Treasury Trading Update

Ok, yesterday 1^st thing in 10yr. options the at the money straddle was trading 7 ticks lower right from the get go. Today the Sep. 122.5 straddle was bought outright @ 136 after settling 137 yesterday. Then paper paid 137 for it covered against 12214.5. There was also some covered put buying. Point is Vol. unlike yesterday was more or less bid up a bit in today’s early going.

 

Over all as charts below show commodity prices are pressing higher and even though the correlation is not always high and dynamic it is very typically a good indicator for interest rate direction as I’ve noted many times before.

Larger flows from this a.m.'s session include but not limited to the following:

7/27/2010 Paper B 1,000 EDZ095c vs. EDZ87/92 p spread  6.5 call over 9949 TJM B 2,500 EDZ090/92 p spread 2.25 9949 New Edge S 3,000 EDZ096/97 c spreads 2.5 9949 Paper B 1,000 EOQ9293 c spread 1 N/A Paper B 250 EOU91 strad 20.5 9907 Paper B 300 EDZ2 82/85/87 c flys 4.5 9797 New Edge B 2,500 EDZ1 87/90/92 c fly 2 9908 Paper B 2,500 EDU1 72/77/82/87 p condor 5.5 N/A 1st OP B 5,000 EDZ95c vs. 87/92 p spread 6.5 ^9949 60% RJO B 2,500 EDU172/77/82/87 p condor 5.5 9908 ICAP B 1,500 EDH19950 call 9 ^9940.5 40% TY Paper B 500 TYU122 strad 1.36 122'14/14.5 Paper B 500 TYU122.5 strad 1.37 ^12214.5 Paper B 1,000 TYU121 p 0.22 12210.5/11 Paper B 5,000 TYU119.5/120.5/121.5 p fly 8 122'12/13 Paper S 2,000 TYU122 p 0.41 ^12211.5 Paper B 1,400 TYU122.5 strad 1.39 N/A Smith B B 1,000 TYU121p 0.23 12209/09.5 Paper S 500 TYU125/127 c spreads 0.04 N/A Locals B/S 1,000 TYU125/127 c spreads 0.04 ^12207 FV CSFB B 5,000 FVU117p 4 11825/25.2