Price action fairly brisk to the down side in 10’s as can be seen on 30 minute bar chart below. Chart followers note the break out in yields could trigger a move towards 3.72% yield on 10’s . Note how the dial calibrated with the strike prices (ATM from Fridays settlement was the 11716 strike) arranged. The corresponding yields are just inside the dial. One trade we saw which would capture such a move involved buying the Dec. 115.5 – 117 puts spread vs. selling the 118 calls. Floor sources indicate one dealer bought 3Kof these structures for 5 tics a piece. Max profit on the trade if prices fall to 115’16 or lower would be a point and a half or 96/64ths or $1,500.00 less the 5 tick purchase price. Other more aggressive trade would be to sell the 117.5 calls, which a dealer did. The accutic alert showed initially they sold 1,000 at a price of .58 and futures were trading around 11710.5. They sold another 1K at a price of .57 with futures still around 11710.5 which pushed the volatility lower. The 117.5 straddle was quoted 1.62/2.01 at the open today, recently the market was 1.58/1.61 a bit lower reflecting the decline in volatility.
Note there were some bullish trades in the short end, some of the activity from today is listed below. For more you can contact me at tompthp@cs.com.
Ø Chart patterns indicating downside break outs.
Ø Look for strategies to capture the trend in the market and where yields likely be heading.
Ø Accutic – Fast – Transparent data at a glance.
More of the flows listed below.
| House | B/S | Qty | Commodity | price | futures price |
| 560 | B | 2,000 | TYZ114.5 - 116.5 p1X2 | .13 and .14 | 11704-11 |
| DT | S | 1,000 | TYZ116p | .33 and .32 | 11710 - 12 |
| 0 | S | 2,000 | TYZ117.5c | .57 and .58 | 11710.5/11 |
| 370 | S | 1,000 | TYZ116 - 118 combo's put over | .02 and .03 | 11702/02.5 |
| 660 | S | 1,000 | TYZ113 - 115 pspreads | .03.4 and .04 | N/A |
| 0 | B | 1,500 | TYZ116.5 - 118pspreads | 0.46 | N/A |
| 714 | B | 3,000 | B115.5-117psprd/S118c | 0.05 | 11704.5/06 |
| CCM | S | 5,400 | TYZ116.5 - 118psprd | 0.44 | D117'07 |
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