Treasury Trading Update.

Although there are anomalies at times, it is worth keeping an eye on what commodity prices are doing. Grain prices have recently rallied on reports of large purchases out of Asia. Palladium is quite strong, as is copper, gold, meats and so on. Oil has been volatile but is still quite near recent highs for the year. Charts below show CRB index and 10yr. yields. The dates with the exception of the Mar. 26 price action very clearly show a high correlation. Important inflation data today along with weekly pulse on job applications.

Unfortunately I was not able to access the volume and open interest figures this a.m. but will check them when I get to my down town location. I will expect yields to tick up a bit today. More later.

 

 

I noted earlier http://financialfutures.typepad.com/kiss/2010/03/treasury-trading-update-37.html that yields got a bit ahead of themselves in terms of what commodity prices were doing. Obviously a much hotter fast money world event driven market will do this. But this strong fundamental relationship requires carefull attention.

Players in Fed Fund and treasury options from yesterday listed below.

10yr.
287	Bot	500	U 14/17+ STG	155	11628+/29
374	Bot	1000	K 17+C	6	11702+/03
660	Bot	1000	K 17C	10	11627
660	Bot	500	K/M 17C CAL	33	11700/00+
660	Bot	500	K 17/M 17+ C DIAL	18	11700+/01
685	Bot	1000	M 16P	27	11627+
685	Bot	1250	M 14/14+ P SPD	3	11626/27
714	Bot	3000	M 15P	13	11628/28+
714	Bot	2000	K 16+/17P STUPID	17/18	11701
714	Bot	1000	K 17+C	4	11631+/00
714	Bot	+800/-2400/+1200	M 14/15/16P FLY	7	11702/02+
714	Bot	+1800-5700+2850	M 14/15/16P FLY	5/11/24	11700+/02
815	Bot	1500	M 17+C	34	11700+
287	Sold	500	M15+/17+/19+ C FLY	51	11629/30
287	Sold	1000	M18C	23/24	11702/04
560	Sold	3000	U10/122 COMBO	EVEN	11517
685	Sold	500	M 17+/18+ C 1X2	6	11702/02+
714	Sold	500	-U 15^/+M 17^	155	11628+/29
714	Sold	2000	K 17+C	4	11700
830	Sold	1000	M 18C	19	11629/30
830	Sold	5000	M 15P	13	11626+
LOCAL	Sold	600	M 14/15/16P TREE	8	11628/28+
30yr.
685	Bot	1500	M 113P	8	11713/14
685	Bot	1500	M 121C	9	11713/14
2 + 5yr.
370	Bot	1000	K15c	14/14+
714	Bot	1500	TU M108+ Strdl	23
714	Bot	1000	K14+/15p1x2	6
825	Bot	2000	TU M107.7p	1+
Fed Fund
020	Bot	1500	U 50/68P SPD	2.7	U9970+/71
193	Bot	2000	N 50P	.75	N9975/75+
287	Bot	2000	Z 75/81 C SPD	1.25	Z9953+/54
287	Bot	3000	X 75/81 C SPD	1.25	X9959/59+
454	Bot	1000	Z 50/62/75C FLY	1	Z9953+/54
617	Bot	2000	M 62/75 P SPD	1	M9977/77+
690	Bot	500	K 75P	1	K9978/78+
690	Bot	200	Z 43/50 p stupid	20	Z9953/53+
690	Bot	750	V 25/50 P SPD	2/2.2	9966/66+
690	Bot	3000	+Z43/50/56P FLY +Z/F68/75C SPD CAL	1
714	Bot	10500	Z62/75 C SPD	6.25/6.5	Z9952+/54
714	Bot	250	Z/X62/75c Stupid	13.5
714	Bot	300	U 62/68 P SPD	1.25	U9970/70+
737	Bot	500	Z 50/62/75 C FLY	1	Z9954/54+
825	Bot	200	U 68P Q75P STUPID	8.2
915	Bot	2000	M 50P	.25	M9977/77+
915	Bot	500	U 68P Q75P STUPID	8.2
915	Bot	1000	M 62P	.50	M9977/77+
915	Bot	500	M68/75/81p Fly	2.5	M9977+-78
006	Sold	250	Z62/75c	6.25	Z9952+-53
690	Sold	1000	Z 75/81 C SPD	1.25	Z9953+/54
690	Sold	1000	X 75/81 C SPD	1.25	X9959/59+
690	Sold	500	Z62/75 C SPD	6.5	Z9953+/54
690	Sold	500	Z 50/62/75 C FLY	1	Z9954/54+
690	Sold	3000	-Z43/50/56P FLY -Z/F68/75C SPD CAL	1
714	Sold	2000	Q 75P	4	Q9973/73+
714	Sold	2500	U 68P Q75P STUPID	8.2
737	Sold	250	M68/75/81p Fly	2.5	M9977+-78
915	Sold	500	Z 75/81 C SPD	1.25	Z9953+/54