Open interest after adjustments fell about 10K on Tuesday then gained back about 5K yesterday, so net net we are currently holding about 1,500K in the June futures. Sept futures for those of you keeping score have about 7K in open interest at this time. The bigger picture is still plenty of new positions in the market as of Mar. 8th and I will continue to monitor that.
Large flows in April Midcurve and May Midcurve Eurodollar options yesterday shortly after the ADP numbers caused prices to move up yesterday. See open interest picture below.
In the longer end 2yr. note put spread was new position, exchange records show 4.8K traded and open interest rose by that amount. Over all in 10yr. options put volume continues to dwarf call volume. The selling in the June 112.5 puts was a new position.
See players list below for more.
Yesterday ended the Fed buying program for MBS. However even though the press is making a big deal out of it, don’t expect the buying to discontinue all together. I do expect upward pressure on rates but I also expect it to be controlled. Everyone knows that if the Fed were to totally walk away from supporting the markets rates would sky rocket and that is not going to happen just yet. Call for more 01 312 432 5083.
Note re EDU call fly mentioned just above Accuchicks cute head, should read they were getting "short" the 9962.5 strike, not "long" sorry for that...
Larger flows in Treasury and Fed Fund options courtesy of the floor grunts at geo cities.
| 10yr. | |||||
| local | B/S | 500 | K15+/16PSPD | 12 | ^M11607 |
| 092 | Bot | 2000 | M13P | 13 | 11608+/09 |
| 275 | Bot | 2000 | K14/15/16P FLY | 10 | 11608/09 |
| 287 | Bot | 500 | M12P | 9 | 11607+/08 |
| 287 | Bot | 2000 | K13+/14+P SPD | 7 | 11608+/09 |
| 370 | Bot | 1000 | K16P | 39 | 11608+/09 |
| 370 | Bot | 5000 | K15+/17+ COMBO FOR PUT | 16 | 11605/05+ |
| 444 | Bot | 1000 | K13P | 3 | 11610+/11 |
| 660 | Bot | 600 | M17+C | 33 | ^M11609 |
| 660 | Bot | 1000 | M12/14P SPD | 15 | 11607/07+ |
| 685 | Bot | 500 | K15P | 8 | 11608+/09 |
| 685 | Bot | 500 | K17C | 25 | 11607+/08 |
| 690 | Bot | 500 | M11/12/14P FLY | 12 | 11607/07+ |
| 714 | Bot | 500 | K14/15P SPD | 11 | 11608+/09 |
| 830 | Bot | 5000 | M14P | 21 | ^M11609+ |
| 006 | Sold | 1000 | M14/15P | 14 | 11608/09 |
| 287 | Sold | 1000 | K16C | 55 | 11608/08+ |
| 287 | Sold | 1500 | K15+/16+P 1X2 | EVEN | 11610+/11 |
| 287 | Sold | 1000 | K15P | 17 | 11609+/10 |
| 355 | Sold | 20000 | M12+P | 10/11 | ^M11606/07/09 |
| 370 | Sold | 2000 | M13+P | 16 | 11608+/09 |
| 560 | Sold | 2000 | M120C | 5 | 11608+/09 |
| 660 | Sold | 1000 | K16^ | 129 | 11607 |
| 684 | Sold | 500 | K12+/14P SPD | 5 | 11610+/11 |
| 30yr. | |||||
| 287 | Bot | 500 | M+/K- 14p Cal | 28 | 11601 |
| 355 | Bot | 600 | M14/19 COMBO PUT | 19 | 11603 |
| 116 | Sold | 2000 | M11/12 P STUPID | 41/40 | 11605/06 |
| 148 | Sold | 500 | K18/20 C SPD | 14 | 11527/28 |
| 560 | Sold | 600 | M14/19 COMBO PUT | 19 | 11603 |
| 2 + 5yr. | |||||
| 350 | Bot | 2000 | K 114P | 12 | |
| 714 | Bot | 6000 | TU /U 107/107+ P SPD | 9 | |
| 287 | Sold | 1000 | K114+C | 41 | |
| Fed Fund | |||||
| 006 | Bot | 1500 | Q 75/81 C SPD | 2.5/2.7 | Q9972+/73 |
| 006 | Bot | 5000 | U62/68/75 P FLY | .50 | U9969/69+ |
| 560 | Bot | 200 | J75P | .25 | J9980+/81 |
| 690 | Bot | 1000 | X75/81/87c Fly | 1 | X9955-55+ |
| 714 | Bot | 1000 | X75/81/87c Fly | 1 | X9955-55+ |
| 714 | Bot | 2500 | X 75/81 C SPD | 1.25 | X9955-55+ |
| 737 | Bot | 500 | U62/68/75 P FLY | .50 | U9969/69+ |
| 915 | Bot | 250 | X75/81/87c Fly | 1 | X9955-55+ |
| 690 | Sold | 300 | Z 9950 C | 13 | Z9947+/48 |
| 690 | Sold | 1000 | X75/81/87c Fly | 1 | X9955-55+ |
| 690 | Sold | 500 | Q81C | .50 | Q9972+/73 |
| 690 | Sold | 2000 | X 75/81 C SPD | 1.25 | X9955-55+ |
| 714 | Sold | 1500 | V 56/62 P STUPID | 15 | V9964/64+ |
| 714 | Sold | 300 | X 50/56P STUPID | 22 | X9955-55+ |
| 815 | Sold | 1000 | Q 75/81 C SPD | 2.7 | Q9972+/73 |
| 815 | Sold | 500 | X75/81/87c Fly | 1 | X9955-55+ |
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