Treasury Trading Update

Mar. 10yr. futures are trading  zzzzzzzzzzzzzzz  Quietly, shhhh you’ll wake the baby. What is going on are the calendar spreads are trading for pretty good size today. Looks like the 10yr. roll has narrowed by a quarter tick so far. With June moving to the front month position this Friday that activity will be rather substantial this week. Coming into today’s session there were 1,230,019 open positions in the Mar. 10’s and 111,493 in June.

Mar. 5yr. futures had 859,756 open positions coming into today’s session, June has 87,053.

Mar. 2 yr. futures had 894,501 open positions coming into today’s session, June has 115,879

Mar. 30’s had 604,117 and June had 66,651.

 

Some of the larger calendar spread trades from this a.m.’s session are listed below.

TY Calendar				Tails
Smith B	S	1,000	TYH/M		45.7
Barclay	B	500	TYH/M		45.7
Barclay	B	1,000	TYH/M	35+ 117'05	45.7
J.P. Morg	S	969	TYH/M	64- 117'07	45.5
Gelber	S	1,000	TYH/M		45.5
Smith B	S	1,442	TYH/M	76-11706.5	45.5
TU Calendar
Screen	B/S	7,000	TUH/M		17.7
Merril/Boa	B	3,000	TUH/M
FV Calendar
TJM	S	1,500	FVH/M		37.5
Smith B	S	3,000	FVH/M		37.2
Smith B	B	2,500	FVH/M		37.2
J.P. Morg	S	2,777	FVH/M	153- 11601.5	37.2
Smith B	B/S	5,000	FVH/M		37.2
US Calendar
Mann	B	2,000	USH/M		47.5
Smith B	S	1,000	USH/M		47.5
Screen	B/S	4,500	USH/M		47.5
Smith B	S	2,500	USH/M		47.5
Yld. Curve
TUF	S
UBS	S	1,200	TUM		108'12
UBS	B	1,081	FVM		11428.5
TY	Options
RJO	S	1,000	TYK 116 straddles	2.11	^11527
Mann	S	1,500	Apr. 115.5/116 c stupids	1.45 and 1.47	11707.5/08
0	B	1,000	J117/118 cs vs - J113.5p	3	11707.5/08
RJO	S	2,000	J116p	0.59	11707.5/08
Smith B	S	1,000	K114/119 strangles	0.41	11707/07.5
Barcley	S	2,000	J112/114 pspread	0.13	11707.5/08