Futures Curve by Accutic

Treasury Trading Update

A strong move up in the CRB index led by crude oil futures (currently above $75/brl.) is a countervailing force to be reckoned with. If there is any pullback in crude or other commodities today I would speculate that treasuries would soar higher un tethered. However it has been my experience to keep a tight focus on treasury yields and the CRB index and right now the CRB has made a substantial reversal and is heading higher.

 

For coverage on the short end please take note of Alex Manzara's notes:

May 28.  Total protronic reversal as near eurodollar contracts exploded higher, euro rallied, stocks rallied, curve rallied.  EDU10 jumped 12 bps to close 9917.0.  Ten year yield rose 13 bps to 3.34%.  The DJIA gained 2.85% while SPX was up 3.3%.  Red/gold pack spread was up over 15 bps to 240.   

--The question now is whether this is a true reversal or simply a bout of position squaring after a dramatic move.  The front end of the eurodollar curve is getting more "normal" as calendar spreads widen.  EDZ0/EDZ1 spread gained 13 bps yesterday to close at 82, having settled as low as 61 last Friday.

--Implied vol in eurodollars was pressured early; most stradddles in 2-3 bps.

--Japanese employment and price data surprisingly weak.

--Today's news includes Personal Income, expected +0.5% with Spending expected +0.2% from 0.5.  Chicago PMI expected 62 from 63.8.  Consumer Sent expected 73.3 (unch from last).

 

Alex Manzara

 

--There was an article in UK’s Telegraph yesterday about the plunge in US money supply…

http://www.telegraph.co.uk/finance/economics/7769126/US-money-supply-plunges-at-1930s-pace-as-Obama-eyes-fresh-stimulus.html

 

graphical representation of same phenonomen below courtest of St Louis Federal Reserve:

 

https://research.stlouisfed.org/fred2/series/MULT

 

 

Option trade was moderate in treasuries yesterday larger flows highlighted below.

10yr.
006	Bot	1500	U22+/24+/27+cfly	9	11919/19+
275	Bot	1000	U22/23c	18	11928/28+
287	Bot	1000	U16/19p	55	11926/27
287	Bot	1000	N22/23+c	12	11914+/15
287	Bot	2000	N20+c	42	11912+/13
370	Bot	500	N16/17+/19ptree	20	U11918
444	Bot	1000	U15+/17p	23	11912/13+
444	Bot	1000	U15+/17p	22	11916+/17
560	Bot	2000	N16+/18p1x2	5	11918/18+
560	Bot	500	Q14p	12	11914/14+
560	Bot	2500	N18p	32	11919
560	Bot	1000	N19p	53	11919
685	Bot	675	Q19+/20+p	32	11928/28+
685	Bot	1000	N19+Stdl	215	U11910
714	Bot	1400	U22/23c	16	11913/13+
660	Sold	1000	N16+p	16	11909/09+
660	Sold	1000	N19/22c	105	11916/16+
684	Sold	3000	N18/19p	24	11909+/10+
685	Sold	500	Q19+/20+p	32	11928/28+
714	Sold	1000	N19+c	106	U11916
737	Sold	500	U19+/21Stdl spd	14/13	11910/12
2 + 5yr.
355	Bot	500	Two Yr U08p	7+
714	Sold	1000	Two Yr N09c	8	^10827.2
714	Bot	500	N14+/15+p1x2	5.5
Fed Fund
006	Bot	500	U81/87c	.50	U9975/75+
006	Bot	2300	Q81/87c	.50	Q9975+/76
287	Bot	1000	U81/87c	.50	U9975/75+
660	Bot	500	+G9900/37p/-Z43p	1.50
690	Bot	500	V75Stdl	8	V9973+/74
690	Bot	500	V75c	3.50	V9973+/74
690	Bot	2300	U/X 81c cal	Even
915	Bot	1000	U62/68/75pfly	.50	U9975/75+
006	Sold	1000	U81/87c	.50	U9975/75+
006	Sold	5000	U62/68/75pfly	.50	U9975/75+
006	Sold	500	N81/87 c spd	.50	N9967+/77
690	Sold	2300	Q81/87c	.50	Q9975+/76
690	Sold	500	V75Stdl	8	V9973+/74
690	Sold	1000	U81/87c	.50	U9975/75+
690	Sold	300	+Z43p/-G9900/37p	1.50
690	Sold	2300	U/X 81c cal	Even
825	Sold	250	G43p	8.25	G9955+/56
915	Sold	500	V75c	3.50	V9973+/74

 

Treasury Trading Update

Oil prices up over $73/brl. Other commodities are showing improvement as well. The effect on treasury yields is pretty much lock- step as usual. Take a look at hourly and daily momentum signals. For today will expect further sideways to down action. Equities continue to struggle and global crisis by no means over so things could turn around quickly, but at this moment does not look likely for today.

