Ø GDP headline stronger than expected – inflation component mild.
Ø Seeing some major Liquidation in Large EOZ positions
Ø Price action On Dec. 10yr. futures trying to test 3.5% yield level.
Ø Still looking for consolidation heading into next Fridays Payroll data.
Stronger than expected GDP report sent Dec. 10yr. futures down towards 3.5% yield area or 11716 on the futures price approx. Initially 117’24 held and prices reversed. Currently as I write this it looks like that level will be challenged. As I pointed out previously http://financialfutures.typepad.com/kiss/2009/10/interest-rate-trading.html weak shorts would be looking to exit some positions around this area. Indeed there was a seller of 40K of the EOZ 9775 – 9800 puts spreads so far this morning. Coming into today session there were 129K open position in the 9775 puts and 188K in the 9800 puts, so will expect to see a decline after today’s trade.
As you can see below there are some decent sized bearish bets occurring and that continues to be the current trend. However, I will still expect price to consolidate a bit heading into next Friday’s unemployment report. Therefore may be able to pick up some short term time decay by selling 117 puts and 119 calls or something of that nature and hold up until Wed. or Thurs. of next week. Longer term view still quite Bearish.
Some of the bigger flows from this morning listed below.
| House | B/S | Qty | Commodity | price | futures price |
| 0 | S | 40,000 | EOH 9775 - 9800ps | 4 | NA |
| House | B/S | Qty | Commodity | price | futures price |
| 116 | S | 1,000 | TYZ115.5 - 116.5ps | 0.11 | 11731/31.5 |
| 287 | B | 500 | TYZ115.5 - 116.5ps | 0.11 | 11731/31.5 |
| 0 | S | 1,000 | TYZ117.5 straddle | 1.51 | 11726/27 |
| 560 | B | 7,500 | TYZ113.5p | .04 and .05 | 11726.5 to 28.5 |
| 370 | B | 1,500 | TYZ115 - 116 - 117ptree | 0.05 | 11726.5/27 |
| 116 | B | 1,500 | TYF119c | 0.27 | 11729.5/30 |
| 560 | S | 5,000 | TYF112p | 0.16 | 11727.5/28 |
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