Treasury Trading Update

Global growth took a bit of a hit with a much weaker than expected GDP report out of Japan setting a very negative tone for equity markets as the sun rises in the east and sets in the west. This of course has goosed treasuries higher and we are seeing some otm call buying on the Ultra long options as shown below. The underlying deliverable for the Ultra long contract has to have 25 years left in terms of maturity, as opposed to the 30yr. future which only requires 15 years or longer.

Tomorrow the US treasury and housing department consider what to do about Fannie Mae and Freddie Mac. The market has been trading like they will try to eliminate higher coupon paper which has left dealers scrambling for duration. Could be a significant event.

Elsewhere equities did open weak here in the US but RSI’s are a bit over sold, on intraday charts – the bounce now has them getting to near over bought levels. See chart below.

Larger flows from Monday a.m. session listed below.

8/16/2010
Paper	S	2,000	EDH88/93 p spreads	0.06	9948/48.5
Paper	B	2,000	EDU93/95/96 p flys	1.5	9961.5/62
Paper	B	10,000	EDU 9912.5 puts	1	^9961  10%
Cube	B	5,000	EDH197/98 c spreads	1	9949
Paper	B	500	EDH85/95 strangles	17	9948..5/49
Paper	B	2,500	EDU2 86/87/88 c flys	2.5	9857
Paper	S	500	EDZ9950 strads	21.5	9955
straddles:
edu0 9962 8/8.25    f=9961.25
edv0 9950 16/17
edx0 9950 18/20                         shorts
edZ0 9950 21/22      f=9955            EOU 9925  14.5/15.5
edH1 9950 27.5/28.5  f=9949            EOV 9912  20.5/21.5
edM1 9937 37.5/38.5  f=9939.5          EOX 9912  25/26
EOZ 9912  30/31
reds                                      EOH 99912 49.5/50.5
edU1 9925  49/50      f 9927            EOM 9875  62/63.5
edZ1 9912  59/60       f=9909.5
edH2 9887  75/75.5     f=9892.5
edM2 9875  84/85       f=9874.5
Paper	S	1,000	EDU0 9962 c	3.5	9961/62
JB Drax	B	10,000	EOZ88/91 c spreads	18	9910
Paper	B	3,000	EDU 96 calls	3.75	9961.75
Paper	B	500	EDU 9900 puts	0.5	9962
Paper	S	2,500	EDH93/96 strangle	17	9949/49.5
TY
Paper	B	500	TYZ127c	.54 and .54	12530/30.5
Paper	S	1,000	TYZ126.5 c	0.62	^125'02
Paper	B	500	TYU/TYV 126 call calendars	0.1	12530/31
Paper	B	1,250	TYZ121/129 combo's	0.05	^12408.5
DT	B	500	TYU124.5/125.5 p 1X2	0.08	126'03/03.5
Paper	B	750	TYZ125.5 strads	3.13	126'03/03.5
Mann	S	500	TYU126/127 c spreads	0.24	126'03/03.5
Paper	B	500	TYZ130 calls	0.19	125'08
US
Cube	B	5,000	USU126/130 p spreads	0.1	133'00-03
Paper	B	500	USU 126 p	0.01	133/02
Paper	B	350	USU134/137 c 1X2	0.25	132'29
New Edge	B	1,000	USZ 131/132 strangles	5.47	133'02/03
RJO	B	600	USU 133 strads	2.12	133'11
ULTRA
Paper	B	500	ULU150/155 c spreads	.13 and .15	140'00 to 02
Paper	B	100	ULV152 c	0.2	140'05
yld curve
JP Morg	S	750	FVU	120'19.7
JP Morg	B	500	TYU	125'31.5