Treasury Trading Update.

Headlines this morning that Moody’s and Standard and Poor will likely lower Greece’s debt rating in the next couple of months has the Euro tumbling. Dramatic resistance in Greece to proposed budget cuts, has now raised the stakes in the game and brought about fresh threats by the ratings agencies.  Portugal is now being looked at. How dire is Portugal’s situation compared to Greece’s it depends on the budget plan they come up with that gets their debt level within the 3% of GDP target mandated by the ECB. That plan could come as early as today according to Bloomberg, but don’t hold your breath. The euro is currently trading at a 1 year low v.s the dollar @ 1.34. Contagion is the fear of the day.

What this means for treasuries, the perception of safety, the reality of liquidity has bid prices up currently trading 11813 vs. the Mar. future and 11631 vs. the June. June contracts have now taken out the 2/16 high of 11629.5 and now look to test the high at 117’16 from 2/5. The MACD looks poised to cross back up thus confirming upside momentum will pick up. Again there is a reasonable argument that no matter where we settle today, after Fridays session prices will be above that level, again due to month end extension of duration on bond indexes, therefore one  should be able to scalp the market buy buying any dips as upside move seems more likely today and tomorrow.

June futures have now over taken Mar. in terms of open interest in all treasury futures. Mar. 10’s for example now have 586K and June has 887K. Note further that net open interest rose quite a bit in all futures, 10’s had an increase of 70K after yesterday, 5’s rose by 60K, 2’s rose by 8.6K and 30’s rose by 28K.

I will skip the pictures today, players are listed below form yesterday, I would say the strangle selling in 10’s was once again the dominant theme. And again would look for some further upside and possible test of the 2/5 high. Otherwise readings are coming back to neutral.

10yr.
287	Bot	4000	M121C	11	11624+-25
370	Bot	5000	K18C	33	^M11620
370	Bot	2000/5300	K+15+p/J-14+p	38 /9	11626/27
560	Bot	2000	K18+C	24	11619+-20
560	Bot	1000	M+16P  M-120 C COMBO 1X2	35	^M11619
660	Bot	500	K16^	216	^M11625
660	Bot	700	J115p	13	11806+/7
660	Bot	4000	M13p	22	11921-22
709	Bot	1000	K16+/17  ^ STUPID	420/421	^M11618
709	Bot	500	M117^	244	11807+/8
714	Bot	1000	M16+^/M17^ Stupid	525/526	11807/8
830	Bot	4000	J 14/19 COMBO BOT CALL	3	^M11626+
830	Bot	1000	J117^	136	11806+/7
830	Bot	1500	M121c	10	11619/20
370	Sold	6500	K14/19 STG	34	11619+/20
370	Sold	1000	M 18+C	43	11628+/29+
370	Sold	2515/950	J-14+P K+15+p	10/41	11620/22
685	Sold	3000	J15p	13	^H11805+
685	Sold	2000	J15p	12	^H11807/07+
685	Sold	500	K116p	45	^M11628
714	Sold	4000	M 115P	46	^M11620
714	Sold	2500	k12+/14+p	14	11627-28
5 and 2yr
370	Bot	1000	J16c	19
560	Bot	500	J+17+/18/18+p FlyM17/17+/18P Fly Stupid	9
714	Bot	5000	Two-M108+p	22
287	Sold	1000	Two-yr. M08p	11
714	Sold	2000	J16c	16+
714	Sold	2000/2500/2000	J-16+c J-14p J+15p
287	Sold	1000	Two-yr. M08/08.25p Stupid	25
30yr.
560	Bot	2k	M116p	161/162	11623-24
287	Bot	600	J 18/19c	17	11619-20
287	Bot	500	J120/122c	10	11619-20
Fed Fund
287	Bot	3000	K50 p	.25	K9981-81+
287	Bot	600	J+81p/K-75p Diag	.2
660	Bot	2000	K62p	.50	K9981-81+
690	Bot	500	N87c/J87c Stupid	.50
690	Bot	500	J87c	.25	J9983+-84
690	Bot	500	J+81p/-87c Combo	1	J9983+-84
690	Bot	500	Q 75/87p 1x2	2	Q9973-73+
690	Bot	500	K75/81p	1.5	K9981-81+
690	Bot	250	N 43/50 p Stupid	2	N9977-77+
714	Bot	250	X50p	11	X9956-56+
830	Bot	5500	K75/81p	1.5	K9981-81+
660	Sold	5000	K75/81p	1.5	K9981-81+
690	Sold	300	N 75 ^	9.5	N9977-77+
690	Sold	250	K50 p	.25	K9981-81+
690	Sold	250	J81 Stdl	4.75	J9983+-84
714	Sold	2000	Q75 P	6.7/6.2	Q9973-73+
714	Sold	1000	X50p	11	X9956-56+
815	Sold	500	K62p	.50	K9981-81+
825	Sold	500	K62p	.50	K9981-81+
915	Sold	500	K75/81p	1.5	K9981-81+