Betting on Lower rates in the long end.

Yesterday Goldman started buying 30yr treasury futures when they were down over 1 point on the day, against that they were sellers of 5yr. note futures. The bet is that long rates will fall relative to rates in the 5yr. sector fo the yield curve. They continued that strategy today and around mid-session bonds rallied sharply leaving 5's behind. As the dial in the diagram shows initially the price differential was 3'28.50 which in dollars and cents $3,890.62.As of mid friday session they have sold about 5-6K of the 5's vs buying 2-3K of the 30's. Another firm did the same strategy around 700 X 280.

1. Around 8:40 a.m.c.s.t. Bought 200 Sep. 30yr. futures @ 120'00  current price 120'25 is a current gain 25 tics which @ $31.25 per tic X 200 = $156,250

2. Same time Sold 500 Sep. 5yr. futures @ 11603.5 current price is 11615.5 is a current loss of 12 tics which @ $31.25 per tic X 500 = (187,500) which is a current loss of $31,250 on the position

3. Even though the curve has flattened as evidenced by the clock wise gain on the FOB clock shown below the weighting  of the spread has under performed on the bond side. For more detail on these trades and others go to www.accutic.net and upload the free alerts.