Futures Curve by Accutic

Putting money where Julian's Mouth is...

Julian Robertson in a CNBC interview end of last week let it be known he was keen on buying puts on long dated treasuries. If you look at the activity from Fridays trade in the analysis below you will see some decent new positions established in OTM puts on the November expiry. As you will see the 108 puts coincide with a cash yield of around 5%. On Friday prices settled on the Dec. Futures contract @ 120'29 which coincided with a cash yield of approx. 4.09%.

Betting on inflation will pay off at some point. However the debate on whether inflation or deflation is the current threat, and the monetary policies that are per scribed to remedy either situation are at best very undecided. I don't think you can argue that financial assets are not falling in price, and home values which are the basis for a large amount of these assets are still heading lower. Therefore I personally believe treasuries will hold their values and rates will not be heading substantially higher going into the end of this year. Shorting strangles still seems to be a winning trade, more so in the 10yr. sector as the price action is much less volatile than the long end. If any questions I can be reached @ tompthp@cs.com.

                      

Players from Friday 9/25 on all 30yr. options listed below, courtesy of www.geocities.com

House	Buy/Sell	Quantity	Strike	Price	Futures
287	Bot	2000	X121c	125,127	12011-12
355	Bot	3000	X108p	2	12005-6
355	Bot	3000	X109p	2	12010-1
560	Bot	750	X/Z 121c cal	46	12027-8
685	Bot	2000	X16/18p	23	12030-31
287	Sold	500	X124c	128	^12014
287	Sold	1000	V121c	11	12101-2
830	Sold	600	F100p	2	12009-10

December 10yr. option update

560	Bot	500	Z112p/18c Strngl	123	11707+-08+
685	Bot	500	Z17 Stdl	263-300	^Z11707
714	Bot	2000	Z08+p	4	11708-10
714	Bot	500	X+13/15p  Z-10/13p	2	11708-08+
830	Bot	1000	Z12p/18c Stgl	125	11705-05+
830	Bot	2000	X+16/Z-15p Diag	5	11505-07
830	Bot	500	Z12p/18c Stgl	121	11706-06+
355	Sold	4000	Z118c	108-09	11708-09+
685	Sold	1000	Z117+Strdl	302	^Z11709
685	Sold	500	Z08+p	4	11708-08+
685	Sold	500	Z17 Stdl	263	^Z11707
714	Sold	1000	Z12p/18c Stgl	125	11705-05+
714	Sold	2000	Z17p	126	^Z11710
714	Sold	700	Z17p	128	^Z11707

November 10yr. option update.

287	Bot	500	V18+/19/19+c Fly	2	11706+-07
355	Bot	3000	X118/19+c 1x2	9	11705-07
415	Bot	1000	X15/16/17p Fly	8	11707-08
660	Bot	2000	X18+c	37	11704-04+
714	Bot	500	X+13/15p  Z-10/13p	2	11708-08+
714	Bot	500/1000	V+17/-16+p1x2	3	11708-08+
830	Bot	2000	X+16/Z-15p Diag	5	11505-07

October 10yr. option update.

Monday 9/21

287	Bot	500	V18+/19/19+c Fly	2	11706+-07
287	Bot	1000	V19c	2	11631-11700
660	Bot	2000	V18+/19/19+c Fly	2	11703+-05
685	Bot	1000	V117+/18+c	17	^Z11706+
685	Bot	2000	V15+/16+p	12	^Z11705
714	Bot	500/1000	V+17/-16+p1x2	3	11708-08+
660	Sold	600	V17 Stdl	63	11625-26

Snapshot: Dec. 10yr. option Volatility.

To enlarge image just click on it. Click back page to return to text.

Dial above shows middle value of Dec. near the money calls and puts. The values were taken Delta'd against futures price of 117/04, which is where prices were approx. 8:04 a.m.c.s.t.  As can be seen on the 60 minute chart prices have subsequently rallied a bit and currently pulling back.

Floor sources indicate flows relatively minor highlighted by Credit Suisse buying 3K of the Nov. 118 - 119.5 call 1X2's at a price of 9 tics and New Edge selling 2K of the Dec. 117 puts at a price of 1.26 delta'd against futures 11710.

 

Goldman putting on Steepener

Yesterday Goldman buying Dec. 5yr. futures vs. selling bonds. Curve had already steepened (in terms of futures prices) by 3.75 tics when they started trading. See chart below for details.

October 10yr. option update.

Again put volume exceeding the calls. Note again good selling in Oct. calls vs. buying Nov. puts. Also keep in mind open interest figures are preliminary and not always 100% accurate. Click on image below to view dial and upen interest details. 

