Treasury Trading Update

Interesting day with calls for weak economic growth enunciated in Asia followed several hours later by a steep plunge in existing home sales sending 10yr. yields below 2.5% which currently equates to Sep. futures trading 12620 area. Basis has of course changed since last week when 2.5% equated with a futures level of 12704 area.

Prior to the futures open strong activity in Mar. ED put options – see players below – certainly seemed prescient as Mar. futures have slipped about 3 ticks – currently trading 9955.5/56.

Calendar spreads continue to trade weak as longs making the 1^st move and rolling into a long Dec. position – 10yr. spread has currently slid from a high last week of 30.5 to current 26.5 level.

Rumors have swirled since the US open of possible hedge fund blow out fueling some of the sharp moves – also a WSJ story revisiting accurate leaks of fairly broad dissent at the last FOMC meeting are concerning traders as we approach the Jackson Hole Summit. By the way I will not be attending once again this year – however Major Revision is planning some long range recon – so stay tuned for that.

Below are larger trades from a.m. session Tues. 8/24/10

8/24/2010
Screen this a.m.:
edu0 9962 call tardes 8, 1000
edv0 9937/9962 p/s trades 3.25, 4000
edz0 9937/9962 p/s 1x2 trades .5, 1500
edz0 9925/9950 p/s trades 2, 250
edz0 90/92 p/s trades 1, 500
edh1 9925 put trades 6.5, 5000
edh1 9950 put trades 10, 5000
edh1 9925/9950 p/s trades 3.5, 40,000
RJO	B	500	EDU1 9937.5 strad	43	9934.5/35
Paper	B	5,000	EDH1 93/95/96 p fly	1.5	^9955 10%
Paper	S	5,000	EDZ2 81/83/86/88 c condor	10	9848
TJM	B	500	EDZ1090/95 p 1X2	1	N/A
They are currently bidding for good size
Paper	B	3,000	EOZ90/92 c 1X2 vs. 91/93 c 1X2	2.5 91/93 over	N/A
TJM	B	8,000	EDZ 90/95 p 1X2	1.25	9961
Went up from 1 bid
Paper	S	500	EDU 9962 strads	8.5	9968
Goldman	S	15,000	EDU0 9950c	18.5 and 18.2	9967.568
Paper	S	5,000	EOU 90/92 c1X2 vs. 91/93	Flat	N/A
New Edge	B	5,000	EDZ2 87/90 c 1X2	3.5	9846/46.5
Paper	B	500	EDU196 call	4.5	9934
straddles:
edu0 9962 8.5/9     f=9968
edv0 9962 10/11
edx0 9962 13/14                         shorts
edZ0 9962 15.5/16    f=9961            EOU 9937  10/10.5
edH1 9950 27.5/28.5  f=9956            EOV 9912  18.5/19.5
edM1 9950 31.5/32.5  f=9946            EOX 9912  24.5/25.5
EOZ 9912  29/30
reds                                      EOH 9900  43.5/45
edU1 9937  43/43.5    f 9934            EOM 9887  57/58.5	B	2,000	FFH75/87 c 1X2	7	N/A
edz1 9912  59/59.5     f=9917.5
edH2 9900  69/70       f=9901
edM2 9887  80/80.5     f=9883
Paper	B	2,000	EDZ0 90/95 p spread	3.75	9847.47.5
Paper	B	250	EOZ9912 strad	29.5	^9918
Paper	S	2,500	EDZ2 87/90 cs vs. 80 p	1 put over	N/A
Paper	B	1,000	EOZ 9950 c	1	9921
Fed Fund
Fortis	B	2,000	FFH75/87 c 1X2	7	N/A
Calendars
10yr.
Goldman	B	2,500	TYU/Z	26.7
Citi	B	1,000	TYU/Z	27
CSFB	B/S	2,910	TYU/Z	27 with 90 tails	12605
US
SmithB	S	10,000	USU/Z	44
Mann	S	3,000	USU/Z	44
TU
Smith B	S	5,000	TUU/Z	4.2
Morg. St	B	2,500	TUU/Z	4.2
FV
Goldman	S	1,000	FVU/Z	25 3% tail
UBS	B	2,000	FVU/Z	24.7
Citi	B	1,000	FVU/Z	25
TY
Paper	B	500	TYZ121 put	0.23	12612/12.5
Crossland	S	500	TYU 126 call	0.4	12612.5/13
JP Morg	B	500	TUZ 121.5 put	0.28	12612.5/13
Mann	S	500	TYX 130 c	0.1	12610/10.5
Paper	S	1,000	TYX 127 calls vs  see below		^12516
Paper	B	2,000	TYX 120 puts	.26 call over	^12516
Paper	B	1,500	TYX 127 calls vs  see below	.31 call over	^12514
Paper	S	3,000	TYX 119 p	see above	^12514
Morg St	S	2,500	TYU 125p	0.03	12610/11
Hearing also sold 12K on screen perhaps before open
Paper	B	500	TYX 120/122/124 p fly	0.16	12610/10.5
JP Morg	B	500	TYZ129 c	0.3	12613/13.5
Above trade was from just before the existing home sales decline  below are post that number
Paper	B	2,500	TYX 127/128 c spreads	0.2	12619.5/20
RJO	S	500	TYV 129 c	0.09	12619.5/20
Goldman	B	6,000	TYV 127 calls	see below	^126'14
Goldman	S	2,000	TYU124.5 c	.35 U over	^12614
TU
Morgan	B	2,000	TUU/TUV 110 call calendars	.005 (1/2 tick)	10922.7/23