As the disclaimer notes “the information in this report is for information purposes only and the sources for this information including the exchanges themselves are deemed reliable by the writer, although no warranty as the the accuracy of the information is being made.
In yesterdays report I noted open interest up 25,000 at 1,553,104. I obtain this information from the CME group website http://www.cmegroup.com/daily_bulletin/Section42_10YrNote_5yrNote_2yrNote_30YrBond_Options_2010057.pdf . This number was incorrect obviously, and I apologise for not noticing. They were having trouble with the sight and did not publish the data until very early the following day, so in my haste I missed a glaring error.
Not so bad though, bottom line is open interest did indeed rise from 1,480K Tuesday to abount 1,500K Wednesday, and yesterday rose around 30K more. I must stress that since the final revisions do not come out until later today, these types of errors will continue. But unless there is anything totally out of the ordinary I will continue to work with the preliminary data. Thi important point is open interest continues to rise, this must be noted.
Having said that 10yr. yield soared again yesterday with prices of 10yr. futures making session lows shortly after the auction results. Prices currently off that low trading around 11529. I am still contending prices will be lower, from current levels come early June, and the way the volume and open interest is behaving on this down move my confidence becomes stronger each day. I will look to continue to scale into a core short position in this market on any rallies.
If you are not short this market above 117’00 and are looking for spots to get in and where to put protection, you can call me at 01 312 432 5083 for a consultation.
Below is a listing of option flows from yesterday. Note Fimat still betting heavily against any tightening via their activity in Nov. Fed Fund Options. Some good 2 way flow in 10yr. options also with cheap plays on some OTM options. April options expire today. Heavy liquidation in April put options the 116 strike open interest is down form 60K earlier this week to close to 30 heavy buying in that strike no doubt exacerbated the move down yesterday. You may want to click the link above and take note.
| 10yr. | |||||
| 092 | Bot | 1000 | J16+C | 4 | 11531/31+ |
| 197 | Bot | 1000 | K13+/14+/15+TREE | 6-7 | 11528/29 |
| 197 | Bot | 500 | M15/16P SPD | 30 | ^M11514+ |
| 281 | Bot | 500 | J16C | 12 | 11528+/29 |
| 287 | Bot | 1000 | K19C | 4 | 11531/31+ |
| 287 | Bot | 5000 | J16+C | 1-2 | 11513/23+ |
| 287 | Bot | 1500 | J15p | 4 | 11517+/18 |
| 287 | Bot | 2000 | J16C | 4 | 11514+/15 |
| 287 | Bot | 700 | J15/16P1X2 | 22 | 11519+/20 |
| 355 | Bot | 3000 | K15P | 34 | ^M11529 |
| 374 | Bot | 500 | M15+/17C SPD | 45 | 11517+ |
| 560 | Bot | 1250 | M16+^ | 223 | 11600 |
| 660 | Bot | 1500 | J16P | 17 | ^M11600 |
| 660 | Bot | 1000 | J15+P | 8 | 11526/26+ |
| 660 | Bot | 500 | J15/17 STG | 4 | 11524/24+ |
| 660 | Bot | 1000 | K13/13+P | 4 | 11522/22+ |
| 714 | Bot | 5000 | J14+P | 1 | 11530+/31 |
| 714 | Bot | 3000 | K14+P | 26 | 11528/28+ |
| 714 | Bot | 2000 | K14P | 17-18 | 11530+/11600 |
