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