Price action is rather pathetic especially given that an apparent error yesterday has basically been responsible for a shift up on 10yr. yields that otherwise remain poised to decline given the broader picture and technical condition of the market. In lieu of anything grand to focus on I take a microscopic view of the current price action in order to remain vigilante on the broader picture.
As noted yesterday there are reasons for sellers to come in - often to hedge the issuance of corporate debt. Given the trend on the daily outlook remains up and barring any change in that picture will expect prices to work higher from here.
Re some of the recent action in the short end:
A colleague pointed out the spread between interbank lending rates between the US and Europe have widened a bit since the beginning of the year and there may well be opportunitistic trades to be made if those spreads come back in. Longer end still looks to rally some more from here – it is just a very slow grind for the moment as a number of themes are playing out and no particular one seems to be emerging as a leader.
Flows below show early selling of straddles vs. the Feb and Mar. expiration. Both 10yr. and 30yr. futures saw buying of June straddles. Feb. options expire this Friday.
| 1/19/2011 | |||||
| Paper | B | 10,000 | EDH13 9775 p | 11 | ^9801 |
| Advantage | B | 4,000 | EDH1/EDM1 92/95 p sprd calend | 2 June over | N/A |
| Paper | B | 300 | EOH 90/91 strad stupid vs same EOG | 16 (H over) | N/A |
| Paper | B | 5,000 | EOG 9875/9900 p 1X2 | 2.5 | 9907 area |
| Paper | B | 2,500 | EOM 80/85 p 1X2 w/ see below | ||
| Paper | B | 2,500 | EOU 9725/9800 p 1X2 | 1 buying both | N/A |
| Paper | S | 6,000 | EDM1 96 strad vs. 91/95 psprd | 12.5 strad over | N/A |
| Paper | B | 500 | EDM12 9900/9925/9950/9975 c condor | 9 | 9882.5/83 |
| Paper | B | 2,500 | EDH12 9800/9850/9900 p fly | 4.5 | 9909/09.5 |
| Paper | B | 2,500 | EDM12 9775/9825/9875 p fly | 4.5 | 9883/83.5 |
| Fed Fund opts | |||||
| Paper | B | 400 | FFH 9975/9981 strangle | 3 | N/A |
| Merril | B | 1,500 | FFK 9987 c | 0.25 | N/A |
| 10yr. Opts | |||||
| Paper | S | 500 | TYJ 119.5 strad | 3.07 | ^11913 |
| Paper | S | 5,500 | TYH120.5 strad | 2.10 to 2.07 | ^12019 |
| Paper | B | 750 | TYM 119.5 strad | 4.14 to 4.15 | 12016/17 |
| Paper | B | 500 | TYH123/124 c spread | 0.09 | 12022 area |
| Paper | B | 1,500 | TYH119.5/121.5 strangle | 1.18 | 12015.5/16 |
| Paper | B | 500 | TYH123/124 c spread | 0.09 | 12021/22 |
| Paper | S | 500 | TYJ 110/111/114 put tree with see below | ||
| Paper | S | 500 | TYJ123.5/125.5/126.5 call tree | .14 sold both | 12023/24 |
| CCM | S | 500 | TYH123 call | 0.17 | 12024/24.5 |
| Paper | S | 600 | TYG121 strad | .38 and .37 | 12023/24 |
| TJM | B | 1,500 | TYH123/123.5 c spread | 0.05 | 12020/20.5 |
| CCM | B | 500 | TYG120p | 0.05 | 12021/5/22 |
| New Edge | B | 1,000 | TYM 111 put | 0.15 | 12023/23.5 |
| CCM | S | 500 | TYH123c | 0.17 | ^12023.5 |
| New Edge | B | 3,000 | TYG121c | 0.08 | 12019.5/20.5 |
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