Major player going through house 714 (New Edge used to be Fimat) has been aggressively playing the no tightening by the Fed scenario in FF options rather successfully. Yesterday they continued that strategy putting on new positions vs. the Jan. 11 options. They are not alone other firms are doing this as well. Take a look at some of the open interest changes from yesterdays activity below.
In the longer end 10yr. prices eased down a bit yesterday despite further problems with Greek Debt. Heavy corporate and sovereign supply calendar was cited. There was also a rumor out yesterday from a think tank that said the fed would keep the language exactly the same at next weeks FOMC meeting on the 27th and 28th. This is what the big money is doing they are relying on a very Japanese like situation for now. The recent flare up at Goldman is a good reminder of how tentative things are and how quickly the financial system can tumble.
Open interest continues to build in the 10yr. futures up another 20K yesterday. Support is right here in terms of yields with 3.82% being a prominent peak back on the 19th of Feb. Recent price action did see yield test 4% before pulling back to 3.75% so to me it still seems the path of least resistance in the long end is for yields to probe higher, despite what the big money is doing in the short end.
Larger plays in Treasury and Fed Fund options from Tuesdays session.
| 10yr. | |||||
| 287 | Bot | 500 | K 15/16 P SPD | 3 | 11626/26+ |
| 287 | Bot | 500 | M 15P | 14 | 11624/24+ |
| 287 | Bot | 500 | K17C | 9 | 11623 |
| 560 | Bot | 2000 | +M 18+C /-K17C | 1 | 11623 |
| 560 | Bot | 3000 | M 17C | 39 | 11623+ |
| 560 | Bot | 3000 | U 110P | 19 | 11624/24+ |
| 660 | Bot | 500 | K 16+ C | 26 | 11623+ |
| 685 | Bot | 2200 | M 14/14+ P SPD | 3 | 11626/27 |
| 714 | Bot | 2500 | M 17+C | 26 | 11623/23+ |
| 714 | Bot | 1000 | M 14P | 8 | 11619/19+ |
| 714 | Bot | 1000 | K 16C | 25 | 11622+/23 |
| 830 | Bot | 500 | M 16P | 30 | 11624/24+ |
| 287 | Sold | 500 | K17+/18C SPD | 2 | 11622 |
| 287 | Sold | 500 | K 16/M 16+ C DIAL | 6 | 11622/23 |
| 287 | Sold | 500 | -M16+C/+K 16C | 7 | 11619/19+ |
| 287 | Sold | 1000 | K 16C/M16+C | 5 | 11624+/25 |
| 560 | Sold | 2000 | U 110P | 19 | 11620+/21 |
| 560 | Sold | 700 | N 12/14P 2X5 | 5 | 11621+/22 |
| 617 | Sold | 1000 | N 15/16 STG | 150 | 11621+/22 |
| 660 | Sold | 4000 | K17P | 30/29 | 11621+/22 |
| 660 | Sold | 1000 | K 16C | 46 | 11621/21+ |
| 685 | Sold | 3000 | M 16+ ^ | 135/134 | 11625 |
| 685 | Sold | 750 | K 16+/17+ STG | 15 | 11620+/21 |
| 690 | Sold | 1000 | M 17+C | 29 | 11626+ |
| 714 | Sold | 500 | M 17^ | 131 | 11624 |
| 714 | Sold | 1000 | M 16P | 31 | 11620/20+ |
| 30yr. | |||||
| 560 | Bot | 2000 | +M 19C/-K 17C | 7 | ^M11617 |
| 006 | Sold | 500 | M 16/17 STG | 155/154 | 11623/24 |
| Fed Fund | |||||
| 287 | Bot | 3500 | Z 75/81 C SPD | 1.2 | Z9956+/57 |
| 287 | Bot | 1000 | X 75 /81 C SPD | 1.2 | X9961+/62 |
| 287 | Bot | 1000 | U 50P | 1.5 | U9971/71+ |
| 287 | Bot | 1000 | Z 25/50 P SPD | 5 | Z 9955+/56 |
| 690 | Bot | 200 | Z 43/50 P STUPID | 14.5/15 | 9956/56+ |
| 714 | Bot | 20000 | F 68/75 C SPD | 3/2.7 | 9950/50+ |
| 714 | Bot | 1000 | Z 25/50 P SPD | 5 | Z 9955+/56 |
| 830 | Bot | 300 | V75/81c | 1.75 | V9968-68+ |
| 915 | Bot | 500 | U 93C | CAB 4 | U9972/72+ |
| 690 | Sold | 500 | U 93C | CAB 4 | U9972/72+ |
| 690 | Sold | 1500 | Z 75/81 C SPD | 1.2 | Z9956+/57 |
| 690 | Sold | 5000 | F 68/75 C SPD | 3/2.7 | 9950/50+ |
| 714 | Sold | 4000 | F 68/75 C SPD | 3 | F9949/49+ |
| 915 | Sold | 200 | Z 43/50 P STUPID | 14/14.5 | 9956+/57 |
| 915 | Sold | 1000 | F 68/75 C SPD | 3/2.7 | 9950/50+ |
| 915 | Sold | 250 | X 75 /81 C SPD | 1.2 | X9961+/62 |
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