Futures Curve by Accutic

Treasury Trading Update

A bit hectic today for me on trading desk. Prices did a big genuflection early on and there were reports of Hedge fund selling prior to the release of the Chicago ISM. Apparently you can still get the report 5 minutes early if you pay a subscription, so that may well have been some of the strong early pressure. There was a fair amount of hedging activity in 10yr. options as the 127 calls vs. Dec., which were bought over 30K times yesterday were bought another 5K times around 63 today. Also some buying in the Dec. 128/130 call spread.

MBS month end index was only out .04, certainly not as much as it was supposed to go out, (mid month indications had it extending over 1 year). There did seem to be some selling but duration hedgers on the session today.

Will try to get more out later today. Just now the Dec. 10yr. straddle was sold about 5K times from 2.51 to 2.49 with futures rebounding up to 12531 area…

Treasury Trading Update

First of all, this one passed to me and therefore will pass to you from the incredibly hard working force at zero hedge: 

 http://feedproxy.google.com/%7Er/zerohedge/feed/%7E3/BGKXvR-79tA/morgan-stanley-suggests-another-fed-frontrunning-play-time-without-touching-stocks

Of urgent import is 2 things tomorrow the duration extension in the Mortgage sector is extending out significantly – that is well known – also well known is the fed will be buying paper maturing 2011 to 2030 tomorrow. Those 2 things will make it very difficult to tide the current bullish price action and we are quite likely to be trading at fresh highs tomorrow afternoon.

Trade flow below shows a large amount of profit taking on the USZ 140/143 call spread. On the other hand sizable new longs coming in on Nov. options in 10’s (they expire 10/22) perhaps hedging or looking for sharp move up continuing tomorrow.

Things remain very bullish for fixed income – low growth – low inflation – continued QE. And on the outlandish side you have to be aware that the Government is toying with the Idea of giving a “blanket refi” opportunity to anyone who wants to refinance their mortgage and take advantage of current low rate 4.5% I believe. This would be quite volatile and could send treasury rates screaming lower. After that, however I’m being advised that there could be a sharp turn – around. But hold your horses right here right now cause it seems impossible for this pipe dream to come to fruition.

More later.

Larger trades from this a.m. session include but not limited to:

9/29/1930
Paper	B	1,000	EDZ90/93 p spread	1.25	9963.5
TJM	B	2,000	EDZ092/93/95 p fly	flat	N/A
Paper	B	5,000	EDZ0 90/91 pspread	0.25	N/A
Paper	S	5,000	EDZ2 86/87/88/90 c condor	3.5	N/A
Paper	B	2,000	EDZ097c	1	9963.5
Paper	B	2,000	Front 4 97 call strip	5	N/A
Paper	B	2,000	EDZ291c	2	9874
Paper	S	5,000	EDZ285/88/90 brkn fly	18.5	9874
Paper	S	5,000	EDZ285/88/90 brkn fly	19	9874.5
Paper	B	1,000	EDZ096/97 c spread	0.06	9963
New Edge	B	5,000	EDH195/98c1X2	16	9975.5
Paper	B	1,500	EDX0/EDZ09975c spread	0.5	9964
straddles:
edv0 9962 4.5/5      f=9964
edx0 9962 9.5/10
edz0 9962 12.5/13                       shorts
edh1 9962 18/18.5    f=9957.5
edm1 9950 29/29.5    f=9950.5          EOV 9925  10.5/11.5
edu1 9937 40/41      f=9942            EOX 9925  15.5/16.5
EOZ 9925  20/21
reds                                      EOH 9912  34/35
edz1 9925  50.5/51    f 9931            EOM 9900  49/49.5
edh2 9912  61/62       f=9918           EOU 9887  61/62
edm2 9900  72/73       f=9904
edu2 9887  83/84       f=9890
30yr. Opts
UBS	S	1,500	USZ140/143 c spread	0.27	13328/29
UBS	S	3,500	USZ140/143 c spread	0.27	13400/01
UBS	S	4,000	USZ140/143 c spread	0.28	134/08
Getting out of longs position
10yr. Opts
Smith B	B	12,000	TYX125.5/126 c spread vs. 124.5p	.07 csprd over	12608/10
Paper	B	2,500	TYZ127c	1.01	12610
New Edge	B	3,000	TYZ128.5/129.5 c spread	0.14	12609.5/10
Fed Fund Opts
Mann	B	500	FFF81/87c1X2	1.75	N/A
yld curve
Block	B/Z	4,000	EDZ1/EDZ1 futures spread	56

Treasury Trading Update.