Some of the larger flows in Treasury options from Wednesdays session listed below.

10yr.
Local	B/S	500	N21/22+/24cfly	14	1206/06+
Local	B/S	500	N17/17+/18pfly	2	12009/09+
685	Bot	500	N18p	22	U12014
685	Bot	1000	+N20p/-N20+c	9/10	12003+/04
685	Bot	600	N18+p	31	U12007
714	Bot	2000	N17/19p1X2	13	12009+/13+
714	Bot	1000	N16+/17+p	8	12005/05+
197	Sold	5000	N22c	31	12005/06+
370	Sold	1000	U22c	103/104	U12003/04
370	Sold	2500	N18+p	28	U12008+/09
660	Sold	1000	U20Stdl	348	U12003/05
685	Sold	500	Q20+p	140	U12008+/09
685	Sold	500	N19Stdl	236	U12012
685	Sold	2000	U15+p	28	U12008/08+
714	Sold	800	U10/14p	13/12	12004/04+
714	Sold	1000	N19p	42	12003/03+
30yr.
560	Sold	1500	N22p	107/105/103	12410/11
560	Sold	500	N22p	102	^U12405
660	Sold	500	N18p	16	^U12404
Fed Fund
560	Sold	1250	M75/81p	2.75	M9978/78+
690	Sold	700	X75/81/87cfly	2	X9970/70+
915	Bot	700	X75/81/87cfly	2	X9970/70+
714	Bot	6900	X50/Z43p stupid	6
714	Sold	7000	G50p	8	G9959-59+
690	Bot	1000	G50p	8	G9959-59+
690	Sold	100	F75c	2.75	F9966/66+
287	Bot	2000	F68/81 c1x2	6	F9966/66+
660	Bot	500	G50p	8	G9959-59+
690	Sold	1100	F68/81 c1x2	6	F9966/66+
690	Sold	500	F81/87c	.50	F9966/66+
287	Bot	400	G50p	8	G9958/58+
825	Bot	500	F81c	.50	F9964+-65
830	Sold	200	M68/87p	9	M9978/78+
690	Bot	400	G9900p	2	G9956+/57
915	Bot	250	N68/75/81cfly	2.75	N9977/77+
737	Sold	250	N68/75/81cfly	2.75	N9977/77+
915	Bot	300	M75/81p	2.75	M9978/78+

 
 

Midsession Update.

Just now we are seeing a pull back in equity prices and the attendant rise in treasuries. Prior to this development treasury futures were trading near session lows, down over ½ point at times around the 120’03 area.Take note of price action in the over all commodity index as well as key components, crude oil and copper.

Some of the option flows in 10yr. options from this a.m. are listed immediately below.

TY
New Edge	S	800	TYU110/114 ps	.13 and .12	12003/03.5
Paper	S	500	TYQ 120.5p	1.4	12008.5/09
Swiss	S	2,500	TYN118.5p	0.28	12008/08.5
Paper	B	1,000	TYN117/119 put 1X2's	0.13	12009.5/10
RJO	S	500	TYN119 strad	2.36	^12012
Paper	B	500	TYN118p	0.22	^120'14
RJO	B	2,000	TYN120/120.5 combo's put over	.09 and .10	120'03.5/04
Smith B	S	4,750	TYN122c	0.31	120'06/06.5

Treasury Trading Update

Good day. First of all let me remind you that this Friday is 1^st notice day. Have a glance at the open interest report to take note of the situation. Let me also remind you that my services on the roll are available simply by dialing 01 312 432 5083, I would suspect there will be ample liquidity on the floor today and tomorrow, after that most the O.I. will be in the Sep. futures and roll activity will be minimal.

 

Yesterday there were stories circulating about the funding costs. Take a look at the EDZ chart below and if you did not see the FT story here is the link once again. http://ftalphaville.ft.com/blog/2010/05/25/242166/those-libor-laments-in-context/ If what I saw this morning was correct the 3 month libor fixing this a.m. was approx .53 % 3 bps higher than Mondays level. Nothing near the crisis levels but again the cds rates are rising again world wide, and sounds like more stimulus plans will be needed as banks are very reluctant to lend.

 

Today is a new day and hearing and seeing some risk appetite coming back into the market. Oil currently around $1.00 higher, copper and other commodities rising as bets that a robust China will increase demand.  New mining taxes being discussed over seas as well. Currently Treasuries are off about 1/3 of a point. Will expect sideways to down movement today.

