Trading in the calendar spreads picked up yesterday. A summary of the activity is listed below. A few comments: There were some sizable all or none orders executed on the 5yr. spread with Merrill selling and J.P. Morgan buying. On the 2yr. calendar spread one dealer was offering 4K @ 17.7 early in the session “all or none” but did not trade. Subsequently the 2yr. calendar spread traded good size at 17.5, that spread has narrowed from 18. Later in the session a dealer showed 8,825 @ 17.7 all or none. The 10yr. roll had a 42.7 bid for 2K all or none early in the session but did not trade. There have been plenty of all or none quotes and interest in most the spreads as the floor still facilitates those types of orders more manageably than the screen.
Trading summary.
Commodity
Settlement
Open interest
Change
TYZ
119'14
1,292,864
dn. 9,891
TYH
118'03
68,502
up 15,802
Differential
points
1'11
32nds
43/32nds
Flows
House
B/S
Qty.
Differential
355
B
650
43
350
B
1,500
42.7
Commodity
Settlement
Open interest
Change
FVZ
117'10
829,318
dn. 23,592
FVH
116/00
40,470
up 26,575
Differential
points
1'10
32nds
42/32nds
Flows
House
B/S
Qty.
Differential
560
S
17,000
42.2
660
B
12,000
42.2
350
S
1,000
42.2
197
S
1,000
42.2
660
B
2,500
42.2
617
B
5,000
42.2
350
S
2,000
42.2
Commodity
Settlement
Open interest
Change
TUZ
109'05
969,234
dn. 48,632
TUH
108'19.5
104,515
up34,858
Differential
points
32nds
17.5/32nds
Flows
House
B/S
Qty.
Differential
370
S
4,000
17.5
560
S
2,000
17.5
617
B
2,000
17.5
Commodity
Settlement
Open interest
Change
USZ
120'16
743,408
dn10,114
USH
119/26
35,950
up 6,707
Differential
points
32nds
22
Flows
House
B/S
Qty.
Differential
N/A
Comments