One thing to note from our trading floor recall last Friday UBS was selling EDZ11 futures about 23K times vs. buying EDZ13 – EDZ14 and EDU13 futures. Today they sold about 20K more of the EDZ1 futures to buy 20K of the EDM14 futures they initially sold 173 differential price then down to 166.

Elsewhere the curve has flattened quite a bit more as the long end is rallying with no significant pull backs yesterday or today. Today’s included weaker than expected consumer confidence numbers and word from Medley that the Fed would consider some sort of QE at the Nov. FOMC meeting.

There certainly seems to be a lot of qe fever driving rates lower – we do have somewhat of an anomaly with stock prices rallying up to and past the August highs – usually rates are not coming down on treasuries when equities rally. Rates are also well below where they were back in May of this year when commodity price as measured by the CRB index were trading around 250. Currently the CRB has rallied 35 points to 285 and rates instead of moving higher have been declining and futures prices on the 10yr. note are up over 8 points. The dollar index is off 10 points since May and that to me is the story. The race to print money and continue to live off of debt and service existing debts with more debt is a game that cannot go on. But right now we still seem to deify the Fed and Treasury, once that credibility – which has to be waning slips below a 50 reading on some kind of diffusion index – well watch out, yah?

Larger flows from a.m. session today listed below:

9/28/2010
Paper	S	2,500	EOV93c	1	9927.5
Paper	B	2,000	EDH287/90 c strip	14	N/A
Mann	B	1,000	EDZ196/97c1X2	2.5	N/A
New Edge	B	1,000	EDX096/97c1X2	4	N/A
Paper	B	250	EOZ90/92 p 1X2	1.5	N/A
Paper	B/S	250	EDU095 strad	35	^9940
Paper	B	700	EOZ95c	1	N/A
Paper	B	1,000	EOZ85/90 p spread	2.5	N/A
XFA	B	500	EDH1 93/96 strangle	13	9956.5
Mann	B	1,000	EDH3 85/87 c spread	13	N/A
JP Morg	B	2,000	EDZ29900c	3	9869
RJO	S	5,000	EOZ90/93 strangle	8	9929
Paper	B	10,000	EDZ29887c	7.5	9870
New Edge	B	20,000	EDZ2 88c	7.5	^9870  28%
Paper	B	2,000	EDZ096/97/98 c fly	5	9963
Paper	S	1,000	EDZ2 9900c	4	9872
straddles:
edv0 9962 4.25/4.75  f=9963
edx0 9962 9/10
edz0 9962 12/12.5                       shorts
edh1 9962 17.5/18    f=9957
edm1 9950 29/30      f=9950            EOV 9925  10.5/11.5
edu1 9937 40/41      f=9941            EOX 9925  15.5/16.5
EOZ 9925  20.5/21
reds                                      EOH 9912  34.5/35.5
edz1 9925  51/52      f 9930            EOM 9900  49/50
edh2 9912  61.5/62.5   f=9916.5         EOU 9875  61/62.5
edm2 9900  72/73       f=9902
edu2 9887  83/84       f=9888
5yr. Opts
Paper	S	500	FVZ119p	0.13	N/A
10yr. Opts
Paper	B	500	TYZ127/128/18.5/129/5 c condor	0.09	N/A
CCM	B	3,000	TYZ127.5c	0.48	12530.5
Paper	S	5,000	TYZ0121p	0.09	^12600.5
Paper	B	2,000	TYX126c	0.61	^12607
Paper	B	1,500	TYX126c	0.63	12608/08.5
30yr.
Paper	B	500	USZ130p	1.35	^13304
Smith B	S	7,000	USX133/134 c spread	.31 and .32	13322 area
TJM	B	2,000	USX137c	0.33	13328/29
Yield Curve
UBS	S	15,000	EDZ1/EDM14 futures spreads	173-171-166
Fed Fund opts
Paper	B	500	FFK62/81 p1X2	0.25	N/A
Tradelink	B	1,000	FFG81/87 c sprea	2.5	N/A
Tradelink	S	1,000	FFJ82/87 c spread	2.5	N/A
Mann	B	200	FFJ81/87c spread	1.5	N/A
UBS	S	15,000	EDZ1/EDM14 futures spreads	173-171-166

