Treasury Trading Update

Changes in open interest can provide insight as to the strength of the market. I would say the changes can even be more significant in the thinner holiday markets. Take note of the large buying in Feb. 10yr. 114 puts delta neutral in yesterday’s market, it was a liquidating position. There was also liquidation in Jan. 116 puts and a bit in the Mar. 116 puts. As we all know funds have been shorting those puts aggressively. Overnight prices did penetrate that level and quickly rebounded. Sources indicate some real buying by Asian CB’s came in with yields at relatively high levels. This may be significant going into next week’s auctions.

Players in 10yr. opts from 12/22 session courtesy of Geocities.

092	Bot	500	G17+/19+c	21	11609-09+
287	Bot	7000	F17c	7-9	11613-13+
287	Bot	500	G18/19c	10	11607-07+
287	Bot	1500	F18c	2	^H11615
355	Bot	10000	G14p	13	^H11609+/^H11610+
370	Bot	1000	G15+/16+/17c Tree	Even	11611+-12
370	Bot	1000	G15p	28	11608+-09
444	Bot	750	H16 Stdl	235	11609-09+
560	Bot	5000	H18/20c	24-27
560	Bot	2000	F16p	13	^H11608
560	Bot	3000	H17+c	45	11608+-09
617	Bot	600	H15/16p	24	11613-13+
684	Bot	1000	F16+ Strdl	40	^H11609
684	Bot	10000	H17/18c	24	11609-10
714	Bot	5000	G16p	51	^H11607+
714	Bot	500	G18/20c	15	11611-11+
714	Bot	1000	F16+/17/17+c Tree	5	11605+-06
830	Bot	500	H17/19c	39	11608-08+
006	Sold	500	F14/15/16p Fly	8
287	Sold	1000	G16p	45	11612-12+
287	Sold	2000	G15+p	33-4	11611+-13
560	Sold	5000	H-14+p/+19+c Combo	25	11608-09
660	Sold	1000	H14+/15+p	20	^H11611
684	Sold	2000	G16p	51	^H11607+
684	Sold	2000	G16p	49	^H11609
714	Sold	500	G17c	37	^H11611
714	Sold	3000	G15p	27	^H11608+/^H11609
830	Sold	500	H18c	35	11608+-09