Treasury Trading Update.

As intraday 5 minute Bar chart shows below, prices led by the closing of the European session firm up about ¼ point. Trading in US session fairly subdued on the rally, one option trade to note, a dealer buys 2K of the Mar. 116.5 puts vs. 10ry. Futures paying .15 with futures around 11722.5/23.

 

Intraday RSI getting a bit over bought on this rally so will expect prices to pull back from here and probe a bit lower, possibly testing low @ 11710.

 Keep in mind we could well see prices rally into the close in today’s session as fixed income portfolio managers need to add to duration, meaning buy longer dated securities.

Some of the larger flows from earlier in the session are listed below.

1/29/2010
10yr.
House	B/S	Qty	Commodity	Price	Futures
Mann	B	5,000	M120/122csprd	0.14	11715/15.5
Mann	B	500	H118c	0.27	11716.5/17
CSFB	B	500	H118/119/120cfly	0.13	117'17.5/18
Merril	B	500	H115p	0.04	^117'18.5
Locals	B/S	1,000	H115/115.5/116/116.5pcondor	0.04	N/A
Diag	S	2,000	H119c	see below	N/A
Diag	B	2,000	J114.5p	.28 put over	N/A
ED
Deutche B	S	5,000	EDM09925p	4.5 and 4.25	N/A
0	B	2,000	EOH9800/9825psprd	3.5	N/A
0	B	5,000	EOM 65/70/75pfly	3.5	N/A
0	B	1,000	EOH 9850 strad.	0.33	N/A
0	B	3,000	EOG81/83ps w/ 82/85ps strip	8	N/A
Fed Fund
House	Buy/Sell	Quantity	Strike	Price	Futures
830	Bot	1000	Covered 82  K81c	4	^K9982
287	Bot	2000	J50p	.50	J9983-3+
709	Bot	200	J50/75p 1x2	.25	J9983-3+
660	Bot	200	J75/81p 1x2	Even	J9983-3+
714	Bot	2000	K+/N- 81c cal	.75

 Lastly seeing some more activity in the BOB spreads again looking for Duration add need.

-250 118-02 USH

 

+167 123-06 ULH

SOLD BY GOLDMAN

 

 

-275 118-02  USH

 

+175 123-06  ULH