 

Treasury Trading Update

Governments seem more than willing to placate themselves and their constituents, especially the corrupt ones that feed at the same trough with these inbred swine. Translation – market more than assuming qe will continue and rates will head lower as nations such as China refuse to voluntarily raise the value of their currencies

Right now intraday on 10’s via the 15 minute RSI still reading over bought but prices have not pulled back much at all. Fresh conerns about Irish bank this a.m. sent Bunds and 10’s higher. Seeing some large purchases of OTM call structures in 5’s 10’s and 30’s this a.m. see below.

9/27/2010
straddles:
edv0 9962 5/6        f=9963
edx0 9962 9.5/10.5
edz0 9962 12.5/13                       shorts
edh1 9962 18/18.5    f=9958
edm1 9950 29/30      f=9950            EOV 9925  9.5/10.5
edu1 9937 40/41      f=9940            EOX 9925  15/16
EOZ 9925  19/20
reds                                      EOH 9912  34/35
edz1 9925  50/51      f 9927.5          EOM 9900  49/50
edh2 9912  61/62       f=9912.5         EOU 9875  65/66
edm2 9900  72/73       f=9896.5
edu2 9875  87.5/88.5   f=9881
New Edge	S	20,000	EOM81p vs EDH3 78p	.5 and even EO	N/A
Paper	B	2,000	EDZ0EDH1 9950 p spread	5	N/A
Paper	B	40,000	EOZ95/96 c spread	1	9927.5
New Edge	B	5,000	EDZ287/90c1X2	5.5	N/A
New Edge	S	5,000	EDZ283p	6	N/A
Above executed	ed as a package - sold the call spread @ .5 over
JB Drax	B	2,000	EDZ2 9900c	1.5	N/A
Paper	B	250	EOZ92/93/95 c fly	4	N/A
Paper	S	20,000	EDH198c	.25 (cab)
Paper	B	500	EDZ096/97c1X2	4.75	N/A
10yr. Opts
CSFB	B	6,000	TYZ127/130 c 1X3	0.29	12521 area
Paper	S	500	TYX125.5 strads	1.42 and 1.42	12421 area
Paper	B	500	TYZ128/128.5 c spread	0.07	N/A
Paper	S	1,000	TYZ124c	2.24	^12523
5yr. Opts
CSFB	B	3,000	FVZ121.5c	0.21	12018.7/19
30yr. Opts
Smith B	B	2,000	USX135/137/139 c fly	0.14	13220 area
In the Ultra long paper showd an offer in the 155/160 c spread  @ .21 futs were 14008 no trade cancled

Treasury Trading Update

Even if you normally get nauseated by looking at the cryptic list of player flows that I attach to this Blog (he wretches) do take note of the UBS trades. They could well be laying off part of some other product they are involved in so for those of you with knowledgeable contacts and suspicious natures, by all means do snoop around and feel free to report back to me any interesting findings.

Prices retreating a bit today in the long end – certainly somewhat data driven but again there has been a noticeable increase in put structures in ED options vs. calls. Call open interest has been declining last couple of session while put open interest rising, this occurring as spreads of sovereigns widening out this weak in Europe. In the immortal words of John Travolta “Ain’t it cool”.