Exchange report shows most volume was in July 10yr. puts yesterday. Over 89K traded and O.I. up over 30K. Note activity by Merril and others.

10yr.
213	Bot	2500	N14/16P	4	12030+/31
275	Bot	500	N16+/19+p1x2 vsN17+/20+p1x2	14	12108/08+
287	Bot	1000	N17/19p	21	12130/30+
370	Bot	2000	U17+p	44	12105+/06
560	Bot	4200	N18/20p	44	M12130+
560	Bot	4200	N17+/20p	37	M12127+
560	Bot	4200	N18/20+P	44	12130+
560	Bot	4200	N18+/21p	55	M12127+
617	Bot	1500	U18p	52	U12103+/04
660	Bot	500	U22/22+c	13	12105+/06
660	Bot	2000	N22c	61	12106+/07
660	Bot	2000	N22c	56	12100+/01
660	Bot	1000	N22c	53	12029/29+
685	Bot	500	N21Stdl	230	12101/02
275	Sold	500	U22+/23+c	21	12101+/02
287	Sold	1000	N25c	16	12100/01
355	Sold	4500	N18+/19+/20+ptree	1/even	12107/07+
355	Sold	1000	N24/24+cstupid	43	12103+/04
560	Sold	4200	U17/19p	32	12030+/31+
660	Sold	3000	N22c	54/53/52	12029/01
660	Sold	1500	N19+/20+/21+cfly	9	12102+/03
660	Sold	1000	N24/24+cstupid	42	12104+/05
685	Sold	500	N/U21+Stdlcal	123/122	12104/06
685	Sold	650	U19/22+c1x2	32	12106/06+
685	Sold	1000	N21Stdl	234	U12105
714	Sold	1000	-U24c/+U17p	9	12104/04+
30yr.
560	Bot	1500	Q25p	246	12510
148	Sold	1000	Z24/27c	120	12510/11
197	Sold	600	-N26Stdl/+30c	340	12521/22
Fed Fund
287	Bot	500	N+75/Q-62p Diag	.50
560	Bot	250	V43/68p	2.5	V9974-74+
617	Bot	1000	X50/75p	4	X9972/72+
690	Bot	750	M75c	4.25	M9978+/79
690	Bot	500	X68/75 c 1x2	1.75	X9971+/72
690	Bot	575	U62/68p	.50	U9976/76+
690	Bot	250	Q75c	4	Q9977-77+
690	Bot	1150	Z75/81/87cfly	2.25	Z9971/71+
714	Bot	1500	+V68C/-V/F 62P CAL	5.50
714	Bot	2000	X/Z81/87c Stupid	1.25
825	Bot	1000	X75/81cstupid	4	X9972+/73
915	Bot	1000	M75c	4.25	M9978+/79
915	Bot	500	M68/75p	.25	M9978+/79
006	Sold	500	X68/75 c 1x2	1.75	X9971+/72
287	Sold	4000	M75c	4.25	M9978+/79
287	Sold	300	X75c	3.5	X9972+/73
690	Sold	400	-V68c/+V/F62p cal	5.50
690	Sold	250	X50/75p	4	X9972/72+
690	Sold	1150	Z75/81/87cfly	2.25	Z9971/71+
690	Sold	250	Q75c	4	Q9977-77+
690	Sold	575	U62/68p	.50	U9976/76+
690	Sold	500	Q+62p/N-75p Diag	.50
690	Sold	1000	X75/81cstupid	4	X9972+/73
690	Sold	500	Q62p	.75	Q9977-77+
690	Sold	1500	X/Z81/87c Stupid	1.25
690	Sold	500	M68/75p	.25	M9978+/79
690	Sold	500	NQ75p Cal	.5
690	Sold	500	N/Q75pcal	.50
714	Sold	5000	V/F62p	3.50
714	Sold	2500	X+43/F-62p Diag	4

Midsession update.

Decent bounce of lows in ED contracts. One story made a lot of sense. Swap lines open from our Fed to the ECB provided funding @ 22 basis points. The ECB would then add 100 basis points to that rate and make funding available to EZ banks @ 122 basis points. This would equal a futures price of  9878 on ED contracts which should be a floor for the white months. Having noted that we do have a big seller 20K so far of the EDZ9925/9937.5 call spreads @ 5.5 ticks with futures around 9888.

In Fed fund options New Edge has been buying in short Oct. puts and issuing shorts vs. the Feb. futures.

Players listed below:

 

Another interesting story which should gain traction given what commodity prices are doing is a large deflation in the US and Europe. This according to the authors would take 10yr. notes in the US towards 2% and perhaps a bit lower.