| 714 | Bot | 500 | J16/16+/17C FLY | 6 | 11525/25+ |
| 714 | Bot | 1000 | J15+P | 11 | ^M11518+ |
| 737 | Bot | 600 | K14/14+P | 7 | 11528/29 |
| 737 | Bot | 500 | J16P | 17 | ^M11531+ |
| 197 | Sold | 2000 | K16+C | 34 | 11526/26+ |
| 287 | Sold | 1000 | K16C | 55 | 11600+/01 |
| 287 | Sold | 1500 | M17C | 44 | ^M11530 |
| 287 | Sold | 1000 | K16C | 54 | 11530+/31 |
| 287 | Sold | 1000 | M17C | 41 | 11528+/29 |
| 287 | Sold | 1000 | J15+P | 9 | 11525/25+ |
| 287 | Sold | 1500 | U11P | 55 | 11517+/18 |
| 355 | Sold | 5000 | -K16C/+17C 1X2 | EVEN | 11600/01 |
| 370 | Sold | 4000 | J15p | 4 | 11514/14+ |
| 560 | Sold | 1000 | M17C | 42 | 11529/29+ |
| 560 | Sold | 5000 | j15/16p spd | 33 | 11514 |
| 660 | Sold | 500 | K15/16C | 38 | 11529+/30 |
| 660 | Sold | 1000 | M16^ | 220 | 11531+/00 |
| 660 | Sold | 2000 | M17C | 34 | ^M11518 |
| 685 | Sold | 500 | M14/18 STG | 54 | 11517+/18 |
| 709 | Sold | 750 | J14+/15+P | 8 | 11513/14 |
| 714 | Sold | 1000 | J15P | 4 | 11517+/18 |
| 737 | Sold | 1700 | J16^ | 27/28 | 11531+ |
| 737 | Sold | 500 | J16P | 34 | ^M11517 |
| 30yr. | |||||
| 006 | Bot | 2000 | J13p | 1 | 11507/8 |
| 006 | Bot | 500 | M115^ | 336 | 11505/06 |
| 148 | Bot | 500 | K18/20c | 15 | 11507/8 |
| 287 | Bot | 1000 | K13P | 29 | 11517/18 |
| 560 | Bot | 1500 | K17/19/120 C TREE | 24 | 11526/27 |
| 560 | Bot | 2500 | J14p | 4 | 11508/9 |
| 560 | Bot | 500 | K19/20 C SPD | 5 | 11507/08 |
| 560 | Bot | 800 | J15/16P SPD | 41 | 11506 |
| 732 | Bot | 1000 | K19/20 C SPD | 5 | 11501/02 |
| 006 | Sold | 1000 | J14p | 3/4 | 11506-07 |
| 116 | Sold | 2000 | M13/15P SPD | 42/44 | 11524/25 |
| 370 | Sold | 1000 | J115C | 22 | 11506/07 |
| 560 | Sold | 1000 | M16P | 213 | 11503/04 |
| Fed Fund | |||||
| 001 | Bot | 100 | X 68/81C SPD | 3.2 | |
| 287 | Bot | 500 | M62P | .50 | M9978/78+ |
| 287 | Bot | 100 | Q 75/81 C 1X2 | 1.5 | Q9971/71+ |
| 287 | Bot | 750 | Z75/81 C SPD | 1 | Z9944+/45 |
| 690 | Bot | 300 | X 50/56P STUPID | 22 | X 9951+/52 |
| 690 | Bot | 2000 | Z 75/81/87C FLY | 1 | Z9943/43+ |
| 690 | Bot | 300 | X 68/75 C SPD | 2.2 | X 9951+/52 |
| 690 | Bot | 500 | Z 75/81 C SPD | 1.2 | Z9943/43+ |
| 690 | Bot | 700 | X68/75C SPD | 2.2 | X9950/50+ |
| 690- | Bot | 2000 | X81/87 C 1X2 | .25 | X9952+/53 |
| 714 | Bot | 800 | X 75/81/87C FLY | 1 | X 9951+/52 |
| 714 | Bot | 6000 | X68/75C SPD | 2.2 | X9950+/51 |
| 714 | Bot | 8000 | X 62/75C SPD | 5.2/5.7 | X9950/50+ |
| 714 | Bot | 5000 | X68/75C 1X2 | 1.2/1.5 | X9951/51+ |
| 915 | Bot | 500 | Z 75/81/87C FLY | 1 | Z9943/43+ |
| Local | Bot | 500 | M 62/75P 1X2 | .50 | M9978/78+ |
| 690 | Sold | 750 | X 75/81/87C FLY | 1 | X 9951+/52 |
| 690 | Sold | 700 | X68/75C SPD | 2.2 | X9950/50+ |
| 690 | Sold | 15000 | X68/75C SPD | 2.2/2.7/3 | X9949+-50+ |
| 690 | Sold | 800 | X62/75C SPD | 5.25 | X9950/50+ |
| 690 | Sold | 3000 | X68/75C 1X2 | 1.2/1.5 | X9951/51+ |
| 690 | Sold | 2000 | X81/87 C 1X2 | .25 | X9952+/53 |
| 714 | Sold | 1000 | X 50/56P STUPID | 22 | X 9951+/52 |
| 714 | Sold | 500 | M62/75 P SPD | 1 | M9978/78+ |
| 2+5yr. | |||||
| 444 | Bot | 2000 | TU M108.2p | 15+-16+ | |
| 714 | Bot | 1000 | TU K107.7/08/108.2p Fly | 2+ | |
| 287 | Sold | 1000 | K115c | 25-24+ |
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