Weaker than expected Philly Fed “Survey” was the catalyst to take Sep. 10yr. futures (and related fixed income futures) above
recent key levels, and to test and penetrate downward sloping trend lines. Price action since and currently has prices just hugging the line, note the 5yr. had a much more potent break out, as did the 30yr. futures but a bit less. In terms of the 10’s playing the upside move requires a trailing stop, that now should reside @ 120’17 area. Why so tight? Because this could well reverse and perform to the down side. 120’18.5 is more or less a pivot point right now, failure to stay above it could send prices down ½ point or more. Also analysts note that the survey was not as weak as headline component and some components registered rather significant gains. Also commodities over all remain in up trends and the US dollar is off pretty much across the board.
Larger flows in Treasury Options from Thursdays session listed below.
| 10yr. | |||||
| 714 | Bot | 1000 | N19p | 9 | 12010+/11 |
| 560 | Bot | 5000 | N18+/19+p | 11/10 | 12011/16 |
| 370 | Bot | 4000 | N23c | 3 | 12012+/13 |
| 685 | Sold | 500 | N20+Stdl | 109 | U12010 |
| 714 | Sold | 500 | N18+c | 203 | 12016/16+ |
| 714 | Sold | 500 | N21/22c | 15 | 12016+/17 |
| 714 | Bot | 500 | N19p | 8 | 12015/15+ |
| 006 | Bot | 500 | U19Stdl | 323 | 12014+/15 |
| 287 | Bot | 3000 | U22/25c | 42 | U12016 |
| 714 | Bot | 500 | +Q22/23c/-N21+c | 1 | 12016/17 |
| 815 | Sold | 500 | N20+Stdl | 111 | 12023+/24 |
| 560 | Bot | 1800 | Z10/13P1x2 | 3 | 12023/24 |
| 714 | Bot | 1000 | Q17/18p | 8 | 12022/22+ |
| 617 | Sold | 500 | U17/24+Stgl | 47 | 12020/21 |
| 714 | Bot | 500 | +N21+/22+c/-N19+p | even | U12021 |
| 355 | Sold | 5000 | N22c | 10 | 12023+/24 |
| 714 | Bot | 1000 | Q20+p | 63 | U12024 |
| 737 | Bot | 1000 | N20p | 16 | 12025/25+ |
| 287 | Sold | 1000 | U22c | 60 | 12022+/23 |
| 685 | Bot | 500 | N20+Stdl | 106 | U12024 |
| 685 | Bot | 500 | U20+Stdl | 303/302 | U12024 |
| 370 | Bot | 5000 | Q18+p | 22 | 12024+/25 |
| 714 | Sold | 1000 | N20p | 16 | U12023 |
| 685 | Sold | 750 | Q20+Stdl | 213 | U12024 |
| 30yr. | |||||
| 148 | Sold | 2500 | -U/+Q18p cal | 32/31 | 12327/28 |
| 197 | Sold | 500 | N26/28c | 18 | 12410/11 |
| 287 | Sold | 1500 | U23p | 213/12/09 | 12412/13 |
| 714 | Sold | 500 | N25/29c1x2 | 34 | 12410/11 |
| 2 + 5yr | |||||
| 370 | Sold | 1500 | N17+c | 14/15 | |
| 415 | Sold | 2000 | N18c | 7.5 | |
| Fed Fund | |||||
| 690 | Sold | 500 | X75Stdl | 8.50 | X9973/73+ |
| 690 | Bot | 450 | X75Stdl | 8.50 | X9973/73+ |
| 714 | Sold | 2000 | X68/75c | 5.2 | X9973/73+ |
| 690 | Bot | 1000 | X68/75c | 5.2 | X9973/73+ |
| 815 | Bot | 500 | X68/75c | 5.2 | X9973/73+ |
| 915 | Bot | 2250 | F68/75/81c fly | 1.75 | F9970+/71 |
| 690 | Sold | 2000 | F68/75/81c fly | 1.75 | F9970+/71 |
| 690 | Sold | 1000 | U81/87c | .50 | U9977/77+ |
| 690 | Bot | 1700 | F75/81/87cfly | 2.50 | F9970+/71 |
| 690 | Sold | 2000 | F75/81/87cfly | 2.50 | F9970+/71 |
| 685 | Bot | 500 | F75/81/87cfly | 2.50 | F9970+/71 |
| 685 | Bot | 2500 | F81/87c | .50 | F9970+/71 |
| 690 | Sold | 3500 | F81/87c | .50 | F9970+/71 |
| 006 | Bot | 1000 | F81/87c | .50 | F9970+/71 |
| 690 | Sold | 1000 | U81/87c | .50 | U9976+/77 |
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