Treasury Trading Update

The lapse of the: at one point quite hyped month end extension; hyped by me’ as well as others (sorry for that), plus the large liquidation a couple of days ago in Dec OTM calls, plus some pretty strong selling yesterday heading into the Chicago ISM report has long end of the market drooping like an octagenarians (you choose the body part).

There was some irrational thought yesterday that one or 2 players sold 300K of treasury futures on the break that commenced just prior to the “public” release of the Chicago ISM date (apparently subscribers get the data 5 minutes or so before release). Good volume but after speaking to Globex and OIA (office of investigations and audits) nothing unusual was noted or reported. I did gather this little factoid. Since 2005 there no longer position limits in treasuries – if you have the margin you can have all you want. Only hitch is you have to pare the position down to below 60K in the final 10 days of the contracts life. My summation – yes 300K did trade in ½ hours time but we have seen that many times before and the price action of just over ½ point not all that remarkable.

Currently we have prices rebounding as the large increase in the price component of the ISM figure released earlier today has been cast aside and the overall index has been more of the current focus.  

Larger flows from today listed below:

10/1/2010
Paper	B	4,000	EDV0/EDX0 96 c spread	2.75	N/A
Paper	B	500	EDZ96/97c1X2	4.75	9963
Paper	B	3,000	EDZ0/EDM1 96/97 c spread - spread	1 Dec. over	N/A
Paper	S	1,000	EDH191/93 p spread	2.5	9957
Paper	B	3,000	EDZ0 96/97 c sprd vs EDM1 96/97 cspr	1 Cec
Paper	S	1,500	EDZ090/95 p sprd w/ EDZ0 91/95 pspr	4.5 as stupid
Paper	B	1,500	EDH1 92/95 psprd	0.03
Above executed as package for 1.5 credit (did 1.5K yesterday same levels)
Paper	S	5,000	EDV0 95 p	.25 (cab)	^9965
BCM	S	4,000	EDH1 91/93 p spread	2.5 N/A
Paper	B	2,000	EOZ95c	1	9927
Paper	B	1,000	EDH12 9787/9862 p spread	9.5	N/A
Paper	B	5,000	EDV095/96 pspread	1.25	9963
Mann	B	10,000	EOU76/78/80/82 p condor	1.5	9983
Paper	S	5,000	EDZ2 86/88 c 2X3	16.5 86.5's over	N/A
Paper	S	3,000	EDZ0 97c	1	c
cont'd
Locals	B/S	2,500	EDX0/EDZ097c stupid	1.5	63
CCM	B	9,000	EDH3 90c vs. EOH93c	even EDH3 buy	N/A
TJM	B	10,000	91/92 p 1X2	1.5	N/A
CCM	B	5,000	EDH3 90c vs. EOH93c	.5 EDH3 over	N/A
Paper	S	1,200	EDU2 9762.5 puts	16	^ 9886  20%
CCM	B	13,000	TYX125p	.29 screen/pit	^12529
Paper	S	1,000	TYX126 strad	1.39	^12529
New Edge	B	2,000	TYX126c	.49 and .50	12526 to 28
Paper	S	700X1,400	TYX123.5p/126 combo 2 puts	.27 call over	^12526
Paper	B	1,000	TYZ126.5/128 c spread	0.32	12525/25.5
cont'd
Advantage	S	2,750	TYZ124/128 strangles	1.15 and 1.14	12526 to 12601
Advantage	B	5,000	TYZ128c	0.4	12600
Advantage	S	1,000	TYZ124/128 strangles	1.15	12606
Fortis	B	1,000	TYZ128.5/129.5 s spread	0.13	12603/03.5
Paper	B	1,000	TYZ127.5/128.5/129 c fly	0.12	12603/04

Comments

[KTT]

thanks for your daily insight of the options market.....i was wondering if there was ne relationship btw CCM's trade in 10's and eurodollar h3 coz they seem so....wats ur take??

[Tom Pantelis]

Hi,

Very possible the trades are related. Prior to the housing crisis one of the

if not the biggest users of our financial futures products were the mortgage

servicers - Country Wide, Wells Fargo, Wachovia, etc. At one point Country

Wide did buy an interest in CCM so obviously they were doing a lot of business

through that firm. Of course without knowing exactly what account was trading

the business, I can only guess and infer. Hopefully we are seeing a return of

that kind of business to our markets and those types of players are getting

more active. As you know Country wide was folded into B of A but perhaps some

old relationships are being resurrected.

Thanks your your question - it is always good to try and analyze the large order

flows and watch the volume and open interest reports. Please keep your thoughts

coming and I will try to remain aware.

TP