Treasury Trading Update

The continuing Greek tragedy continued to dominate early trade as spreads remained at historic highs against the German Bund. This of course helped buoy the US treasuries in the early going. News that a bridge loan might be tapped to aid Greece and an Obama press conference that soothed the US equity markets caused treasuries to give up those gains and they settled down 11.5 ticks on the day at 11626.5. Open interest was little changed on the June 10yr. futures however it did gain over 30K on Wednesdays session thus remains in a strong uptrend with around 1.688K just shy of the 1.671K reached on 4/13. Commodity prices remain firm and oil has turned up a bit. Floor sources at the nymex reported a large fund bought 7.5K of the Dec. 100 calls on crude oil options a couple of days ago. Open interest is over 20K in that strike, there is also good open interest in further out of the money calls in the Dec. expiration, so I will be reporting on that moving forward. They have continued to monitor that strike. Floor sources also noted good resistance comes in at $90.00/ brl. Which is 50% retrace of the large down move. So prices will intitially likely fail there however there is plenty of time on these options. I will be watching those.

May treasury options expire today most the open interest is concentrated in 114 puts 122K and 119 calls 82K. At the money strikes: the 117 calls have 48K and 116.5 calls have 26K, 117 puts have 19K and 116.5 puts have 38K. Intermediate to long-term outlook remains bearish more later.

Preliminary exchange report shows decent activity in June midcurve options yesterday. Also note regular June 10 put options also fairly active trading around 116K. One of the featured trades there according to floor sources was fimat selling the EDM 9937.5/9950 put 1X2 at even money. Regular expiration Sep. 10 calls traded 65K and Mar. 11 calls traded 55K. Regular expiration Sep. 10 puts traded 53K, Dec. 10 puts traded 38K and Mar. 11’s traded 15K just to give you a feel for over all volumes. But again the most interesting action was in the June Midcurve’s see below:

 

Treasury option and Fed Fund flows from Thursday listed below.

10yr.
006	Bot	1000	M19C	11	11711+/12
006	Bot	1000	K17+C	7	11709+/10
006	Bot	1000	M 14/15/16P TREE	7	11706/06+
020	Bot	500	M14/17PCONDOR	15	11711/11+
104	Bot	750	M14/15p	5	11707/07+
197	Bot	2000	M 18C	24-25	11703/06
197	Bot	10000	K 16+P	3/4	11628+/29
275	Bot	500	K 17P	7	11706/06+
275	Bot	500	M14/17PCONDOR	15	11711/11+
287	Bot	500	+K16C/-M17C DIAL	22	11704/04+
287	Bot	2000	U 14P	61	11706/07
287	Bot	500	K17C	20	11707/08
287	Bot	2000	M18C	29	11711+/12
287	Bot	1000	M18+C	19	11711+/12
287	Bot	500	K 17C	28	11711+/12
287	Bot	500	K16/M17C DIAL	20	11703/03+
560	Bot	2500	-U 110P/+N113P	4	11703/03+
560	Bot	5000	K 17+C	3	11700
560	Bot	1000	+N13P/U10P	5	11627/27+
660	Bot	1000	M 15+/16+ P SPD	16	11707/07+
660	Bot	1000	K17+C	2	11628/28+
684	Bot	3000	M19C	10	11709
684	Bot	500	K17C	2	11630/31
685	Bot	3500	M14/14+ P SPD	2	11707+/08
685	Bot	1000	M15/16P SPD	6	11710
685	Bot	500	K17/17+ COMBO CALL	21	11708
714	Bot	+2K/-6K/+3K	M14P/15/16P	4/9/20	11709+/10
714	Bot	500	K 17+C	5	11706/06+
714	Bot	1000	K 17C	6	11628/28+
287	Sold	1000	K 16+/M17C DIAL	9-12	11700+-06
370	Sold	5500	M15/19 STG	18-19	11628-11705
560	Sold	3000	K17P	10	11631+
685	Sold	500	K 17^	18	11628/28+
714	Sold	500	M17^/U16^ CAL	152	11705/06
714	Sold	3000	K17/17+ STG	11	11707+/10
714	Sold	1000	K 17+C	4	11705+
714	Sold	750	M 17^	130	11627/27+
830	Sold	500	M 15/17P SPD	31	11706+/07
30yr.
104	Bot	2000	M111P	3	11716/17
287	Bot	1200	M110P	2	11724/25
560	Bot	1000	M 13P/122C  COMBO  P	4	11712
560	Bot	1000	M 11/12 P 1X2	1	11710/11
287	Sold	1300	M12/22 STG	7	11715/16
355	Sold	1000	K17/18 COMBO P	EVEN	11716
2 + 5yr.
275	Sold	1500	K115p	2
415	Sold	2000	TU U107.7p	20
Fed Fund
684	Bot	250	Z 00/25 P SPD	2.5	Z9956/56+
714	Bot	500	Z 25/50 P SPD	5.5	Z9955/55+
830	Bot	1500	X 75C	1.50	X9960/60+
915	Bot	250	Z 25/50 P SPD	5.7	Z9954/54+
915	Bot	500	V 62/68/75 P FLYWITH X/Z50/68C CONDOR STUPID	1.2
915	Bot	500	U/Z 75C CAL	.50
690	Sold	750	X 75C	1.50	X9960/60+
690	Sold	500	Z25/37/50P FLY	1	Z9954/54+
690	Sold	1000	Z 37/43/50P FLY	.25	Z9954/54+
690	Sold	2000	V 62/68/75 P FLYWITH X/Z50/68C CONDOR STUPID	1.2
690	Sold	300	U 25/50 P SPD	1	U9970/70+
690	Sold	500	U/Z 75C CAL	.50
825	Sold	500	Z25/37/50P FLY	1	Z9954/54+