9/24/2010
Screen this A.M.:
edx0 93/96 put spread trades 3.75, 500
edv0 93/96 put spread trades 3, 2000
edz0 9950 put trades 4.5, 250
edh1 9950 put trades 10, 500
edv0 96 call covered 9962, 50 delta trades 2.5, 750
Green dec 85/87/90 call fly trades 7, 200
Paper	S	250	EDZ09962 strad	13.5	N/A
Paper	B	500	EDZ093/95/96 p fly	1.25	N/A
Paper	S	2,000	EDZ92/95c1X2	10	9927
Paper	B	1,000	EOV88/90 p spread	0.5	N/A
Paper	B	7,000	EDU187/92 ps spread	7.5	^9941 20%
Paper	B/S	500	EDZ29850 strad	33.5	N/A
Citi	B	500	EDZ92/95 p spread	2.75	9961
Paper	B	1,000	EDZ095 p	4.5	9961.5
New Edge	S	15,000	EDH3 9900c	2	^9844 10%
New Edge	S	15,000	EOZ92/95 c 1X2	10	^9927.5 34%
Yld curve
UBS	S	10,000	EDZ1/EDZ13	187
UBS	S	10,000	ED1/EDH14	160
UBS	S	3,000	EDZ1/EDU13	123
10yr. Opts
Mann	B	2,000	TYX126.5/127.5 c spreads	0.16	12616/16.5
Mann	S	1,000	TYV/X 125 c calendars	0.41	12514/14.5
Morg St	S	2,000	TYV 125c	0.25	12511.5/12
CCM	B	1,000	TYZ124o	,51	12512/12.5
SmithB	S	2,000	TYV125.5c	0.06	12513.5/14.5
CSFB	B	5,000	TYZ127/130c1X2	0.24	^12512
Paper	B	1,000	TYV124/TYX125 c diagnol	.18 and .20	12509 to 11
SmithB	B	3,000	TYX124/125.5 ps vs 126c	.03 ps over	12508.5/09
SmithB	B	4,000	TYX124/125.5 ps vs 126c	0.08	12507.5/08
5yr. Options
RJO	S	2,000	FVX121c	0.13	12015
Same player seller of of about 20K so far this week all new position.
CSFB	B	10,000	FVZ121.5c	0.17	^12012
Fed Fund Opt
Paper	B	500	FFJ9975/FFK9962 p diag  K over	0.25	N/A

Trading Update

Some interesting – and likely sober thoughts from a long time Fed watcher points out that the extreme read on the FOMC minutes – basically that the next qe round is imminent and will be “triggered” by some yet fully articulated inflation level, was an incorrect take away by the market. Basically he says the Nov 2 and 3 meeting will be much more enlightening after the Fed does it’s homework and revamps it’s economic forecasts.

I was a bit impressed by some of the Put spread buying in ED options see players below. It seemed as though funds out of Europe were looking at various put strategies.

On the other side of the pond dealers paid up for 9981/9987 call 1X2’s – the last few sessions they were bidding 1.5 and today as list below shows they paid 1.75 as futures have firmed a bit.

Longer end of the curve still excited about imminent Fed purchases coinciding with month end duration extensions so we are still seeing good interest in October OTM call structures again see players below.

