First thing I was keen to look at from Fridays session was the open interest change. We finally did see the market lose about 31K vs. the June 10yr. note futures in open interest. Not all that surprising given the amount we have gained over the last few weeks. Prices rose after Thursday’s session brought in a lot of short hedges against option positions that were becoming quite uncomfortable and no doubt other long positions were being hedged and new shorts were coming into the market in droves.
April options expired Friday. The 116 and higher strikes were exercised to the tune of about 57K. Volume in the May puts was 87K and June traded 71K. Open interest was up 42K and 22K respectively on the prelim report. May calls traded 32K with O.I. up 14K and the June calls trade almost 21K with O.I. up 7.2K. Bears are out of hibernation and they seem hungry. Players are listed below from Friday.
Take a look at some of the Major reports due out this week. The Chicago ISM data is due on Wednesday, followed by the National read on Thursday, both look to be on solid uptrends. Friday we will be open briefly and the Unemployment release comes out. All this stuff should re-enforce a short position, in fixed income via the June 10yr. futures, in my estimation.
For more on reports go to .http://www.cmegroup.com/tools-information/calendars/index.html .
One last Item Greenspan on Friday noted that the indigestion noted in the treasury market auctions this week constituted the proverbial canary in a coal mine. I’m at 01 312 432 5083.
Below are larger flows on treasury options from Fridays session.
| 10yr. | |||||
| 197 | Bot | 500 | K18C | 8 | 11520/21 |
| 287 | Bot | 1000 | K12+/14P SPD | 12 | 11520+/21 |
| 287 | Bot | 1000 | K17/18+1X2 | 11 | 11523/23+ |
| 287 | Bot | 1000 | K13/14/15 PFLY | 8 | 11526+/27 |
| 287 | Bot | 500 | J16P | 8 | 11531/31+ |
| 287 | Bot | 500 | J16C | 5 | 11531/31+ |
| 355 | Bot | 2500 | J16C | 2 | 11523/23+ |
| 355 | Bot | 10000 | K14/16P1X2 WITH M14P | 54 | ^M11530 |
| 560 | Bot | 1000 | M14P | 33 | 11523+/24 |
| 660 | Bot | 500 | M12/14P 1X2 | 8 | 11518/18+ |
| 660 | Bot | 1500 | M17C | 35 | ^M11520 |
| 660 | Bot | 500 | J15+/16 STG | 5 | 11526+/27 |
| 660 | Bot | 1000 | M121+C | 2 | 11527/27+ |
| 660 | Bot | 3500 | M13P | 19 | 11528+/29 |
| 685 | Bot | 1500 | K15P | 38 | 11519+/20 |
| 690 | Bot | 1000 | J16P | 4/5 | ^M11600 |
| 709 | Bot | 500 | M13P | 24 | 11517/17+ |
| 709 | Bot | 3000 | K13/15P | 27 | 11519/20 |
| 709 | Bot | +1K-4K+2K | +M10P/-M12P/+M14P | 18 | 11531+/00 |
| 714 | Bot | 6000 | M14+/15P SPD | 11 | 11520+/21 |
| 714 | Bot | 1500 | K13+P | 13 | 11521/21+ |
| 714 | Bot | 500 | K17/18+C 1X2 | 10 | 11518+/19 |
| 714 | Bot | 4000 | K13+P | 13 | 11521+/22 |
| LOCAL | Bot | 500 | K/14/19COMBO | 3 | ^M11524 |
| 197 | Sold | 5000 | J15+P | CAB 3 | 11529+/30 |
| 197 | Sold | 1000 | M18C | 21 | ^M11530 |
| 287 | Sold | 1000 | M14P | 28-31 | 11527+/2830+ |
| 370 | Sold | 2000 | K13P | 7 | 11528/28+ |
| 660 | Sold | 1000 | U111P | 55 | 11516+/17 |
| 660 | Sold | 1500 | K16P | 49 | 11600/00+ |
| 660 | Sold | 500 | K16+P | 101 | 1160+/01 |
| 660 | Sold | 1000 | M17C | 41 | ^M11600 |
| 690 | Sold | 2000 | K16^ | 135-36 | 11529+/30 |
| 714 | Sold | 1000 | K15+^ | 141 | ^M11522 |
| 714 | Sold | 500 | M15+^ | 216 | 11528+/29 |
| 714 | Sold | 500 | J16/16+/17C FLY | 2 | 11529+/30 |
| 714 | Sold | 2000 | K15/16+P | 41-42 | 11529/31 |
| 830 | Sold | 500 | K-12/19c Combo | 3 put | ^M11517 |
| 30yr. | |||||
| 006 | Bot | 1000 | J16C | 1 | 11504/05 |
| 287 | Bot | 500 | K12/15P SPD | 53 | ^M11508 |
| 287 | Bot | 1000 | K16C | 60 | ^M11516 |
| 660 | Bot | 1000 | M111P | 30/31 | 11501/02 |
| 560 | Sold | 1000 | M18C | 42 | 11510/11 |
| 2 + 5yr. | |||||
| 006 | Bot | 5000 | K16C | 6 | |
| 355 | Bot | 3000 | K110+P | 1 | |
| 690 | Bot | 6000 | TU M 108.5/108.7C SPD | 6 | |
| 355 | Sold | 3000 | TU M 108P | 8 | |
| 714 | Sold | 1000 | TU M 108+C | 1/1+ | |
| Fed Fund | |||||
| 006 | Bot | 2500 | X68/75 C 1X2 | 1.7 | X9952+/53 |
| 287 | Bot | 1000 | Z 75/81 C SPD | 1 | Z9944+/45 |
| 287 | Bot | 1000 | X75/81 C SPD | 1 | X9952/52+ |
| 287 | Bot | 1000 | K62P | .25 | K9979/79+ |
| 690 | Bot | 200 | X50/56P STUPID | 25 | X9952/52+ |
| 714 | Bot | 10000 | X 68/75 C 1X2 | 1.7 | X9952/52+ |
| 714 | Bot | 1500 | X62/75 C SPD | 5.7/6 | X9952/52+ |
| 714 | Bot | 5000 | X75/81 C SPD | 1 | X9952/52+ |
| 714 | Bot | 250 | X75/81/87CFLY | .7 | X9952/52+ |
| 714 | Bot | 500 | X75C | 1.2 | X9952+/53 |
| 915 | Bot | 500 | K75P | .75 | K9979/79+ |
| 915 | Bot | 200 | M62/75P1X2 | .50 | M9978/78+ |
| 287 | Sold | 1000 | K75P | .75 | K9979/79+ |
| 690 | Sold | 2500 | X68/75 C 1X2 | 1.7 | X9952/52+ |
| 690 | Sold | 250 | X 62/75 C SPD | 6 | X9952/52+ |
| 690 | Sold | 1000 | X75C | 1.2 | X9952/52+ |
| 690 | Sold | 1000 | X 68/75 C 1X2 | 1.7 | X9952+/53 |
| 690 | Sold | 2000 | X 75/81 C SPD | 1 | X9952+/53 |
| 690 | Sold | 300 | Z 50C | 12.5 | Z9945+/46 |
| 714 | Sold | 500 | X75C | 1.2 | X9952+/53 |
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