A rather eventful day – a frantic emailer queries: what's up with all these wild curve gyrations??
Since he is an old Pal – and more importantly not a paying
customer I tell him: Hey it's all you New Yorkers running amuck. Were trying to hold
things
together here in
He replies: so......that's your informed opinion of the curve action the last 2 days?
So now he’s getting a bit serious so I reply:
Actually
looked at the 5-30 spread currently around 242 bps well above the 55
day moving average of 214.
Old Merril desk sold 7,500 5yr. futures around 11910 area vs. buying 2,000
ultra
long bonds around 13200 area – an analyst here thought they were getting out -
might
have been a European account getting out but not sure broker would not
intimate anything.
Also some big liquidation in some at the money calls UBS sells 35K of the
Sep. 123-125 call spreads they been long those for a while.
Refunding has been going well and we should see month end duration-extension
buying so we could see long end keep moving up through tomorrows session.
That better??
Anyway,
since the 7yr. auction 10’s have traded off a bit to the 12300 area after
trading
Above
12306 around auction time. Players list below show the contract was around 12310
area when all the call spread selling (liquidation from positions put on in
June) ensued. Equity market
plunged mid morning but have since retraced. Perhaps some Fed Governor told a scary story then at the end just said boo and laughed More on that later.
| 7/29/1930 | |||||
| Screen this a.m.: | |||||
| edq0 9950 put trades .75 and 1, 1500 | |||||
| edu0 9937 put trades 1.25, 1000 | |||||
| edu0 9962.5 call trades 3 and 3.25, 1000 | |||||
| edq0 9962.5 call trades 1.75, 500 | |||||
| edz0 88/91/93 put fly trades 1, | |||||
| edh1 9900 put 7.5, 1000 | |||||
| edz0 9962.5 call 4, 1500 | |||||
| edu0 95/96 call spread 8, 1000 | |||||
| Open Outcry | |||||
| Paper | S | 2,000 | EDQ09962.5 strads | 6 | 9958 area |
| Paper | B | 3,000 | EDU2 9800p | 4 | 9832.5 |
| Paper | B | 5,000 | EOQ90/92 combo's call over | flat | N/A |
| Smith B | S | 10,000 | EDU95/96 c spread | 8 | 9958.5 area |
| Paper | S | 1,000 | EDZ93/96 combo's put over | 1 | 9954 area |
| Paper | B | 500 | EDU91/92/93 p fly | .25 (cab) | 9958.5 area |
| Paper | B | 10,000 | EOU90/92 c 1X2 vs see below | ||
| Paper | S | 10,000 | EOU88/92 c 1X2 | 4 (90/92 over | N/A |
| Paper | B | 1,500 | EOU90/91/92 c fly | 2.5 | N/A |
| Paper | S | 2,000 | EDU9950 call | 11 | 9958.5 |
| TY | |||||
| JP Morg | S | 2,500 | TYu117.5/126 combo twice on the put | 2 | ^12226.5 |
| Paper | S | 2,000 | EDU9950 call | 11 | 9958.5 |
| New Edge | S | 5,000 | TYU 121 puts | 11 | ^12300 and 31.5 |
| New Edge | S | 5,000 | TYU 121 puts | 10 | ^12303 and 03.5 |
| UBS | S | 35,000 | TYU123/125 c spreads | .48 and .47 | 12309 to 13 area |
| Yld curve | |||||
| Merril | S | 5,000 | FVU | 11910,7 | |
| Merril | B | 1,333 | ULU (ultra long bond) | 13202 | |
| Merril | S | 2,500 | FVU | 11910.7 | |
| Merril | B | 666 | ULU (ultra long bond) | 13130 | |
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