Commodities are mostly trending higher across the board. One,
coffee looks ridiculously strong and has taken out the June 08 high. Apparently
a number of bullish technical’s have brought some funds into that one. The US
dollar index as you might expect was starting to turn lower, but has turned up
recently as some risk aversion has crept back into the markets. Stories
overnight that the EU and the IMF were preparing a rescue package for
Take note of the CRB chart below, and of different time charts on the Sep. 10’s. There is ample evidence for treasury yields to trend higher from here.
Bond price activity is rendered below.
Below are option players from Tuesdays session. Note UBS again bought some cheap
upside protection in 10yr. options.
| 10yr. | |||||
| 006 | Bot | 1000 | N19/20p 1x2 | 9 | 12004/04+ |
| 197 | Bot | 1000 | Q23/24c | 8 | 12005/06 |
| 197 | Bot | 15000 | Q27+c | 2 | 12004/04+ |
| 287 | Bot | 500 | N17+/18+/19+pfly | 9 | 12007/07+ |
| 287 | Bot | 1500 | N19/20c | 43 | 12006/06+ |
| 560 | Bot | 1000 | N19+c | 55 | 12029/29+ |
| 660 | Bot | 4000 | Q17/18+/20pfly | 17 | 12007+/08 |
| 660 | Bot | 1000 | U24/26c | 15 | U12011 |
| 709 | Bot | 1000 | N18+/19+p | 19 | 11927+/28 |
| 714 | Bot | 1500 | N19/20c | 44 | 12008+/09 |
| 714 | Bot | 2000 | Q17+/19+p1x2 | 3 | 12010/11 |
| 714 | Bot | 1000 | Q20Stdl | 218 | 11927/28 |
| 714 | Bot | 1500 | Q20+c | 54 | U11927 |
| 006 | Sold | 1000 | U17/24Stg | 58/57 | 12008+/10 |
| 660 | Sold | 500 | U18c | 300 | U12008+ |
| 685 | Sold | 1000 | Q20Stdl | 218 | 11927/28 |
| 714 | Sold | 1000 | N19p | 17 | U11928+ |
| local | Sold | 800 | N21/22c | 11 | 12001/02 |
| 30yr. | |||||
| 148 | Sold | 500 | N24/28c1x2 | 42/41 | 12313/14 |
| 287 | Sold | 1500 | U23c | 253/247 | 12225/26 |
| 560 | Bot | 1500 | N20p | 10 | U12229 |
| 2 + 5yr. | |||||
| 350 | Bot | 500 | N16p | 4+ | |
| 709 | Sold | 1000 | Two Yr N08.7p | 1 | |
| Fed Fund | |||||
| 830 | Bot | 500 | N81/87c spd | .50 | N9979/79+ |
| 690 | Bot | 600 | G68c | 6.75 | G9962+/63 |
| 006 | Sold | 500 | N81/87c spd | .50 | N9979/79+ |
| 915 | Sold | 500 | G68c | 6.75 | G9962+/63 |
| 815 | Sold | 200 | G68c | 6.75 | G9962+/63 |
| 825 | Sold | 200 | N81Stdl | 3 | N9978+/79 |
| 465 | Bot | 200 | N81Stdl | 3 | N9978+/79 |
| 714 | Bot | 500 | X+75/81c X-56p | Even | X9972+-73 |
| 690 | Sold | 250 | X+56p X-75/81c | Even | X9972+-73 |
| 690 | Sold | 250 | F75/81c1x2 | 2.25 | F9968/68+ |
| 915 | Sold | 750 | F75/81c1x2 | 2.25 | F9968/68+ |
| 690 | Bot | 1000 | F75/81c1x2 | 2.25 | F9968/68+ |
| 690 | Bot | 400 | G68c | 6.75 | G9963/63+ |
| 915 | Sold | 350 | X+56p X-75/81c | Even | X9972+-73 |
| 690 | Bot | 250 | X+56p X-75/81c | Even | X9972+-73 |
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