In 10yr. option trade several houses were selling April 116 puts vs. buying April 115 puts and April 114 puts for a .13 credit. They were doing the same strategy vs. the May expiry for flat. Open interest shows the April trades were liquidating and the May trades were new. They were therefore covering a bearish trade in April, and implementing a bullish trade in may, perhaps expecting the June futures to climb above 116’00. There was also additional strangle selling involving the 114 put and 119 call in both May and June. Complete list of players unavailable at this time. If any requests for specific data please email me at tompthp@cs.com.
The rest of the Option pits in treasuries were fairly tame, we did note some strangle selling in 30yr. options which is sort of new. Trading volume in Mar. futures was soft at 790,000, open interest declined by 120K. June futures traded around 200K and open interest rose 138K so net the market added around 18K in mostly sideways price action.
Chart below shows June prices have bounced above 11517 area which is a 50% retracement of recent up move. I will be looking for the heavey auction schedule to provide more impetus for downside activity, however with month end approaching this Friday, may have to use a buy stop to protect current short position if prices fail to test 115’17 and recent low at 11514.5. Will have more later, spread activity will continue to dominate activity today as June futures go front month Friday.
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