Does size matter? The eternal question, depends on the liquidity to some extant.
Compare the 2 charts below. The first one is the June 10yr. futures with each bar representing one half hour of price action. You would see the same thing probably on a one minute chart as the price action occurred in a matter of seconds. June none the less has the bragging rates “mine’s bigger than yours”.
Electronic trading with out fiduciaries involved can be quite dangerous at times. June futures probably should not have traded a 2 point range (64 tick) representing $2,000.00 in notional price value, as opposed to a 10 tick range in the Mar. 10yr. future representing a $312.50 in notional price value. It makes no economic sense. For more on this you can see the CME web site CME's website.
As far as activity prices continue to trend higher ever since catching a strong bid around 9:00 a.m. tuesday. Longterm trend line resistance coming in right at current hight (11821.5 vs. the Mar.) and recent hight at 11830 still significant. However I believe current momentum will take us through those levels, perhaps tomorrow. 7yr. auction results due out shortly after 12:00 so what ever you do, don't try to hedge any exposure with June futures around that time.
Some of the larger flows in 10yr. options listed just below.
| 10yr. | |||||
| 0 | B | 3,000 | J115p | 0.1 | 11704/04.5 |
| 0 | S | 3,000 | K112.5/114.5ps | 0.11 | ^11711 |
| RJO | B | 1,000 | K115.5p | 0.14 | 11708.5/09 |
| RJO | B | 2,000 | K115.5p | 0.16 | 117/02/03 |
| 0 | S | 1,000 | J117 straddles | 1.37 | ^11706 |
| JP Morg | S | 1,000 | J117 straddles | 1.36 | ^11704 |
| 0 | S | 4,000 | K114/119 strangles | 0.35 | 11704/06 |
| Mann | B | 2,000 | M118/119 cspreads | .22 and .23 | 11701 to 06 |
| CCM | B | 4,000 | M115/119 combos put over | 0.01 | 11703/04 |
| Mann | B | 2,000 | J114/115 p spread | 0.06 | 11700/01 |
| J.P. Morg | S | 2,000 | J115.5p | 0.17 | ^11711 |
| J.P. Morg | S | 2,000 | J115.5p | 0.16 | ^11712 |
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