Market now very poised to test highs from mid march, 117’17.5 is the initial target from 3/18/10. Last week, on the 14th we saw decent liquidation in futures contracts of around 47K. The next day, thursday the market held steady in terms of open interest, on Friday’s strong rally the open interest rose again. This tells me there is still a lot of fuel in the market and with prices currently trending higher and a troubling, delicate financial sector, I’m very aware treasuries could move higher from here. A move to 118’00 and beyond is certainly in the cards and I would play for that. That means any short positions should be liquidated or hedged with options.
A recovery in equities and commodity prices will probably be necessary to put upward pressure on yields. I will have more a bit later today.
Surprisingly put volume was 162K in June 10yr. options, 114 put open interest now up to 182K as players continue trend started
last week of targeting a move to that area.
| 10yr. | |||||
| Local | Trade | 1000 | K 14+P | 1 | 11702/03 |
| 287 | Bot | 1000 | K 17+C | 14 | 11705+/06 |
| 287 | Bot | 1000 | M 13/14/15 P FLY | 4 | 11703/04 |
| 287 | Bot | 750 | K 17/17+ C 1X2 | 3 | 11630/30+ |
| 355 | Bot | 4000 | K 17P | 20 | 11706 |
| 370 | Bot | 2500 | M 13/14/15 P FLY | 4 | 11703/04 |
| 660 | Bot | 5000 | M 114P | 9 | 11621+/22 |
| 660 | Bot | 10000 | M 14+/15+/16+ P FLY | 9 | 11702/02+ |
| 684 | Bot | 500 | K17+/18 C SPD | 8 | 11704/04+ |
| 714 | Bot | 1000 | M19c | 11 | 11630+/00 |
| 287 | Sold | -1k/+3k | k-16+^ m+14/19 stg | 1 | 11630/00 |
| 287 | Sold | 2000 | K 19C | 19 | 11629/30 |
| 287 | Sold | 500 | M 17C | 59 | 11704/04+ |
| 287 | Sold | 5000 | M 15/16/17 P TREE | 9 | 11700/01 |
| 370 | Sold | 1000 | M 15/19 STG | 27 | 11701/01+ |
| 684 | Sold | 2000 | K 17+ C | 8 | 11629/30 |
| 684 | Sold | 1000 | K 17+C | 12 | 11702+/03 |
| 684 | Sold | 1500 | M 17^ | 144/143 | 11630/30+ |
| 30yr. | |||||
| 287 | Bot | 500 | K 18/19 C SPD | 8 | 11627 |
| 355 | Bot | 500 | K 115P | 4 | 11629 |
| 560 | Bot | 1000 | K 16C | 53 | 11617 |
| 684 | Bot | 500 | K17/20 C CONDOR | 10 | 11610/11 |
| 690 | Bot | 1500 | FLEX 11700 C EXP TODAY | 1/2 | 11615/16 |
| 660 | Sold | 3000 | FLEX 11700 C EXP TODAY | 1/2 | 11615/16 |
| 660 | Sold | 1000 | FLEX 11600P EXP TODAY | 2 | 11608/09 |
| 830 | Sold | 500 | M116^ | 232/231 | 11612 |
| 2 + 5yr. | |||||
| 355 | Sold | 1000 | -K 15^ +M 14/15P SPD | 11/12 | |
| 350 | Bot | 3000 | K 14+P | 3 | |
| 660 | Sold | 2000 | k 15/15+/16 c fly | 10 | |
| Fed Fund | |||||
| 287 | Bot | 3000 | U 75P | 5/5.2 | U9972/72+ |
| 287 | Bot | 500 | U 50/62P SPD | 1.5 | U9972/72+ |
| 287 | Bot | 1500 | U 93 C | CAB 5/4 | U9972/72+ |
| 617 | Bot | 1000 | U 75P | 5.2 | U9972/72+ |
| 690 | Bot | 150 | X81c | .25 | X9963-63+ |
| 830 | Bot | 1000 | V 75/81 C SPD | 1.75 | V9968+/69 |
| 690 | Sold | 650 | U 75P | 5.2 | U9972/72+ |
| 714 | Sold | 500 | X75c | 1.5 | X9963-63+ |
| 915 | Sold | 1350 | U 75P | 5/5.2 | U9972/72+ |
Comments