355	Bot	5000	+X14/16p Vs -119c	1	11701-01+
685	Bot	750	V120c	3	11702+-3
709	Bot	2000	V116p	20	11702-03
714	Bot	500	V16p Vs. Z10/15p	26	11704-04+
830	Bot	500	+X116p/-V117p	6	11707-07+
287	Sold	500	V14+/15+p	8	11704-04+
350	Sold	1000	V116p	19	11704-04+
684	Sold	1000	V14/15/16p fly	6	11707+-08
690	Sold	2000	V16+/17+p	30	11702-02+
709	Sold	2000	V116p	17
714	Sold	1500	V17+p	51-52	^Z11708
Local	Trade	500	V14/15p with V20c	5	11704-04+

November 10yr. treasury option update.

Open interest rose in Nov. options as players made some decent bear bets. Note Credit Suisse trade (house 355).

 

355	Bot	5000	+X14/16p Vs -119c	1	11701-01+
374	Bot	1000	X18/20+c	42	11706-06+
374	Bot	500	X18/20+c	41	11704-05
560	Bot	1000	Z+/X-17+ Stdl Cal	158-59	11707+-08
684	Bot	500	X119+c	26	11706-06+
685	Bot	1000	X117^	235	11703-03+
714	Bot	5000	X117p	138-40	^Z11702+/^Z11702
830	Bot	500	+X116p/-V117p	6	11707-07+
830	Bot	500	Z12/14+p 1x2	9	11704-04+
714	Sold	750	X115p	34	^Z11702

Dec. 10yr. treasury option update.

December put activity dwarfed the options. With Bernanke heralding the ending of the current recession these sorts of flows make sense. Scan the put vs. call activity below and you will see. I will be sending updates on Nov. and Oct. options today as well there was some interesting flows there as well.

370 Bot 1000 Z116p 106 ^Z11708 370 Bot 500 Z16p 110 ^Z11703+ 370 Bot 500 Z15+p 59 ^Z11708 370 Bot 500 Z16p 112 ^Z11702 560 Bot 1000 Z+/X-17+ Stdl Cal 158-59 11707+-08 660 Bot 2000 Z15+p 62 ^Z11703+ 685 Bot 500 Z117^ 315 11702-02+ 714 Bot 2000 Z117p 140 ^Z11702   714 Bot 1000 Z110/13/16p Fly 29 11710-10+ 714 Bot 500 V16p Vs. Z10/15p 26 11704-04+ 714 Bot 1000 Z17 Stdl 319 11710-10+ 830 Bot 500 Z12/14+p 1x2 9 11704-04+ 287 Sold 500 Z12p 19 287 Sold 500 Z12p 18 11703-04 355 Sold 750 Z10p 8 11705-05+ 370 Sold 500 Z15p 49 11710-10+ 714 Sold 750 Z16p 110 ^Z11703+ 714 Sold 1000 Z15+p 62 ^Z11703+ 714 Sold 500 Z17 Stdl 317 11703-04
	Bot	500	Z16p	110	^Z11703+
	Bot	500	Z15+p	59	^Z11708
	Bot	500	Z16p	112	^Z11702
	Bot	2000	Z15+p	62	^Z11703+
	Bot	5000	X117p	138-40	^Z11702+/^Z11702
	Bot	2000	Z117p	140	^Z11708^Z11702
	Sold	750	X115p	34	^Z11702
	Sold	750	Z16p	110	^Z11703+
	Sold	1000	Z15+p	62	^Z11703+
	Sold	1500	V17+p	51-52

Dec. 10yr. Treasury option update.

Dealers (west coast fund manager) noted previously, continue to sell the Dec. 115 puts. Note Goldman (350) was a seller outright as well as selling vs. the 110 put, as was Smith Barney (370). That was the highlight of yesterdays activity. As can be seen after rallying last week in the wake of very successful treasury auctions last week prices have stalled, and overall remain in a fairly narrow band. This price behavior is conducive to selling option premium.

Treasuries look to remain supported as long as uncertainty remains. See below for details.

9/15 players listed below.

287	Bot			500		V116/17p					15		11726-26+				High			Low		Close
287	Bot			2000		V119c					16		11724-24+				118045			11717		117175 -14
287	Bot			500		V119+c					10
287	Bot			2000		V19c					14		11717+-18				Vol.			9/14/09		9/11/09
560	Bot			1000		Z119+c					55		11723-23+				Oct			8.4		8
660	Bot			500		Z121+c					22						Nov			8		7.8
685	Bot			1000		V20c					5		11717-17+				Dec			8		7.8
197	Sold			1500		V117p					24		11726+-27
350	Sold			2000		Z115p					41/42
350	Sold			3000		Z110/15p					34/35		11723-25				17+ Stdl
370	Sold			1000		Z110/15p					35						Oct			127-30		130-32
505	Sold			1300/650		Z+19c  Z-16+ Stdl					104/328		^Z11726+				Nov			228-31		230-33
660	Sold			1000		Z15p					41		11724-24+				Dec			312-15		314-16
Local	Trade			1000		Z10/13/16p Fly					26		^Z11723