9/23/2010
Screen this A.M.:
edz0 95 put trades 4, 250
edzo 90/93 put spread trades 1.5, 350
edz0 92/95 put spread trades 2.25, 1k
edh1 88/93 put spread trades 3.75, 4500
edz1 83/88 put spread trades 6.5, 200
short dec 88/90 put spread trades 1, 300
short oct 92c trades 7, 1000
short oct 93 call trades 1.5, 1k
Paper	S	2,000	EDZ90/95p spread	3	9962/62.5
JB Drax	B	2,500	EDZ285/87/90 c tree	see below
JB Drax	S	2,500	EDZ2 83/86/88 c traee	.5 - 85 over	N/A
Paper	B	500	tommi Oct. 9925p   exp tomorrow	0.5	29
Paper	B	1,000	EDZ91/92 p spread	0.5	9962/62.5
Paper	S	5,000	EDU1 9950c	14  vs see below
Paper	B	2,500	EDH95/96 c sprea	10	N/A
ICAP	B	1,500	EDV0/EDZ0 92/95 p/s spread	1.75	N/A
New Edge	B	5,000	EDH1 95/96 c spread	10
New Edge	S	10,000	EDU19950c	0.14	^9941.5 39%
New Edge	B	10,000	EDH1 95/96 c spread	10	9940 area
JP Morg	B	2,500	EDH187/92 p spreads	3.25	9956
Paper	B	500	EDM1/EDM2 97 c strip	6	N/A
New Edge	B	1,000	shrt pack 9937 c strip	17	N/A
Paper	B	1,000	EDZ190/91/93 p fly	4.5	9929
Paper	B	5,000	EDU88/91 p apread	3.5	^9941.5
Paper	B	400	EDU92/96 strangle	21.5	9940.5/41
Advantage	B	30,000	EDZ92/95 p spread	2.5	9962/62.5
Locals	B/S	500	EDU2 9875 strad	90	9881
Locals	S	2,000	EDH1 90/96 strangle	9.5	9956/56.5
Paper	B/S	1,000	EDV0 9962 strad	6	N/A
straddles:
edv0 9962 5.5/6      f=9962
edx0 9962 9.5/10.5
edz0 9962 13/14                         shorts
edh1 9962 18/19      f=9956
edm1 9950 29.5/30.5  f=9949            EOV 9925  10/11
edu1 9937 41/42      f=9940.5          EOX 9925  16/17
EOZ 9925  19.5/20.5
reds                                      EOH 9912  35/36
edz1 9925  51.5/52.5  f 9928            EOM 9900  49.5/50.5
edh2 9912  63.5/64.5   f=9913.5         EOU 9887  62.5/63.5
edm2 9900  74/75       f=9897.5
edu2 9887  85.5/86.5   f=9881.5
edm2 9900  74/75       f=9897.5
edu2 9887  85.5/86.5   f=9881.5
Fed Fund opts
Mann	B	1,000	FFN9981/9987 c 1X2	1.75	9977/77.5
Mann	B	1,000	FFQ81/87c1X2	1.75	9974.5/75
Mann	B	2,000	FFU81/87c1X2	1.75	9972.5/73
30yr. Opts
Greenwich	B	4,000	USV134/135 c sprea	0.12	13309/10
JP Morg	S	1,000	USV132c	1.2	13308
JP Morg	B	4,000	USX134/136/138 c fly	0.18	13308
10yr. Opts
New Edge	B	1,000	TYZ122/123 p spreads	0.11	12528/29
TJM	S	1,119	TYX127.5c	.20 vs. see below	12526 to 30
TJM	B	625	USX 137c	0.38
Paper	B	5,000	TYZ127.5c	0.01	12531.5 area
RJO	B	5,000	TYZ129/130 c spreads	0.1	12529/30
RJO	B	2,000	TYZ129/130 c spreads	0.09	12523/23.5
Some Bearish trades come in w/ prices ticking down see below
Morg St	B	1,000	TYV125p	0.01	12524/24.5
Paper	B	500	TYV125.5p	0.06	12523.5/24
Mann	B	1,000	TYV127c	0.01	12325.5/26
Paper	B	500	TYV124.5/125.5/126.5 c fly	0.38	12524.5/25
CSFB	S	1,000	TYV126c	0.13	12529.5/30
Smith B	B	500	TYV125/125.5 s spread	0.27	12529/29.5
5yr. Opts
Paper	S	1,000	FVX121c	0.19	^12021

Treasury Trading Update

Post coital detumesence – hardly. this baby is still rocking with the long end giving up some gains – but almost as quickly snapping back up ¼ to ½ point very much like a motivated gooses neck – as opposed to one of indifference.

Volatility was sold aggressively at one point – see players list below, only to see vol. traders come in and start buying.  Currently prices trending sideways alleviating slight overbought readings on intraday RSI’s. Upside remains the path of least resistance and trends have just turned back up on Daily MACD.

