutic.net and upload the alerts.