- Trends all firmly down in Fixed Income.
- WSJ report puts Damper on expectations for aggressive asset purchases
- Short end seeing decent call buying vs. the Dec. 12 ED futures continuing
- After firming yesterday straddles come off early in Treasury options.
- Bill Gross at pimco also pissing on QE thinking long run bull market in bonds at a momentus end. *
* Judge this man but what he does not what he says – capiche.
Dollar index trending higher – daily moving averages crossed early last week, even though we had a sharp spike down on Friday the trend is moving up. It seems to be a function to some degree as to how much asset purchasing (money printing) the US will be doing. The less they do it seems to weigh on stocks and bonds.
It still seems reasonably clear that even though we may not get much more than $100 bln. Per month in purchases, the funds rate target will be remaining low for years. This should reward call buyers vs. contracts such as Dec. 12 that are trading under 9900.
Weekly trend in 30yr. contract now decisively down – see chart below – weekly trend in 10’s look to be on the verge of crossing. What is going on – I thought 2.50% was supposed to be some sort of maginot line – currently 10yr. cash is trading 2.69%. This sort of downward momentum (weekly M.A’s) are pretty powerful, so getting a turn around may be fairly tough assuming that is necessary.
Larger flows from a.m. session listed below:
| 10/27/2010 | |||||
| Screen this A.M.: | |||||
| grn dec 9900 call trades 8, 4500 | |||||
| grn dec 83/86 p/s trades 4.5 to 5, 300 | |||||
| red dec 9900 put trades 15.5, 250 | |||||
| red dec 9875 put trades 12, 400 | |||||
| shrt nov 92/93 p1x2 trades .5, 500 | |||||
| edz0 9962 put trades 4, 500 | |||||
| edz0 9912 put trades .75, 6000 | |||||
| Paper | B | 1,000 | EDZ2 90/92 c spread | 5.5 | |
| Paper | S | 1,000 | EOZ92 p | 6 | |
| Paper | S | 500 | EDU2 9900 strad | 78 | |
| Fortis | B | 2,000 | EOZ 88/90/92 brkn p fly | 2.5 | 9937 |
| Paper | B | 5,000 | EDZ2 90/91/92 c fly | 2 | 9884 |
| Paper | B | 500 | EDZ2/EDH3 92 c spread | 0.5 | N/A |
| Fortis | S | 750 | EDZ2 9887 strad | 30.5 | 9885 |
| Locals | B/S | 1,000 | EDX093/95/96 pfly | 0.75 | 9985.5 |
| TJM | B | 5,000 | EDM/U 87 pspred w/ EDH90/92 psrpd | 5 (buy both) | N/A |
| CCM | B | 15,000 | EDZ2 9900 c | 8 | 9884 area |
| TY | |||||
| Paper | S | 500 | TYZ125.5 strad | 2.07 | ^12511 |
| Paper | B | 1,000 | TYZ119p | 0.02 | 12509 to11 |
| Paper | B | 500 | TYZ127.5/129.5/130.5 c fly | 0.12 | 12505/05.5 |
| Paper | S | 500 | TYZ125.0 | 2.05 | 12514/14.5 |
| New Edge | S | 3,000 | TYZ 126/127/128 c tree | 0.1 | 12515/15.5 |
| Locals | B/S | 1,000 | TYZ130c | 0.02 | 12513 |
| Mann | S | 2,500 | TYH122.5 p | 0.63 | 12513/13.5 |
| Mann | S | 1,000 | TYZ126.5/127.5 strangles | 2.03 to 2.02 | 12513/14 |
| Crossland | B | 500 | TYF128.5 c | 0.12 | 12513.5/14 |
| Merril | B | 3,000 | TYZ122/124.5 psprd vs. 128c | .21 psprd over | ^12512 40% |
| Mann | S | 1,500 | TYZ124p | .33 to .31 | 12510.5 to 13 |
| BCG | BS | 1,000 | TYZ123/124 p spread | 0.14 | 12512/13 |
| Mann | B | 500 | TYZ128c | 0.11 | 12509.5/10 |
| TJM | B | 1,000 | TYZ126/126.5/127 call flys w/ | see below | |
| TJM | B | 1,000 | TYZ 126/126.5/127/127.5 c flys | .07 buy both | 12510/11 |
| Goldman | B | 2,500 | TYZ 122p | 0.1 | 12511/12 |
| Block Trade | |||||
| 10yr | |||||
| Block | B/S | 7,245 | TYZ poseted 7:31 a.m.c.s.t | 12508.5 | |
| Fed Fund | |||||
| Paper | B/S | 500 | FFF9987c | 0.75 | N/A |
| Locals | B/S | 1,000 | EDX0 9937/9950/9962 p fly | 0.75 | 9965.5 |
| ED futures | |||||
| Drax | S | 1,000 | EDZ12 thru EDU13 | -8.5 to -9 | |
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