Larger Trades from a.m. session today include but not limited to the following:

9/22/2010
screen this a.m.:
edz0 9950 put trades 3.75/1000, 4/1500
edz0 9950 call trades 17 vs. 9963 d=.72, 1200
edz0 9937 put trades 2.5, 500
edz0 9975 call trades .75/500, 1/2000
edz0 9925/9950 p/s trades 2, 500
edh1 9975 call trades 1.25, 1500
red edh2 9750/9937 sqaush trades 10, 500
shrt mar 9912/9937 call 1x2 trades 9, 500
shrt dec 9937 call trades 5.5, 2000
shrt dec 9825/9875 p/s trades 1.5, 1250
Cube	B	10,000	EDH1 9987c	cab (1/4 tick)	9957
Paper	S	7,000	EOZ90/93 strangles	9 and 8.5	9928
JB Drax	S	15,000	EDZ280/83c spread	31	9861
New Edge	B	15,000	EDH19950c	16.5	9957
Paper	S	7,000	EOZ90/93 strangles	8	9926.5/27
New Edge	B	5,000	EOZ92/95c1X2	10.5	^9928 30%
BCG	B	10,000	EOX91/92/93 c fly	3	9928
straddles:
edv0 9962 5/6        f=9963
edx0 9962 9.5/10
edz0 9962 13/13.5                       shorts
edh1 9962 18/18.5    f=9957.5
edm1 9950 31/32      f=9949.5          EOV 9925  10.5/11.5
edu1 9937 42.5/43    f=9940            EOX 9925  16/17
EOZ 9925  20.5/21.5
reds                                      EOH 9912  36.5/37.5
edz1 9925  53/54      f 9926.5          EOM 9900  51/52
edh2 9912  64.5/65.5   f=9911           EOU 9875  68.5/69.5
edm2 9900  75.5/76     f=9895
edu2 9875  91/92       f=9878
TJM	B	20,000	EOV90/91 p spread	1	9926.5
Paper	B	5,000	EDZ285/86/87 c ladder 2 legs over	1.5	9860
10yr. Opts
TJM	S	10,000	TYV125.5/126.5c 1X2	.16 to .14	12522 to 20
Paper	S	1,500	TYV126.5 c	0.05	12521
Mann	B	500	TYV124/124.5 p spreads	0.01	12522/22.5
Bache	S	2,500	TYV123.5/124.5 c spreads	0.62	12520.5/21
RJO	B	500	TYV125.5 strad	0.43	^12522
RJO	B	500	TYV126.5/127.5 c 1X2	0.05	12522/22.5
Paper	B	800	TYX123.5/124.5 p spread	0.16	N/A
RJO	B	1,000	TYV125p	0.05	^12521.5
New edge	B	2,000	TYV125.5 strads	2.53 to 2.55	N/A
Paper	S	1,500	TYV125.5 strads	2.53 to 2.52	N/A
Note seller went first then minutes later New Edge			ater new edge came in and bid it back up
CCM	S	1,000	TYZ124.5 strad	2.63	12522
Paper	B	1,000	TYX126c	0.12	12520.5/21
JPMorg	S	2,000	TYV125c	0.47	12522/23
SmithB	S	2,500	TYV125p	0.05	12518/18.5
Mann	S	2,500	TYX125 strads	1.61 to 1.58	12521.5 to 19
SmithB	S	2,000	TYV125c	0.39	12518/18.5
Fed Fund Opt
CCM	S	3,000	FFF9987c	0.5	9982/82.5
Fortis	B	1,500	FFF9981c	2.75	9982
Fortis	B	1,000	FFJ 9987/9993 c 1X2	0.5	9980.5/81
Fortis	B	1,000	FFJ9993c	0.25	9980.5/82
Showing a bid for 2K more
5yr. Opts
New Edge	S	1,000	FVV119 strad	1.38	N/A
2yr.
Paper	S	2,000	TYX109.5 strads vs. 109.7c	.13 strad over	10921.5
30yr. Opts
Merril	B	1,500	USZ122/140 combo's twice on puts	.40 call over	^13228
Merril	S	500	USZ136c	1.43	13229
Working to sell more scale up
Vision	S	2,000	USX 124/128 p spread	0.24	13213
Vision	S	2,000	USX125/128 p spread	0.2	13213
Merril	B	1,000	USX134c	1.22	13220

 

Treasury Trading Update

Today’s activity once again quite brisk in 10yr option pit. Players are listed below. I  personally found it interesting that a group of economists aka limp wristed ninnies decided the recession ended last June. Tell that to the masses of unemployed and under employed. Regardless I wonder if it means anything in terms of today’s FOMC pronouncement. Most I have spoken with feel no. One intel service mentioned that they could consider more qe the timing of which might not come along till after the Nov. elections. No one seems to feel any door has been opened in terms of allowing the Fed to suggest anything other than rates are poised to remain low for an extended period etc. Just some wishful thinking on my part.

