Chart below shows extreme neutral price action. Early in yesterdays session rumors which turned out to be false regarding confidence numbers helped push prices a bit lower prior to 9:00 a.m.c.s.t.. Once the data came out below the rumors prices moved a bit higher and remained in a small range the balance of the day. Open interest did decline mildly by around 5K and currently stands at 1,500K
Today brings the month end duration trade, however for treasuries the extension was .06 not all that much. For MBS however the extension was .13, so there could be some buying in the long end based on that. On the other side I am expecting strong Chicago ISM data to put some downward pressure initially, however keep in mind that the month end buying usually continues right into the final hour, so will not expect too much further downside action until tomorrow and Friday. Keep in mind trade may thin out quite a bit for the balance of the week, but do remain vigilant at all times.
Larger flows in 10yr. opts. listed below. See notes on large Sep. Trade initially.
Sorry the Below open interest data is Sept. 10yr. Calls not Puts will change post later.
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