Todays 2yr. note should go well but recent volatility could make the bidding sloppy. The size of the auction has been cut by $2 billion so analysts note the bid cover should  be decent.

Nothing to special in 10yr. options. Did see Smith B. buy 2K ot the Sep. 117.5 puts @ .44 with Sep. futures around 12105/05.5. On the bullish side with futures 12106/06.5 vs. Sep a dealer bought 2K of the july 122 calls @ .61. July straddle is currently trading 2.35 close to unchanged from the opening quote. Sep. straddle is currently 3.54/3.55 vs. 3.57/3.60 at the open.

Treasury Trading Update

Add in a little Korean spice to the already global sovereign soup crisis and you get a violent reaction. So just forget about being short calls on treasuries, it worked for half a day as we did see some early strength in commodities and a little bit of upward pressure on 10yr. yields. Over all a fairly quiet trade in options, so I will skip the report there. Short end remains very depressed in the front end as funding pressures become more apparent. Calendar roll will continue to dominate floor activity this week here is a recap of yesterdays activity.

Spread Players 5/24	*Denotes All or None
TY M/U
HOUSE	QUANTITY	PRICE	TAILS	TAIL PRICE
SMITH BARNEY	5000	27.2
O'CONNOR	-3500	27.2
SMITH BARNEY	3,000	27
SMITH BARNEY	1,000	27	45	121-14 TYM
BARCLAYS	-500	27
MF GLOBAL	-500	26.5
MORGAN BANK	-500	26.5
MF GLOBAL	-1,000	26.5	-71	121-15.5 TYM
SMITH BARNEY	-1,000	26.5
SMITH BARNEY	1,000	26.5
BACHE	1,100	26.7
SMITH BARNEY	755	26.7	22	121-12.5 TYM
CANTOR FITZ	2,300	26.7
NEW EDGE	1,000	27
MERRILL	5,000	26.7
SMITH BARNEY	1,000	27
GREENWICH	-2,300	26.7
NEW EDGE	1,000	26.7
GOLDMAN	-940	26.7	-60	121-09 TYM
GOLDMAN	940	26.7	60	121-09 TYM
SMITH BARNEY	4,000	27
SMITH BARNEY	-1,500	27
FV M/U
HOUSE	QUANTITY	PRICE	TAILS	TAIL PRICE
O'CONNOR	750	26.5
O'CONNOR	3,500	26.7
O'CONNOR	750	27
MERRILL	*3000	26.5
SMITH BARNEY	*-3000	26.5
UBS/SWISS	1,200	26.2
SMITH BARNEY	1,000	26.2
MORGAN STANLEY	*-5,000	26.2
GOLDMAN	*5,000	26.2
MF GLOBAL	-1,800	26	-108	117-29.5 FVM
SMITH BARNEY	4,700	26.2	300	117-29.2 FVM
SMITH BARNEY	-4,700	26.2	-300	117-29.2 FVM
MERRILL	5000	26.5
MORGAN BANK	-5,000	26.5
GREENWICH	700	26.5
MORGAN BANK	*-3000	26.5
DEUTSCHE BANK	*3000	26.5
MORGAN BANK	-1500	26.5
MERRILL	-1000	26.5
GREENWICH	1000	26.5
SMITH BARNEY	1500	26.5
MF GLOBAL	-3000	26
US M/U
HOUSE	QUANTITY	PRICE	TAILS	TAIL PRICE
GOLDMAN	*-2500	10.7
GOLDMAN	-2,500	10.7
SMITH BARNEY	-1,000	10.5
O'CONNOR	-3,000	10.5
MORGAN STANLEY	-2,000	10.7
SMITH BARNEY	-2,000	10.7
MIZZUHO	1,000	10.7
CANTOR FITZ	2,000	10.7
MERRILL	-2,000	10.7
		10.7
TU M/U	QUANTITY	PRICE	TAILS	TAIL PRICE
HOUSE
GREENWICH	4,410	10.7	590	109-08.7 TUM
SMITH BARNEY	-500	10.7
TJM (DIV OR RJOBRIEN)	-900	10.7
SMITH BARNEY	4400	10.7	626	109-10 TUM
SMITH BARNEY	-4400	10.7	-626	109-10 TUM
MF GLOBAL	1,000	11
SMITH BARNEY	4,400	10.7
SMITH BARNEY	-3,000	10.7
SMITH BARNEY	-2,000	10.7
MORGAN BANK	1,000	10.7
UBS / SWISS	2,200	10.7
UBS / SWISS	-1,000	10.7
GREENWICH	*4,000	10.7
BARCLAYS	*-4,000	10.7
UBS / SWISS	2200	10.7	300	109-10 TUM
SMITH BARNEY	-2200	10.7	-300	109-10 TUM
UBS / SWISS	2200	10.7	300	109-09.5 TUM
UL M/U	QUANTITY	PRICE	TAILS	TAIL PRICE
HOUSE
CANTOR FITZ	200	46.5
MORGAN BANK	-500	46
CANTOR FITZ	1000	46
MIZZUHO	-1000	45.7

Treasury Trading Update.

