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…
Hi,
I really appreciate your efforts behind this blog. I would, as a reader of your blog, request you to also post happenings in the underlying treasury market and also TIPS apart from tsy futures and options market, which you are already covering in an excellent manner.
This is a very sincere request from me if you can for the larger interest of the readers of this blog add something on this, that will be quite nice.
Thanks for your posts and keep it up,
Cheers!
Pratik
Posted by: Pratik Kothari | 09/30/2010 at 12:42 PM