Treasury volatility bid up as uncertainties grow.

Our accutic alerts have been registering higher levels of volatility across the yield curve this morning. The alert below show a large buyer (12,000) of Sep. 113 puts in the 5yr. options. Initially the dealer (J.P. Morgan futures) started buying the puts, paying 8 tics with futures trading 11615.5. This produced a vol. reading of 7.15%. At this time treasury yields were bid lower, and the dealer continued to pay 8 tics, even thought locals were now able to sell the underlying futures contract at a higher level. This caused the volatility to increase from 7.15% to 7.22% as they ultimately were able to sell futures @ 11700. Note the clock-wise rotation of the futures clock lower left and the Vol. clock upper right. The option level (lower right clock) remained fixed at 8 tics. Accutic alerts are available at www.accutic.net.