The US may remain the least troubled sector in the G-7 nations as other sectors : EZ, UK and Japan will have there troubles come to the fore much sooner. As we have seen these crisis’s do take tame to play out. Greece took much longer than it should have given it’s size however the time it took is what it took. According to a report by the people at the bank credit analyst, Japan’s situation will be dealt with prior to the U.S.’s so that may mean we have a couple of years before our situation is either dealt with or fully deteriorates. What I’m getting at is we may well continue to see a bull market in Treasuries for an extended period. Also the market this week will be moving inventory out of June futures into September, and if any of you would like to give some orders in that regard I can be reached at 01 312 432 5083. I will negotiate on size orders of course, and we do see some large liquidity still being executed in the pit, so by all means consider it. It can be a win – win situation, in terms of getting good execution at a competitive price.

As far as things being status quo for the near term, California is proposing to raise taxes to potentially un-bearable levels. Other states will have to follow suit, so I do not know what the situation is exactly in Japan, but I would think trouble and possibly complete hell is coming soon. But for now I will focus on the mundane matters such as the roll, the funding crisis in the short end, the premium sellers in the long end, declining commodity prices and the like.

Open interest declined by over 200K in the June futures (probably related to large option positions) there was an increase of around 65K in the Sep. contracts, but the net decline was large about 170K. That is notable, and I will be conferring and commenting on that later. Below are the larger flows in treasury options from Friday for your edification. Heavy call buying was noted in July 9950 calls and open interest did rise by over 60K in that strike.

10yr.
Vol picture:
Vol.	5/21/10	5/20/10
July	8.2	8.9
Aug	7.9	8.5
Sep	7.6	7.8
20+Stdl
July	229-232
Aug	311-315	235-240
Sep	348-352	350-356
Players
104	Bot	4000	U15p	19	12130/30+
197	Bot	6000	Q26/28c	11	12128/30
275	Bot	500	M22/22+c	13	^M12202
287	Bot	500	N18p	25	12128/28+
287	Bot	1000	M22+c	10	12200/00+
287	Bot	2000	N19/20+p	37/38	12131/31+
287	Bot	3000	M/N19+c cal	6/11	12113-14/12130/30+
287	Bot	2000	+U18/24combo	7	^U12020
287	Bot	500	Q15+/25combo+c	9	^U12014
370	Bot	5000	U83p	cab7	12110/12
684	Bot	1000	M22c	4	12108/08+
685	Bot	500	N20+Stdl	241	12118+/19
685	Bot	2000	U14p	16	12110/11
714	Bot	500	M22/22+c	9	^M12125
714	Bot	500	N16/18p	16	12130/30+
714	Bot	1500	Q18p	42	12116/16+
714	Bot	2500	M17+C	347	^M12107
714	Bot	1000	U18/24combo+p	10	^U12020
714	Bot	1500	Q22c	103	^M12113
714	Bot	1000	M/N19+c cal	4	12107/08
737	Bot	1500	N/U21Stdl Cal	118/119	12128/28+
020	Sold	500	U22+/23	17	12108+/09+
160	Sold	500	N20+Stdl	231	12107+/08
160	Sold	1500	U20+Stdl	348	12107+/08
287	Sold	5000	M20+/21/21+/22c Condor	12	12131+/00
287	Sold	3000	N23c	3	12131/00
287	Sold	2000	-M21/+U32C	8	12103/03+
355	Sold	2000	N18/19/20ptree	2	12107+/08
660	Sold	1000	M21+/22+c	25	12129/29+
660	Sold	4000	U20+/22c	42	12131/31+
660	Sold	6000	U24c	100/102	12130/30+
660	Sold	1000	U18/23Stg	200	12112/13
660	Sold	3000	N18+p	30	12118/19
660	Sold	5000	U24c	52	12115+/16
684	Sold	4000	Q24+c	42	12130/30+
685	Sold	500	U20+Stdl	360	^U12020
714	Sold	1000	M/N20c	12	12107/08
30yr.
287	Bot	500	N32/35c	12	12500/01
560	Bot	1000	M26c	6	12501/02
560	Bot	500	U15/21p	125	12420/21
714	Bot	1000	M75p	8/9	12521/22
287	Sold	1200	N24/27c	106	^U12410
560	Sold	500	N26c	148/147	U12418
560	Sold	2700	M24conversions	even
2 + 5yr.
355	Bot	2500	N11p	1
370	Bot	1000	Two Yr 05p	.5
714	Bot	2000	M16c	15.2/15.5
737	Bot	1500	Two Yr 09p	23.5
355	Sold	5000	Two Yr M-09.2c/U+10c	1
Fed Fund
Locals	B/S	250	Z68/75c vs37p	2
006	Bot	3500	U81/87c	.50	U9973+/74
006	Bot	100	G9900p	2	G9958+/59
006	Bot	150	V81/87c	.50	V9973/73+
287	Bot	550	+Q75p/-U62p	1
325	Bot	250	X75c	3	X9970/70+
690	Bot	800	N81c	.50	N9976+/77
690	Bot	1000	Q81c	.50	Q9975/75+
690	Bot	2000	X75c	3	X9969+/70
690	Bot	250	X/Z75c	even
815	Bot	250	X75c	3	X9970/70+
825	Bot	1000	G9900p	2	G9957/57+
287	Sold	1000	N81c	.50	N9976+/77
287	Sold	2000	Q81c	.50	Q9975/75+
287	Sold	500	U81/87c	.50	U9974+/75
287	Sold	2500	X75c	3	X9969+/70
690	Sold	1750	U81/87c	.50	U9973+/74
690	Sold	400	G9900p	2	G9958+/59
690	Sold	150	V81/87c	.50	V9973/73+
825	Sold	500	+U62p/-Q75p	1

