Treasury Trading Update

With about a week to go before the G20 meetings in Toronto, China signaled it would allow the yuan to float, after reportedly keeping it’s value around 6.83 to the dollar. The news caused a rally in commodity and equity markets in the overnight markets which carried into the US opening. Currently about 3 hours into the US trading day equities are still up on the day but intraday charts starting to show some downward momentum. Conversely 10’s which were pushed lower as capital left the fixed income arena and flowed into more risky ventures.

Take note of downside break out on 10yr. futures, currently prices back up testing the upward sloping trend line and commodities are pulling back a bit from initial gains.

Some of the larger flows in ED and Treasury options listed Below.

6/21/2010
ED options on screen prior to open.
Note there has been continued large seller (liquidating) in Mar
in the money calls. Saw cube selling them in open outcrys session.
Screen this a.m.:
edh1 9850 call trades 70.5, 13k
edh1 9937 call trades 7, 1k
edu0 91/92/93 p-fly trades 1.25, 250
edz0 9912  straddle trades 38, 150
shrt aug 82/85 p/s trades 3, 2k
shrt jul 90/91 c/s trades .5, 4k
Open Outcry  trades.
Paper	S	500	EOQ9875 strad	22.5 and 22	9877.5
Citi	B	500	EDM12 9800 stradd	121	9804
Paper	S	2,500	EDZ0 9950/9962.5 c spreads	1	^9919.5
Paper	S	500	500 EDM09900 strad	61.5	9896
Paper	B	1,000	EDU1273p vs. sell 1K EOU83 p U12 over	2.5	N/A
Paper	B	5,000	EDH9912/9937 c spread	15.5	^9909.5
Cube	S	1,500	EDH9850 call	71	9910.5/11
Paper	B	1,000	EOU85/87/90 cfly	7	N/A
Paper	S	2,500	EDZ095/96 c spread	1	9919.5
J.P. Morg	B	10,000	EDU086/88 p spread	1	9934
Paper	B	2,000	EDU93/95/96 c fly	4	9934/34.5
Paper	S	1,000	EDQ90/91/92 pfly	1	9934
Paper	S	5,000	EDN090/91/92 pfly	0.75	N/A
RJO	B	50,000	EDZ9950 c	1.5	9921.5 area
Merril	B	2,500	EDZ093/95 c 1X2	3	9922
BCG	B	20,000	EOU87/88/90 c ladder	4	9877/77.5
TY
Screen	B	16,000	TYQ121/123 c spread	25,26,27	11926 - 28 area
Fimat	B	1,000	TYQ117/118 p spreads	0.11	11927/27.5
Paper	S	1,000	TYN118.5/121 combo's call over	0.01	^11927.5
Paper	B	500	TYU122 call	0.4	11926/26.5
US
Paper	B	2,000	USN118/119	0.02	N/A