Treasury Trading Update.

Price action remains negative heading into today’s option expiration on the Jan. options. Short positions in Jan. 115.5 puts were covered yesterday, see below. The Mar. 10yr. 116 puts showed a small decline in open interest however still over 60K open interest in that strike and the Mar. 115’s have around 78K. From what I recall in the past the fund involved in the short strangle positions does not seem to worry about having prices go through the strike, since they have cash and futures positions that can cover those positions. Smaller players that may be imitating those positions will be forced out when those strikes get penetrated. I’m sure the larger player is willing to cover some as well, but again in the past some times they do not seem to react as one might suspect.

The illustration below highlights the 2 larger trades from yesterday, the balance of 10yr. option flows are listed below that. Merry Christmas everyone!

Balance of  Players from 12/23 10yr. options.

287	Bot	2000	G17c	39	^H11613+
287	Bot	750	H17c	39	^H11613+
355	Bot	2000	H18/20c	26-7	11908+-12
355	Bot	7000	F15+p	Cab 13, 1	^H11610/^H11614
370	Bot	2000	G15p	25	11611+-12+
374	Bot	1000	F16+/17/17+c Fly	5	11612+-13
660	Bot	1000	G19+c	4	11605-05+
684	Bot	500	H18+/19+c	13	11610-10+
684	Bot	500	H14+/16+	46	^H11614+
684	Bot	500	G17/18+c 1x2	14	11609-09+
684	Bot	5000	H17/18c	23	11606+-06
714	Bot	500	F16+/17c 1x2	3	11609-09+
714	Bot	500	F16+/17p	25	^H11613+
350	Sold	1000	H+16/-18p 2x1	3	11612+-13
350	Sold	2000	H15p/19c Stgl	63	11604+-05
370	Sold	5000	H19/20c	10	11612+-13
370	Sold	10000	H19/20c	10	^H11612+
560	Sold	1000	H16/18p 1x2	3
684	Sold	500	H16+ Strdl	231	11610-10+
684	Sold	500	H+18+/19+c  H-12+p	1	11610+-11
714	Sold	500	G116+ Strdl	148	11613-14
714	Sold	500	F15/15+/16p Fly	5	11605-06