Treasury Trading Update

Treasury futures were met with large call sellers on today's opening. Equities looked very week over seas and our market looked poised to take out the 1056 low from the other day on the S&P chart. Prices did break below and reached 1051 level. Stories that Goldman would reach a settlement with the SEC and news that a financial regulation bill had passed (perhaps not so onerous on the wall street banks) saw a decent uptick in financial stocks. Treasury prices broke to 12109.5 area as equities recovered, however we are seeing renewed selling in Sep. 124 calls by J.P. Morgan @ .52, about 2K as future moving up from 12116 area to 12119 area. 

Some of the larger flows in 10yr. options:

TY
Paper	S	5,000	TYU124 calls	1.02	121'29 to 12203
Paper	B	6,000	TYQ126/128 c sprd	0.11	12130 to 12205
J.P. Morg	S	4,000	TYU120.5/122 call sprea	0.42	N/A
BCG	S	4,000	TYQ124.5 calls	0.42	12128 to 12130
Paper	S	3,000	TYN123 calls	0.03	12130/12200
Fuji	B	5,000	TYU115 puts	0.19	12130/30.5
J.P. Morg	S	3,000	TYN118.5 p	0.3	12118.5/19
Paper	B	1,500	TYN/U 121 strrad calendar	1.18 and 1.19	12128/28.5
J.P. Morg	S	1,000	TYU118/123 strangles	2	12112.5/13
Paper	B	2,000	TYN119/120.5 p spreads	.37 and .38	12131/12200
Mann	S	5,000	TYM120.5/121/121.5/122 c condor	.12 and .11	12131.5/00

Some of the larger flows in ED options along with a straddle update listed below:

ED
Paper	B	10,000	EDN87/90ps vs 93 c  ps over	4	N/A
Goldman	B	10,000	EDN0 9950 calls	0.75	N/A
Goldman	B	10,000	EDZ9925 calls	13 and 13.5	9899 area
ICAP	B	5,000	EOM9800 puts	0.5	N/A
Paper	B	10,000	EDU0 9962 calls	0.75	N/A
Straddle as of 9:15 a.m.c.s.t.
STRADDLES:
EDM0 9937= 17/18     f=9934           SHRTS
EDN0 9912= 29/31     f=9912     EOM1 9875=18/19     F=9881
EDQ0 9912= 34.5/36              EON1 9862=30/31     f=9864
EDU0 9912= 39/41                EOQ1 9862=38/39
EDZ0 9900= 56/58     F=9901     EOU1 9862=45.5/46.5
EDH1 9900= 66/67     F=9892     EOZ1 9837=66.5/68   f=9841
EOH1 9825=82.5/84   f=9819

Funding problems continue to pressure front month Eurdollar contracts. So far no relief

being signaled by the central bankers.

Treasury Trading Update.

So many charts are falling and that is providing broad based support for US treasuries. Fearless Freemont is still selling Sep. 122 calls for good size, along with the 114 puts. Players show sold another 15K or so in the calls and open interest up around 74K now. Sep. futures currently trading around 120’01.

