First notice day is 11/30/09 for treasury futures. After that date shorts have the option of making delivery and therefore longs in the market that do not want to risk taking delivery will either roll the position or liquidate. Obviously shorts in the market that want to avoid the delivery process and maintain a short position will be rolling as well. As Dec. options expire this week, hedges vs. the Jan. Feb. and Mar. series will initially trade vs. the more liquid Dec. futures contract and then roll to Mar., until that contract becomes the more liquid.
Current status of the Calendar Spreads
TY
DEC 1,305,930 + 8,382 Dec. futures settled 11924
MAR 52,750 + 10,116 Mar. futures settled 11812.5 spread differential 1’11.5 or 43.5/32nds.
At on point a player bid 43/32nds for 5k all or none, order was eventually cancled
FV
DEC 853,789 + 3,814 Dec. futures settled 11712.7
MAR 13,895 + 4,282 Mar. futures settled 11603 spread differential 1’09.7 or 41.7/32nds.
Goldman was a buyer of 550 @ 41.7 yesterday.
TU
DEC 1,019,038 - 26,284 Dec. futures settled 10904.2
MAR 69,930 + 20,352 Mar futures settled 10818.2 spread differential 18/32nds
The roll traded actively on the floor yesterday, UBS was a buyer of several thousand in increments of 440 and 880 lots, not sure why, paying 18/32nds. Mann also a buyer selling mainly screen based yesterday.
US
DEC 756,536 + 4,771 Dec. futures settled 121’02
MAR 29,243 + 3276 Mar. futures settled 12012 spread differential 22/32nds.
Comments