Currently market as measured by the Mar. 10yr. futures not showing any signs of moving higher. Some analysts point out that yields are quite high, compared to the rest of the year, and that buyers may be lured in for the remaining auctions. Given the extra thin conditions, volume in 10yr. futures for example was just 234K yesterday, I would not expect demand to pick up all that much as the maturities lengthen out to 5yr. today and 7yr. tomorrow.
Players list below shows some large bear bets in 10yr. options being taken out in Feb. and Mar. put structures some packaged vs. selling calls. Most of these trades were done by Credit Suisse and were done delta neutral. I’m not sure if they were hedges for the large fund player who is short 116 and 115 puts in Feb. and Mar. it’s possible, and I will check with floor sources to get their opinions. There also looked to be some decent activity in the 30yr. 109 and 110 puts. Although not on the players sheet, the exchange volume and open interest report shows that just over 6K traded in each strike, and open interest declined in the 110 puts and rose in the 109’s. Perhaps some one was rolling a position down, it may have traded on the screen, or was missed by the fine folks at geo cities.
Balance of Players in 10yr. options from Geo cities.
| 287 | Bot | 500 | G15+c | 55 | ^H11512 |
| 287 | Bot | 1000 | G16+p | 34 | ^H11519 |
| 287 | Bot | 2500 | G14+/17+ Strgl | 49 | 11516-17 |
| 287 | Bot | 600 | G19c | 4 | 11515-16 |
| 355 | Bot | 6000 | G13+/15+p 1x2 | 20-4 | ^H11517 |
| 355 | Bot | 8000/15000 | H+11+/14p vs H-18c | 8 | ^H11517/^H11518 |
| 355 | Bot | 7000 | G+15+/-13+p 1x2 | 23-24 | ^H11520/^H11517 |
| 370 | Bot | 1000 | G14+p | 31 | 11518-18+ |
| 370 | Bot | 2000 | H14p | 43 | 11519-20 |
| 370 | Bot | 1000 | G14+p | 31 | 11519+-20 |
| 560 | Bot | 2500 | H15+p | 116 | ^H11518 |
| 560 | Bot | 1000 | H15+p | 116 | ^H11518 |
| 560 | Bot | 1000 | G16c | 43 | ^H11515 |
| 660 | Bot | 2000 | H14p | 43 | 11521-21+ |
| 660 | Bot | 1000 | H20+c | 4 | |
| 660 | Bot | 500 | G13p | 11 | 11522+-23 |
| 690 | Bot | 700 | H+13/-18 Combo | 10 | ^H11512+ |
| 714 | Bot | 500 | G+14/-17c Combo | Even | ^H11518+ |
| 287 | Sold | 1000 | H15+c | 235 | 11516-17 |
| 287 | Sold | 1000 | G16/17+p | 102 | ^H11518 |
| 560 | Sold | 1000 | G15+ Stdl | 153 | 11515+-16 |
| 684 | Sold | 1500 | G16 Strdl | 154-55 | 11518-18+ |
| 685 | Sold | 500 | H17c | 41 | 11517-17+ |
| 714 | Sold | 1000 | H17c | 41 | ^H11517 |
| 714 | Sold | 1000 | G17c | 22 | ^H11517 |
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