A rare occurrence – volatility actually bid up across the board from the opening levels. 10’s experienced a fairly sharp drop just prior to the open and all contracts dropped earlier as a much stronger than expected UK GDP figure roiled fixed income lower.
After finishing with decent gains yesterday, 30yr. futures have resumed trend lower with some vigor. Next downside target looks to be 12914 to 12905 area.
Given that policy moves by the Fed are still data dependant – data such as the UK experienced this a.m. is greatly magnified. There were calls to cut back on asset purchases in the UK almost immediately after the data’s release.
We have important US data due out Friday including Q3 GDP expected to show a 2.0% reading up from 1.7% in Q2. The price index is expected to rise 2% as well vs. 1.9% in Q2. We also get Chicago PMI. Any strength in these numbers will cause similar reaction and calls for asset purchase restraint.
Note: on players sheet CCM exiting trade – some of which put on 10/21 when they bought the call spread and sold the puts @ even money when futures were trading 9899 area. They were also big sellers of the EDM1 90 /93 p spread that day @ 4 ticks see: http://financialfutures.typepad.com/kiss/2010/10/treasury-trading-update-10.html
Larger flows from a.m. session listed below:
| 10/26/2010 | |||||
| screen this a.m. | |||||
| edz1 call 9962 call trades 7.5, 2500 | |||||
| edz0 93/95/96 put fly trades .75, 200 | |||||
| edz0 9975 call trades 1, 1000 | |||||
| edx0 9962 put trades 1.75, 150 | |||||
| TJM | B | 5,000 | EOX 9950c | 1.5 | N/A |
| Paper | B | 10,000 | EDZ2 9925c | 2 | 9887 |
| XFA | B | 1,500 | EDM2 90p | 28.5 | 9916/16.5 |
| XFA | B | 5,000 | EDH2 91p | 23.5 | N/A |
| RJO | B | 4,000 | EDH3 92/93 c spread | 1.5 | 9871 |
| CCM | B | 6,000 | EDZ287p vs 91/93 c sprea | 6.5 to 8.5 p over | 9886.5/87 |
| Crossland | B | 1,000 | EOX/EOZ 95 c spread | 1.5 | N/A |
| Fortis | S | 1,000 | EDU1 9950 strad vs EDU2 9900 strad | 41 | N/A |
| CCM | B | 10,000 | EDZ287p vs 91/93 c sprea | 7 put over | 9888.5/89 |
| CCM | B | 11,000 | EDZ287p vs 91/93 c sprea | 8 put over | 9887/87.5 |
| 10yr. | |||||
| Smith B | B | 10,000 | TYZ126.5/127 c spread | 0.13 | 12530.5 |
| Paper | B | 500 | TYZ130c | 0.03 | N/A |
| Merril | B | 2,500 | TYZ125.5/128.5 s cpsread | 1.25 | ^12530 |
| RJO | B | 750 | TYZ126/127 strangle | 1.35 | ^12604 |
| New Edge | B | 1,000 | 120.5/121.5/122.5 p fly | 0.02 | 12530/31 |
| Swiss B | S | 700 | TYZ129c | 0.07 | ^12530 |
| Bache | B | 500 | TYZ125p | 0.39 | 12529.5/30 |
| Paper | S | 500 | TYH125/129 c sprd vs. TYZ125c | 0.6 | N/A |
| Paper | S | 750 | TYZ126 strad | 2.02 | 12530.5/31 |
| New Edge | B | 5,000 | TYZ127p | 1.4 | ^12530 |
| Paper | S | 1,000 | TYZ122.5/123/124 p fly | 0.07 | 12528.5/29 |
| JP Morg | S | 1,000 | TYH125.5p | 1.59 | ^12507 |
| Paper | B | 500 | TYZ122/123/125/126 p fly | 0.16 | 12529/29.5 |
| Paper | B | 2,000 | TYZ125/128 strang vs 124/129 str | .27 and .28 | 12925 to 30 |
| 30yr. | |||||
| Paper | S | 4,000 | USZ136/139 c spread | 0.21 | 13104 |
| Ultra | |||||
| Merril | S | 325 | ULZ132/135 p spread | 1.08 | 13516 |
| 5yr. | |||||
| Merril | B | 4,400 | FVZ119/120 p 1X2 | 0.03 | 12105 |
| Fed Fund | |||||
| Paper | B/S | 700 | FFX 9987 c | 0.25 | N/A |
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