 Larger players from this a.m.'s session listed below.

9/21/2010
Screen this a.m.:
edh1 9950 call trades 15, 500
edv0 9950 put trades 1.5, 2500
edu0 9900/9925 p/s trades 5, 1000
edz0 9925/9975 strangle trades 3.5, 1000
Paper	B	4,000	EOV9900p	2	9920.5
Paper	B/S	500	EDU2 9875 strad	94	N/A
Paper	B	500	tommi oct 92/93 c spread	1.5	9921
Paper	B	500	EDM1 9950 strad	0.33	9946
Paper	B	3,000	EOZ9812p	1	N/A
30yr. Opts
Mann	S	2,000	USZ134c	1.55 and 1.56	N/A
New Edge	S	500	USX128p	0.59	^13100
Paper	S	1,500	USV128/134 combo's	0.01	13024
5yr.
Bache	S	6,000	FVV119.5/121 combo	even put over	12004 to 05
2yr.
New Edge	B	1,000	TUZ109.5/109.75c1X2	3	N/A
10yr. Opts
New Edge	B	2,000	TYV123/124 p spread	0.14	^12421
Mann	B	3,000	TYV126.5c	0.06	N/A
Paper	S	1,000	TYX126.5/127 c stupid	0.45	^12422
New Edge	B	500	TYV126/126.5/127 c fly	0.02	N/A
Paper	B	5,000	TYV123/124 p spread	0.14	^12421
New Edge	B	2,000	TYV123p	0.05	12421.5/22
Mann	S	2,000	TYV124.5 strad	1.07 to 1.09	12422/23
RJO	B	1,000	TYX124.5 strad	2.07	^12423
Mann	S	2,000	TYV126c	0.12	^12423
Paper	S	500	TYV125c	0.31	12423.5/24
CCM	B	2,000	TYX122p	0.14	12423/23.5
New Edge	B	2,000	TYV123p	0.05	12423.5/24
Paper	B	1,500	TYV122.5/124 pspread	0.18	^12421
CCM	S	5,000	TYX122.5p	0.19	^12422
New Edge	B	1,000	TYV123.5p	0.11	12419.5/20
Local	S	1,000	TYX120.5/123 p spread	0.23	^12419.5
CCM	B	2,000	TYV126c	0.12	12420.5/21
New Edge	S	3,000	TYX126.5/127 c stupid	0.45	^12422
CCM	B	1,500	TYX123p	0.27	12422.5/23
CCM	B	500	TYX124p	0.48	12422.5/23
BCG	B	500	TYV124/125 combo's	.02 call	^12420.5
Paper	B	6,000	TYV126.5c	.06 and .07	12419to22
JPMorg	B	500	TYZ124 strad	3.02	12423/23.5
New Edge	B	500	TYV125/126/126.5 c tree	0.04	12422/23
RJO	S	1,000	TYV125.5/126.5c 1X2	0.05	12421/21.5
Merril	S	500	TYV125.5c	^12419.5
Fed Fund Opts
New Edge	B	500	FFZ9981/9987 c spred	1.5	N/A

Treasury Trading Update

Yesterday was liquidation day more or less in Oct. options which go off the board this Friday.

Below are larger trades from yesterdays 10yr. option pit.

