Tomorrow the Treasury will be maturing over $80 bln. in securities, according to their web site http://www.treasurydirect.gov/govt/reports/pd/mspd/mspd.htm . If you go the site navigate down to the December report and from there you can find a schedule that shows amounts and dates of maturing securities. If you want some help on getting to the data send me an email and I can assist you, it is a good sight to be aware of: tompthp@cs.com.
The point is and I know it sounds a bit crazy, but the more they keep selling the more money there is to invest. Yesterdays 2yr. auction was easily sold even with yields at very cheap levels. Today 5yr. notes and tomorrow 7yr. notes.
Until capital moves away from treasuries and other low risk assets, rates will remain at obscenely low levels. It was pointed out to me over the weekend that if you subtract the CPI from the fed funds rate you have negative real interest rates of something like -2.5% in the short end. This cannot last. Fed meets today, and they likely will not change a thing, they meet again in April, and then again in June. By June they probably will have signaled something.
Price action remains firm, equities still struggling and that certainly keeps a bid in the longer end of our debt market. There was pretty good action in 2yr. note options, likely hedges for the note auction. The 107.7 through 109 puts in Mar traded about 44K total and open interest rose in those strike by around 20K pushing total open interest in the Mar. puts to over 80K. Players list below does not capture the total volumes that traded but clearly indicate the trades involved put structures targeting a move towards 10808 vs. Mar. 2yr. futures.
More later.
Players courtesy of Geocities from tuesdays session.
| 10yr. | |||||
| 006 | Bot | 500 | H15/16/17p Fly | 7-8 | 11726-26+ |
| 092 | Bot | 1000 | H16p | 11 | 11727+-28+ |
| 116 | Bot | 2000 | H18+/19c | 12 | 11801-01+ |
| 287 | Bot | 1000 | H15/15+p | 3 | 11730-31 |
| 323 | Bot | 3000 | H16/17p | 13 | 11800+-01 |
| 560 | Bot | 2000 | M-14p/+18+c Combo | 1 | |
| 560 | Bot | 2000 | H15+/17p | 19 | 11726-26+ |
| 660 | Bot | 1000 | K+16p/H-18p Diag | 35 | 11730-31 |
| 685 | Bot | 500/700 | H17/17+p H-14/15+p | 11/5 | 11800-00+ |
| 685 | Bot | 500 | H18+/19/19+c Tree | Even | 11730-30+ |
| 685 | Bot | 1000 | M16+ Stdl | 324 | ^M11610 |
| 714 | Bot | 1500 | H16+p/19c Combo | 1 | 11728-28+ |
| 714 | Bot | 2000 | H15/16p | 7 | 11729+-30 |
| 714 | Bot | 2000 | H18+/19c | 10 | 11724+-25 |
| 830 | Bot | 1000 | H17p | 23 | 11801+-02+ |
| 287 | Sold | 500 | H17+/18+/19c Fly | 21 | 11726-26+ |
| 370 | Sold | 10000 | H18+/19c | 12 | 11801+-02+ |
| 370 | Sold | 7000 | H16p/20c Stgl | 16 | 11731-31+ |
| 560 | Sold | 1500 | M12p/19c Stgl | 103 | 11727-28 |
| 660 | Sold | 1500 | H17+c | 62 | 11729+-30 |
| 660 | Sold | 1000 | H16p/20c Stgl | 16 | 11726-28 |
| 685 | Sold | 1500 | H17p | 23 | ^H11801-11802 |
| 714 | Sold | 500 | H18/19+c 1x2 | 23 | 11801-01+ |
| Local | Trade | 1500 | H18+/19+c | 21 | ^H11802+ |
| 2yr. | |||||
| 116 | Bot | 1000 | TuH8.2/8.7p | 5+ | |
| 370 | Bot | 1000 | TuH8.2/8.7p | 5+ | |
| 370 | Bot | 3000 | TuH7.7/8.2/8.7p Fly | 4 | |
| 560 | Bot | 500 | TuH7.7/8.2/8.7p Fly | 4 | |
| 709 | Sold | 1000 | TuH 8.2/8.5/8.7p Fly vs H09.2c | Even |
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