After looking at the open interest picture from Fridays session it’s not too surprising to see prices pulling back a bit this a.m.. After a heavily advertised month end extension bid came into the market and prices indeed trading firm through out the session open interest declined over all by 47K after making some sharp gains earlier in the week. June futures now hold1.253 million contracts and Mar. is down to 179K. April puts led the volume in option trade with 70K contracts trading followed by May puts trading 48K and June puts trading 31K. April, May, and June call options all traded under 20K each.
Charts below confirm price action has upward momentum. This will probably be the last time I pull up a March chart for reference as all the action is now in June. I will be showing a yield chart later this week and this is where one can focus in terms of developing some trades in the 7 to 10yr. sector of the curve. Lastly in case you missed it and maybe have a little bit of an Olympic hockey hangover, please enjoy this interview http://financialfutures.typepad.com/kiss/2010/02/as-they-used-to-say-on-monty-python.html .
A view of Mar. still paints a more normal liquid picture today, but June will take over from here.
Option plays in 10's from Friday below.
| 197 | Bot | 3000 | J17p | 38-39 | 11710+-11 |
| 287 | Bot | 500 | M120C | 24 | 11707 |
| 350 | Bot | 1000 | M 120 c | 26 | 11711/+-12 |
| 370 | Bot | 4000 | J14+p | 6 | 11708/11 |
| 374 | Bot | 2000 | J15/16p1x2 | 3 | 11707+-08 |
| 660 | Bot | 500 | J13+/15/16+p Fly | 13 | 11712+-13 |
| 660 | Bot | 1000 | J/k117^ Cal | 37 | 11710/12 |
| 660 | Bot | 1000 | M12p | 20 | 11714+-15 |
| 685 | Bot | 3500 | M15+p | 40 | ^M11714+/^M11715 |
| 714 | Bot | 1000 | K12/14p | 7/8 | 11709+-10 |
| 714 | Bot | 1000 | K17^ | 207 | 11710/11 |
| 714 | Bot | 1000 | K15/16p | 14 | 11714+/15 |
| 714 | Bot | 3000 | J15/16/17p Fly | 9 | 11716+-17 |
| local | Bot | 500 | K16/16+^ SPD | 10 | 11705 |
| 287 | Sold | 2000 | J17+c | 44 | 11711+-12 |
| 287 | Sold | 1000 | K15+/16+p1x2 | 5 | 11714+ |
| 287 | Sold | 500 | J18c | 33/32 | 11713+/14 |
| 370 | Sold | 500 | M14/19 | 62 | 11710-10+ |
| 370 | Sold | 5000 | K14/19 Stgl | 36/35/37 | 11712+-13 |
| 370 | Sold | 7000 | M14/19 Strngl | 62/100 | 11713+-14 |
| 660 | Sold | 500 | J17^ | 135 | 11708 |
| 660 | Sold | 1000 | M19+/21+c | 21 | 11710+/11 |
| 684 | Sold | -1000/+2000 | -J17^ +K13/19 STG | 39 | 11707/+-08 |
| 685 | Sold | 500 | M18/21/21+c Tree | 38 | 11707 |
| 685 | Sold | 500 | K17+^ | 205 | 11714+ |
| 714 | Sold | 4000 | K12/14+p | 11 | 11709 |
| 714 | Sold | 1000 | K12/14+p | 11 | 11710-10 |
Comments