I submit to you that our municipal debt market does matter. The current stigma associated with fiscally unsound countries in Europe is exactly the same as fiscally unsound states here in the US. Moving into next year more and more measures will have to be taken to attempt to rectify what many say is unrectifiable (my spell check says that isn’t a word but I don’t care). Point is what is happening in that market is certainly weighing on the treasury market.
I believe it weighs because of what is happening with the increase to get deals done this month. The ending of the Federal subsidy on the interest expense for issuers of the “build America bonds” or BAB’s has caused issuers to get deals priced this month and is causing severe problems with too much supply coming and not enough willing buyers.
Therefore if the subsidy for build America bonds were to be reinstated there could likely be a significant down shift in yields including treasuries, so keep an eye on that. Apparently some measures in that regard may be underway.
Larger trades from this a.m. listed below: Still seeing put buyers emerge on the Fed Funds contract, also in the ED options vs. the Red (2012) contracts.
| 12/16/2010 | |||||
| Screen | |||||
| Paper | B | 3,000 | EOF86/83/82 p fly | 3 | 9884.5/85 |
| New Edge | B | 20,000 | EDH13 82/85/91 c 1X2X2 | 3 | 9777 area |
| Paper | B | 20,000 | EDM1 95/96 c 1X2 | 3 | 9939 area |
| Paper | S | 6,000 | EDU1 9925 strad | 48.5 and 48 | 9923 area |
| Paper | B | 5,000 | EDH13 9825/9850 c spread | 7.5 | 9774 area |
| Advantage | S | 4,000 | EDU1 9937 strad | 43.5 | N/A |
| They have been selling this strad (new position) around 50K times since last week 45.5 to 42 area | |||||
| Paper | B | 5,000 | EOU 9750/9800 p spread | 11.5 | 9830.5/31 |
| TJM | S | 10,000 | EOU 9700/9875 squash call over | 2.5 | ^9831 52% |
| Fed Fund | |||||
| New edge | S | 250 | FFV9950 p | 8 | N/A |
| JP Morg | B | 1,000 | FFU 9900p | 2.25 | N/A |
| Paper | S | 1,000 | FFQ 9900 p | 1.25 | N/A |
| Mann | B | 1,000 | FFX89/92p sprd | 3.75 | N/A |
| Fortis | B | 500 | FFM9950p | 1.25 | N/A |
| Locals | B/S | 500 | FFM9937/9950 p spread | 0.5 | N/A |
| New edge | S | 250 | FFZ 9750 p | 8 wkg. More | N/A |
| 10yr. | |||||
| Paper | S | 5,000 | TYF117.5/120.5 combo's | .03 and .02 call over | ^ 11906 |
| JP Morg | S | 500 | TYH 117/120 p spread | 1.16 | 11903/04 |
| RJO | B | 750 | TYH119 strad | 3.39 | 11904 |
| Paper | B | 500 | TYF120/120.5/121/121.5 c condor | 0.05 | 11901/01.5 |
| Mann | B | 500 | TYF119p | 0.52 | 11827/27.5 |
| 1st Op | B | 1,000 | TYH115p | 0.39 | 11827/27.5 |
| New Edge | B | 1,000 | TYF 121/122/123 c fly | 0.03 | 11825/26 |
| Smith B | B | 2,000 | TYG122/124c1X2 | 0.09 | 11828.5/29 |
| New Edge | S | 500 | TYF119p | 0.48 | 11830/31 |
| RJO | S | 500 | TYF119 strad | 1.28 | ^11829 |
| New Edge | B | 500 | TYF119.5/120.5 c1X2 | 0.07 | 11902/02.5 |
| Paper | B | 1,500 | TYG118.5 strad | 2.53 to 2.56 | 11829 to 02 |
| 1st Op | S | 500 | TYG115/117 p spread | 0.22 | ^11904 |
| Paper | B | 2,000 | TYG121/122.5 c 1X1.5 | 0.13 | N/A |
| CSFB | S | 5,000 | TYF119p | .42 and .41 | ^ 11902.5 |
| Ultra | |||||
| Merril | S | 600 | ULF 122 put | 1.16 | 12124 |
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