Interesting day so far: very weak data saw a brief rally ensue in treasuries this a.m. Some bold and brassy traders were selling Mar. 116 puts in 30yr. options vs. buying 124 calls – see players list below. I like that trade very much as I am still expecting a break out rally to the upside by Tuesday. If it does not materialize at least a trade like this involves short put premium should work in your favor.
The best trade during this sideways saga probably the short 118/123 strangle a few more were sold today. Short end seems to be seeing some long put positions being exited. There was a news story highlighted on the zero hedge website that was causing some buying in the front end of the curve. Essentially with the government getting close to the debt ceiling they had to abandon the weekly sale of $25 bln. in 56 day cash management bills. This was part of a program to take some liquidity out of the market to the tune of $200 bln. So putting it back in (perhaps just temporarily) caused some strong price action. Here is the link http://www.zerohedge.com/article/here-it-comes-us-suspends-new-issuance-under-supplementary-financing-program-200-billion-liq
Regarding the chart above - the lower portion where I have circled shows an RSI reading on yields that is well north of 80 - a reading above 70 indicates an over bought condition. Since we're looking at yields; again' it is the same stroy I have been espousing on the weekly out look for a while now. I did not make this clear earlier but hopefully from my consistant view you got the message. I am expecting this condition to result in a move lower in yields of reasonable magnitude.
Larger trades from a.m. session listed below:
| 1/27/2011 | |||||
| TJM | B | 2,000 | EOG 9912/9925 c 1X2 | 2.5 | N/A |
| Were buying this one for 3 yesterday | |||||
| Paper | S | 500 | EDH1 9925 put | 1 | N/A |
| Cube | B | 5,000 | EDH13 9725/9750 p spread | 3 | N/A |
| Paper | B | 2,500 | EDM1 9937/9950 pspred | 2 | N/A |
| New Edge | S | 15,000 | EOM 9850 p | 14 | 9879 area |
| Paper | B | 3,000 | EOM 98562 strad | 52 | N/A |
| Paper | B | 5,000 | EDJ 9887p | 1.5 | N/A |
| Paper | B | 3,000 | EOM 9862.5 strad | 52 | N/A |
| CCM | S | 5,000 | EOM9800 p | 6 | N/A |
| Goldman | S | 2,000 | EDZ11/U12/M13 | -5 | N/A |
| The one above was a futures fly sold on floor | sold on floor as a fly | ||||
| Paper | B | 3,000 | EOM 9750/9800 p spread | 3 | N/A |
| Paper | B | 5,000 | EDM1 9925/9950 pspred | 3 | N/A |
| Paper | B | 2,000 | EOM9837 p | 11 | N/A |
| Paper | S | 5,000 | EDM1 9800 put | 0.75 | 9959/59.5 |
| CCM | B | 8,000 | EOM9800/EDM13 9612 psprd | 10 to 11 | |
| Above trade is an exit | |||||
| Paper | S | 5,000 | EOM 9800 put | 5.5 | N/A |
| Paper | B | 5,000 | EDZ12 9925 c | 1.5 | N/A |
| Paper | B | 2,000 | EDU96/97 c 1X2 | 4 | 9949 area |
| Paper | S | 1,000 | EOU 9825/9860 pspred | 7.5 | 9853.5/54 |
| Fed Fund opts | |||||
| Mann | B | 600 | FF9981 c | 2.25 | N/A |
| Paper | S | 500 | FFN/Q68/75/81 p fly stupid | 0.75 | N/A |
| Paper | S | 250 | FFQ9968/9975/9981 pfly | 0.5 | N/A |
| New Edge | S | 1,000 | FFG9887 strad | 4.75 | ^9983 100% |
| Paper | S | 1,000 | FFQ 9987c | 0.5 | N/A |
| Mann | S | 1,000 | FFN 9993c | 0.25 | N/A |
| 30yr. Opts | |||||
| Screen a.m. | |||||
| TJM | S | 2,000 | USH 116/124 combo | .04 put over | ^11929 |
| Open Outcry | |||||
| Paper | S | 700 | USH 116/124 combo | 0.07 | ^11929 |
| 10yr. | |||||
| Paper | B | 1,000 | TYH 120 strad | 1.50 and 1.51 | 12000/02 |
| Locals | B/S | 1,000 | TYH 119/121 combo | 0.06 | ^12002 |
| Smith B | S | 1,000 | TYH118/123 strangle | .20 and .19 | 12009 to 11 |
| CCM | S | 1,000 | TYH118.5 p | 0.17 | ^12012.5 |
| New Edge | S | 2,000 | TYJ 115.5/116/117 p tree | .08 legs over | N/A |
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