Seeing and hearing Euro intervention and that has the contract above 125 for the moment, however equities are performing poorly for the moment and that is keeping a bid in treasuries. Some individual commodities will need to hold support in order to stem the over all index from remaining below the 250 level, so as you are scanning take note of metals, petroleum, grains and so forth. This seems to be very early stages of the sovereign crisis so will expect current trends to remain in place. More later.

 

10yr.
197	Bot	3000	N24+c	20/19	12101/03
197	Bot	3000	U26c	23	12101/02
197	Bot	2000	M21+c	16	12106/06+
287	Bot	500	M20/20+p1x2	3	12023+/24
287	Bot	1600	N21c	55/107	12027+/28/12111-11+
287	Bot	3000	Q25+c	21	12101/03
287	Bot	1000	M/N19c	10	12100/00+
350	Bot	3000	Q22/25c	36	12103/03+
350	Bot	2000	N23c	35	12107+/08
355	Bot	2000	Q17/19p	39	12103+/04
370	Bot	1000	M20p	4	12031/31+
370	Bot	1000	M21+/22+c	7	12027/27+
370	Bot	1000	M20+c	45	12103/03+
617	Bot	1000	U14/17p1x2	17	12025/25+
617	Bot	500	U20Stdl	352	12027/27+
617	Bot	5000	U14p	16	12103/04
660	Bot	1000	U21c	143	12107+/08
685	Bot	500	N20Stdl	240	12108/08+
685	Bot	5000	U20Stdl	360/362	12008
690	Bot	500	M19+p	2	12024/24+
714	Bot	3000	U13p	12	U11928
714	Bot	4000	M20p	3/2	12028/31
714	Bot	1750	M19+/20p	2	12029/30
006	Sold	1000	M21c	27	12104
006	Sold	500	M20+c	39	12031/31+
006	Sold	1800	N18/22+Stg	104	12109+/10
197	Sold	10000	M23+c	2	12106/06+
275	Sold	500	-N18p/+M19+p	31	12028+/29
287	Sold	500	U20c	206	12108+/09
287	Sold	1500	U18/19+c	58	12109/09+
287	Sold	2000	M20/21+c	51/49	12028/28+
370	Sold	1000	M20p	3	12031/31+
370	Sold	1000	M20/20+c	62	12105/05+
370	Sold	2000	M20/21+c	100/103	12110/10+
374	Sold	2500	M21c	36/34	12103+/04
560	Sold	500	U18/19/22ironfly	147	12105/06
560	Sold	1000	N18p	28	12108+/09
660	Sold	500	M20/21/22cfly	27	12030/30+
660	Sold	15000	U22c	110-118	12106/12
714	Sold	3000	U17/23combo-call	1	U11928
714	Sold	-3K/+3K/-1600	U13+/15+/17+ptree	57/30/14	12104/04+
714	Sold	1000	M20Stdl	111	12104/04+
30yr.
148	Bot	2000	+15/19Stg/-18/32Stg	7/8	12411/12
287	Bot	500	M24p	32	12408/09
287	Bot	1000	U19/28combo+c	19/20	^U12320
287	Bot	500	M28/29c	2	12416/17
560	Bot	1000	+M24p/-N18p	12	^M12400
116	Sold	1000	M24/26c	40	12411/12
287	Sold	1000	M24/25c	28	12416/17
560	Sold	2000	M23/24p	24/25	^M12402
737	Sold	2000	N24c	205/223	12406/07
2 + 5yr.
287	Bot	1000	+M-N 17c Cal	Even
660	Bot	2000	TwoYrU108.7/109combo +c	4/5
825	Bot	2000	Two Yr U08.7/09/09.2/09.5c Condor	4
709	Sold	750	Two Yr M09.2 Strdl	9
714	Sold	3000	TwoYr U107.7p	5
Fed Fund
006	Bot	3000	X81/87c	.50	X9969/69+
006	Bot	1000	U81/87c	.50	U9974/74+
006	Bot	1000	V81/87c	.50	V9972/72+
287	Bot	1000	+N75p/-Q62p Diag	.50
660	Bot	300	G9900p	2	G9957+/58
690	Bot	1100	X75c	3	X9969+/70
714	Bot	1200	V68c	8	V9972/72+
825	Bot	300	G9900p	2	G9957+/58
825	Bot	250	U68p	2.50	U9974/74+
915	Bot	300	G9900p	2	G9957+/58
915	Bot	900	U68p	2.50	U9974/74+
006	Sold	200	Z68/75/81 c Fly	2	Z9966+/67
287	Sold	300	X75c	3	X9969+/70
560	Sold	250	K75/81p	2	K9979/79+
690	Sold	300	Z68/75/81 c Fly	2	Z9966+/67
690	Sold	250	-N75p/+Q62p	.50
690	Sold	250	Q75p	2.50	9976
690	Sold	500	X68/75 c 1x2	1.75	X9969/69+
690	Sold	2800	X81/87c	.50	X9969/69+
690	Sold	1000	U81/87c	.50	U9974/74+
690	Sold	1000	V81/87c	.50	V9972/72+
690	Sold	250	U68p	2.50	U9974/74+
690	Sold	200	V68c	8	V9972/72+
714	Sold	500	U68p	2.50	U9974/74+

 

Treasury Trading Update Midsession.

