Once again the forces of major import are surfacing. On the one hand the treasury is targeting and buying treasury securities you can tune in yourself hear to look at the schedule: http://www.newyorkfed.org/markets/tot_operation_schedule.html . Front running has been cited given the well advertised event.
On the other side of the trade is the expansion by our Asian
creditors into up and coming markets in terms of their bond investments.
Reports this a.m. indicated
Re. more mundane matters: The Calendar spreads will be dominating floor activity next week and we are starting to see some names executing some rolls currently. Below is a picture of the current open interest levels vs. Sep. and Dec.
10’s currently Sep. has 1.8 million vs. 102K in Dec. spread has traded 26.2 and 26.5 differential today
30’s currently Sep. has 697K vs. 18K in Dec. have not seen any activity yet today
5’s currently Sep. has 1.05 million vs. 37.5K in Dec. spread traded 25.5 differential today
2’s currently Sep. has 809K vs. 12.5K in Dec. have not seen any activity yet today
Ultra long currently Sep. has 196K vs. 1K in Dec. have not seen any activity yet today.
1st notice day is Aug. 31st for the treasury products, so next week will see the bulk
of activity as longs that do not want to risk being
delivered will sell sep and buy dec. It seems typically those flows come first
causing the spread to widen a bit.
Some of the larger flows from Wednesdays a.m. session
| 8/18/2010 | |||||
| Cube | S | 4,000 | EDU90/92/95 p fly | 0.5 | 9964.7/65 |
| Paper | B | 1,000 | EDZ92/93/95 p fly | 0.75 | 9959 |
| Paper | S | 500 | EOU92 strad | 13.5 | 9929 |
| Paper | S | 250 | EOH 90 strad | 45.5 | 9895 |
| Paper | S | 200 | EDU96 strad | 8 | N/A |
| Fortis | B | 500 | EOU92 strad | 13 | N/A |
| Paper | B | 2,000 | EOU93/95 c spread | 2 | 9929 |
| Locals | B/S | 5,000 | EDU2 9812 p | 1 | 9859 |
| Paper | B | 3,000 | EDZ097/98 c spread | 1.25 | 9959 |
| Paper | S | 250 | EDH2 9887.5 strad | 74 | N/A |
| straddles: | |||||
| edu0 9962 7.75/8.25 f=9964.75 | |||||
| edv0 9962 11.5/12.5 | |||||
| edx0 9962 14/15 shorts | |||||
| edZ0 9962 15.5/16.5 f=9959.5 EOU 9925 13/13.5 | |||||
| edH1 9950 27/28 f=9953.5 EOV 9912 19/20 | |||||
| edM1 9937 37.5/38 f=9943 EOX 9912 24/25 | |||||
| EOZ 9912 29/30 | |||||
| reds EOH 9900 45/46 | |||||
| edU1 9925 49/50 f 9930 EOM 9875 62/63 | |||||
| edZ1 9912 59.5/60.5 f=9912.5 | |||||
| edH2 9900 70.5/71.5 f=9895 | |||||
| edM2 9875 84/84.5 f=9877 | |||||
| TJM | S | 10,000 | EDU9937.5p | 0.75 | N/A |
| TY | |||||
| Paper | S | 500 | TYU126 strad | 0.6 | 126'00 |
| Paper | B | 500 | TYU125 puts | 0.09 | 12531/00 |
| Paper | S | 300 | TYU126 strad | 0.59 | 126'00 |
| Paper | S | 3,000 | TYZ125 strads | 3.1 | 12531 to 29 area |
| Calendars | |||||
| TY | |||||
| Smith B | B | 1,000 | TYU/Z | 26.2 | |
| Barclays | B/S | 12,284 | TYUZ 242 tails @ 30 | 26.5 | |
| FV | |||||
| Paper | B | 4,000 | FVU/Z | 25.5 | |
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