On the 5th of June Goldman bought approx. 5,564 Sep. 5yr. futures vs. selling approx. 1,930 Sep. bonds. The differential price on this trade is highlighted in red in the diagram below. The individual prices are not noted here. If you want to see them, go to www.accutic.netand upload the alerts, then scroll back to the 5th of June. When we saw them selling bonds and buying 5's back on the 5th a number of analysts were scratching their heads, thinking shouldn't the be buying bonds given the dramatic steepening that had occurred already. In fact today they have bought approx. 7,038 Sep. 5yr. futures vs. selling approx. 2,780 Sep. bonds, the differential prices are highlighted in light green below.
The positions from the 5th look to be underwater quite a bit. One of the trades on the 5yr. involved buying 1,150 Sep. 5's @ 11319 v. selling 430 bonds @ 11328. Coming into today's session 5's settled 11300.75 so they had a loss of $655,859 on that leg. The bonds settled @ 11320.5 so they had a gain of $100,781 on that leg, which again nets out to $550K to the minus. Longer term they may be proved right, and the fact they they are in buying at even worse levels means they have conviction on the trade I suppose. Subsequent to this report they have bought more 5's vs. selling bonds.
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