 
As chart below shows 10yr. futures took off to the upside at the beginning of the open out cry session. Option flows were mostly mixed and the big strangle seller took advantage of the strength to sell more of the Sep. 122 calls. Commodity prices are very weak as oil prices pushed below $ 70.00/ brl.. Gold and copper prices are plummeting from recent highs as well. Euro currency has so far avoided yesterday’s lows and Trichet insists that the ECB is not engaging in QE.

Early flows in 10yr. options included but were not limited to the following:

TY
RJO	S	500	TYM119.5/TYN118p diag. July over	0.31	12028/28.5
Morg. St.	B	500	TYU 120 strad	3.52	12027/28
Mann	B	600	TYN121 c	0.55	12027.5/28
J.P. Morg	S	500	TYM120/121/122 cfly	0.27	12030/30.5
Morg. St.	B	1,000	TYU114/117p 1X2	0.17	12025/25.5
Foris	B	500	TYM119.5 p	0.02	12025/25.5
Paper	B	500	TYM120/120.5 p 1X2	0.03	12023/23.5
Paper	B	3,000	TYU117/123 combos call over	0.01	^11927.5 +28
Paper	B	1,000	TYM121.5/122.5 cspreads	0.07	12027.5/28
Paper	B	3,000	TYU113p	0.12	^11928
Smith B	S	1,000	TYM120p	0.03	11931/31.5
J.P. Morg	S	8,000	TYU122 calls	1.13 and 1.12	12107 to 04

Eurodollars saw strong rally in Green contracts as equities traded weak in the early going.

Some of the larger flows in ED options listed below.

ED
Merril	B	4,000	EOM9875/9887.5 c spread	7.5	N/A
BCG	S	5,000	EDU09900/9912.5/9925/9937.5 p cond	2.5	N/A
Goldman	S	5,000	EDZ09825/9875 c spread	0.42	N/A
UBS	S	10,000	EDZ0 9825 call	91	N/A
UBS	S	5,000	EDZ0 9875 call	48	N/A
Fimat	B	10,000	EDM 9912.5/9925 put stupid	7.7 to 9	9936 last
Fimat	B	10,000	EDU 88/82 ps vs 95 call     ps over	3.5	N/A
Straddle update as of 8:30 a.m.c.s.t.
STRADDLES:
EDM0 9937= 15/16     f=9936           SHRTS
EDN0 9925= 25.5/26.5            EOM1 9887=17/18.5 5 F=9883
EDQ0 9925= 29.5/31   f=9917     EON1 9862=30/31     f=9864
EDU0 9925= 33/34                EOQ1 9862=37/39
EDZ0 9912= 49/50     F=9906     EOU1 9862=45.5/46.5
EDH1 9900= 63.5/64.5 F=9898     EOZ1 9837=65.5/67   f=9839
EOH1 9812=83/84.5   f=9816
REDS
EDM1 9887= 83/84       f=9883
EDU1 9862= 98/99       f=9864
EDZ1 9837= 111/112     F=9839
EDH2 9812= 125.5/126.5 f=9816

Red Straddle as of 10:00 a.m. listed below:

Red straddles:                         
 edm1 9887 ^ 79/80.5 f=9884                  
 edu1 9862 ^ 98/99 f=9865                   
 edz1 9837 ^ 111.5/112.5 f=9840                

edh2 9812 ^ 123/124 f=9817

 
Lastly some trade on the 5yr.
30yr. sector of the curve.

 


Some flows in the 2yr. and
5yr. calendar spreads.



 

TU				Diff	Tails
Smith B	S	1,000	TUM/U spreads   -130 extra M	11.5	10909.25
Smith B	S	500	TUM/U spreads  -65 extra M	11.5	10909.25
Smith B	S	1,000	TUM/U spreads -130 estra M	11.5	10909.25
5yr.
Goldman	B	7,000	FVM/U spreads  on an all or none	27.2
Merril	S	7,000	FVM/U spreads  on an all or none	27.2
Smith B	S	1,000	FVM/U spreads	27