197	Bot	1000	V22p	2	12408/09
370	Sold	500	V24p	26/25	12409/09+
685	Sold	4500	V26+c	5	12409/10
685	Bot	5000	V24+/26c	22	12409/09+
370	Bot	10000	+V24+/25c/-V22+/23p	7	12408/09
287	Bot	1000	V23p	8	12409/09+
714	Sold	2000	X26c	28	12408/08+
685	Bot	+1k/-500	+tyv24/24+Stgl /-usv30/31Stgl	57/55	12409/10
287	Bot	500	V22+/25+combo+c	8	Z12408
830	Bot	1000	X22p	21	Z12405
560	Bot	1000	Z27c	34	12404+/05+
684	Bot	2000	V24/25c	24	12403+/04
684	Bot	1500	V24/25c	23	12402/02+
714	Bot	500	V26/28c	6	12405/05+
684	Bot	1500	V24/25c	25	Z12406
714	Sold	500	X24Stdl	210	Z12406
685	Bot	500	X24Stdl	210	Z12406
197	Bot	15000	V25c	20/21/22	12408+/10+
560	Sold	1600	X25+c	38	Z12410
197	Bot	7000	V25+c	14/15	12409/11
197	Sold	5000	V26+c	6	12410+/12
684	Sold	500	V26+c	6	12411+/12
830	Bot	1000	V23/23+/24ptree	4	12410+/11
690	Bot	1000	V25+c	15	Z12410+
684	Sold	1000	V25+c	15	Z12410+
714	Bot	1200	V25/27c	20	Z12411+
287	Sold	2000	V26+c	6	12413/13+
local	Sold	1000	V25/25+c	8	Z12410+
714	Bot	2000	V25c	23	Z12411+
830	Bot	1000	V23p	8	12413/13+
385	Bot	2000	X25+/26+c	18	12413/13+

 

Treasury Trading Update

Ok now I’m convinced were on to something with these exotic Dual option notes. See chart below – back in 08 the swap curve went negative and the reason was special hedging needs of the exotic desks drove what are essentially slightly riskier bank lending rates below the “risk free” treasury rates. This looks to be triggered initially in the currency markets and seems to coincide with very strong rallies in fixed income futures. Of course there are other things driving markets but when you stop to think that the notional value of the swap contracts probably out number the actual amount of underlying securities  - well once again you’ve got these swap jocks running rough shod all over perdition.

Take a look.

Below is a quick peak at recent activity in Oct. 10yr. options: Note activity is 30yr. sector has been quite brisk but for brevity’s sake just showing the Oct. portion of the report. Dec. and Nov options are quite active as well.

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

9/17/2019
Screen this A.m.:
edz0 96 call  trades 5.5, 1000
shrt nov 92c trades 6.5, 250
shrt oct 91c trades 9.5, 2k
shrt oct 92c trades 3.5, 250
Paper	B	2,000	EDH197/98 c 1X2	0.5	9951.5/52 area
JP Morg	B	500	EDZ96/97c1X2	3.75	N/A
Locals	B/S	5,000	EDZ093/95 p spread	2	9958
New Edge	B	5,000	EOZ88/90 p spread	2.5	9919
Fortis	S	2,000	EDM9900 p	10	9944.5
Merril	B	2,000	EDV93/95 p spread	1.25	N/A
Paper	S	1,000	EOZ92/93 c stupid	0.13	9919
Paper	B	1,000	EDV9950 p	2 and 2.25	9957.5 to 58.5
FFOptions
RJO	B	500	FFH9993c	0.25	9980.5
10yr. Opts
Paper	B	1,000	TYZ125.5/127 c spread	0.29	12410/10.5
Mann	S	500	TYX124.5 strad	2.13	12410.5/11
JP Morg	S	500	TYX122p	0.22	^12405
RJO	S	1,000	TYX124 strad	2.11	^12404
Paper	B	1,000	TYZ125.5 c spreads	0.27	12404/04.5
Paper	B	700	TYV126.5/127.5 s spreads	0.02	12401.5/02
Screen	S	13,000	TYX126.5 calls	.05 and .04	N/A
Continued liquidation of 200K position in 126.5/127.5 c spread
Mann	S	500	TYV125c	0.15	12402.5/03
Paper	S	1,000	TYV123.5p	0.2	^12402
5yr. Opts
Paper	B	1,000	FVV119/119.5 p spread	0.07	11929.7 area
CSFB	B	10,000	FVV121 c	.03 and .04	up to 11931.5
30yr. Opts
JP Morg	B	3,000	USX 136/139 c spreads	0.25	13024/26
BCG	B	10,000	USV134c	0.15	13014 to 12