Option Volatility picks up last day of June trade.

The alerts below were generated about an hour into the session. as you can notice on the top alert which is showing a trade on the Aug. 10yr. 119 call, the futures are down 6 tics (left dial) trading 11608.5, yet the price of the call '19 which is down only 2 tics (center dial), produces a vol reading of 9.98% up 26 basis points (right dial). Although not shown here the 1st trade of the day was in the 5yr. note a dealer bought 5,000 August 110 puts. With 5yr. notes off just 4 tics they paid 3 tics for the option (double the settlement value of 1.5 tics), again for a large amount. Locals were very happy to sell them at that level, and the competition was fierce to take down 1,000 lots on the order which several did. The other alerts below show vol was well bid in the early goingacross the curve. We did not include a 30yr. alert but you can rely on the fact that the story was the same. Today was indeed volatile in terms of price action as prices held yesterdays gains in the early going then tumbled over a point in the 30yr. , and almost that much in the 10's only to come back up and make new inter-day highs on the session. Alerts are still showing firm vol. readings as we head into the close. To keep an eye on large trading flows and their impact on volatility go to www.accutic.net and upload the alerts.