US Pigs aka municipal bonds suffered biggest monthly drop in November. According to Bloomberg tax free securities lost 2.29 % in November. With drawls from municipal funds rose as state and local governments were flooding the market with new offerings.
Apparently a number of municipalities withdrew potential offerings in early Nov. hoping conditions would improve – instead they now find yields at higher levels. Very difficult times indeed.
Obviously November was a poor performance for treasury bonds as well and with year end approaching capital does not seem to be flocking into treasuries. Question would be where is it going? Notes over the weekend indicated hedge funds that suffered losses will be selling holdings as redemptions rise there again where is the money going, no doubt some to gold and other hard assets.
Larger flows from a.m. session noted below. Large trades in EOH and EDZ12 option listed
below may well be liquidation will have to look at Open interest reports to verify.
| 12/1/2010 | |||||
| Paper | S | 250 | EDZ0 9962 strad | 6.5 | 9963.5 |
| Paper | B | 5,000 | EDF9925p | 6.5 | ^9944 |
| New Edge | B | 20,000 | EDF9925p | 6.5 | ^9945 |
| New Edge | S | 10,000 | EDH3 9900c | 3.5 | 9833/33.5 |
| Paper | B | 3,000 | EDM1/EDU1 9962 c stupid | 7.5 | N/A |
| New Edge | S | 30,000 | EOH95/96 c spred w/ EOZ 93c stupid | 1 | N/A |
| New Edge | B | 20,000 | EDZ2 87/88 cspd | 2.5 | N/A |
| Paper | B | 3,000 | EDM95/96 c spred vs EDM85p | 0.5 | N/A |
| 10yr. | |||||
| Paper | B | 500 | TYF122p | 0.39 | 12304.5/05 |
| RJO | B | 500 | TYF123 strad | 2.09 | ^12304 |
| Bache | B | 2,000 | TYH121.5p | .29 and .30 | 12305 to 07 |
| Smith B | B | 10,000 | TYF121.5/123 psprd vs. 125c | .10 psprd over | 12305 area |
| Paper | B | 500 | TYF121.5/123 pspred vs 125.5/126.5cs | .27 for ps | 12305 area |
| Paper | B | 1,000 | 124.5/125 c spread | 0.08 | 12226.5/27 |
| New Edge | B | 1,000 | TYF123 strad | 2.11 | 12228/28.5 |
| New Edge | B | 3,000 | TYF129.5 c | 0.01 | 12302.5/03 |
| New Edge | B | 500 | TYF123p | 1.03 | 12303/03.5 |
| Paper | S | 500 | TYF125c | 0.21 | 12226/26.5 |
| RJO | S | 500 | TYH123 strad | 3.39 | 12227/27.5 |
| Paper | B | 3,000 | TYH118/TYF120 p diag H over | 0.12 | 12227/28 |
| Merril | S | 2,500 | TYF120/126 strangle | 0.26 | 12227/28 |
| Merril | S | 1,500 | TYG124/125.5 c spread | 0.3 | 12227.27.5 |
| JP Morg | B | 1,000 | TYF122/124.5 combo | .17 and .18 put | 12226/27 |
| Morg St | B | 500 | TYG120/122 p 1X2 | 0.05 | 12227/27.5 |
| BCG | B | 1,000 | TYF124.5/125 c spread | 0.08 | 12226/27 |
| Paper | B | 2,000 | TYF124/126 c 1X2 | 0.19 | N/A |
| Fed Fund | |||||
| Paper | B | 1,000 | FFU9981/9987 c 1X2 | 1.75 | N/A |
| Paper | B | 2,000 | FFX9987c | 0.5 | N/A |
| Paper | B | 1,000 | FFV9987c | 0.5 | N/A |
| Paper | B/S | 500 | FFN75/81/87 c fly | 2.5 | N/A |
| Fortis | B | 2,500 | FFU 9981/9987 c 1X2 | 1.75 | N/A |
| Paper | B/S | 1,000 | FFF9981p w/ FFZ and FFF 9937c | 1.5 as stupid | N/A |
| CSFB | B | 2,800 | FFX9987c | 0.5 | N/A |
| Fortis | B | 500 | FFU/FFH 9987 c calendar buy U | even | N/A |
| Paper | B | 5,000 | EOH95/96 csprd w EDZ288c stupid | 2 | N/A |
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