Treasury Trading Update.

Rather inactive day on the floor yesterday. However a fair amount of capital was moved around in 5yr. options. One large trade involved taking off 5,000 Feb. 117.5 – 118.5 call spreads. A couple of dealers combined to buy around 14,000 of the Feb. 114.5 puts that was a short cover as open interest fell by about 7,500 on preliminary reports. There was also buying of Mar. 113.5 – 115 put 1X2’s for 3 ticks, preliminary open interest report shows these are new positions.

The balance of players are listed below for the other treasury products.

Treasury prices remained firm yesterday with additional buying pressure stemming from month end related purchases. This is likely why prices did not react much to the stronger than expected Chicago purchasing managers report. Concerns over Dubai seem to be abating further as CDS rates did pull back yesterday. RBA raised rates another .25% to 3.75% the  move was widely expected but did cause some sharp reaction on the AUD/Yen and AUD/dollar charts. The BOJ has an emergency meeting scheduled today. Elsewhere Pimco signaling bonds might be a sale as supply continues to come amid weak growth.

More later.

 

Players from Geocities Monday 11/30/09

10yr.
287	Bot	700	H20 Stdl	252	11926-6+
355	Bot	1000	H14+/15+p	3	11924-5
560	Bot	5000	G/H 17p cal	15	11930-1
660	Bot	500	F18p	13	11927+-8
684	Bot	500	H20 Stdl	250	11926-7
684	Bot	2000	F/H 20 stdl cal	118	11926+-7
685	Bot	1000	F16+p	4	^11924
685	Bot	750	H20c	252	^11929
287	Sold	500	F120 Stdl	131	11928+-29
560	Sold	2500	H118p	49-50	^H11923
660	Sold	2000	G+16/18.5/19p Tree vs G-122+c	4	11926+-7
684	Sold	500	F17+p	8	^H11926
5yr.
287	Bot	3500	F16/17c	45.5-6
350	Bot	4500	G14+p	6.5
560	Bot	3000	H13+/15p 1x2	3
560	Bot	8800	G14+p	6.5
684	Bot	1000	H13+/15p 1x2	3
116	Sold	5000	G17+/18+c	20
30yr.
House	Buy/Sell	Quantity	Strike	Price	Futures
287	Bot	500	G11/14p	7	12222-3
Fed Fund
275	Bot	250	J50/62p	.75	J9980-0+
287	Bot	700	G87c	1	G9982+-3
287	Bot	250	J50/62p	.75	J9980-0+
660	Bot	500	K50/75/81p Tree	Even	K9977+-8
690	Bot	500	K50/75p 1x2	1	K9977+-8
690	Bot	1000	Z81p	.5-.75	Z9986-6+
690	Bot	1000	K50/62p with H93c	1.25
830	Bot	350	G87c	1	G9982+-3
287	Sold	500	K81 Stdl	11	K9975+-6
287	Sold	350	G87c	1	G9982+-3
690	Sold	400	H68p	1	H9981+-2
690	Sold	1000	K50/62p with H93c	1.25
690	Sold	500	J50/62p	.75	J9980-0+
690	Sold	250	J+/H-75/81c Cal	.25
714	Sold	250	J81/87c	3.25	J9980-0+