Treasuries came off after a stronger than expected reading on core producer prices. It took a few phases on the 10yr. futures to reflect this data as the initial reaction was not all that much. Currently prices are trading near session lows and the RSI on the hourly picture is approaching a reading of 30. Once below there I would look for prices to ratchet back up.
Technically on the daily picture in 10’s MACD did not cross so I have to maintain a downward bias there. The MACD did cross on 30’s so the bias is upward there – so on intraday strategies would be fairly aggressive on buying dips on the 30’s and a bit more aggressive on selling rallies on 10’s – that sort of thing.
Right now market may not provide much in terms of intraday opportunities as we await the FOMC minutes. I will be watching – let me know if I can be of any further assistance.
Larger flows listed below:
| 2/16/2011 | |||||
| Screen | |||||
| Paper | B/S | 6,000 | EOH 9900 c | 3.5 and 4 | 9885 to 86 area |
| Some done around 1:30 a.mc.s.t. and some post floor opening around 7:40 a.m .c.s.t | |||||
| Paper | B/S | 4,000 | EDH1 9912.5 put | 0.25 | 9967 area |
| Open Outcry | |||||
| New Edge | S | 15,000 | EOM 9775/9825 p spread | 9.5 | 9849/49.5 |
| Paper | S | 500 | EDM1 95/96psprd vs EOM86/85 ps | 2 EO over | N/A |
| New Edge | S | 5,000 | EOU9750/9800 pspread | 13.5 | 9814.5/15 |
| Paper | B | 3,000 | EDH/M 97/98 cs spread | .25 M over | N/A |
| New Edge | B | 15,000 | EOH 9912/99925 c spread | 1 | 9885.5/86 |
| TJM | B | 2,000 | EDZ1 9725/9737/9750p ladder | 1.5 2 legs over | 9917/17.5 |
| Paper | S | 3,500 | EDM13 9725 strad | 59 | 9718/18.5 |
| Paper | B | 500 | EOZ9850/9900 c1X2 | 8 | 9776.5 |
| Paper | B | 1,000 | EDZ12 9850 c | 0.27 | 9775/74.5 |
| Futures | |||||
| Goldman | B | 2,000 | Red pack EDH12 thru EDZ12 | -2.7 to -2 | |
| Paper | S | 25,000 | EDH13 | N/A | |
| Floor source thing sales in EDH13 are against some option position not sure myself. | |||||
| Mann | S | 250 | EDH12/EDZ12 vs. | see below | |
| Mann | B | 250 | EDH13/EDZ13 | 0.33 | |
| Fed Fund opts | |||||
| Smith B | B | 200 | FFN9975 p | 2.75 | 9981.5/82 |
| Fortis | B | 200 | FFN 9968/9981 strangle | 6 | N/A |
| 10yr. Opts | |||||
| Screen | |||||
| Paper | B/S | 9,000 | TYH118p | .06 to .08 | N/A |
| Still trading actively on screen | |||||
| Open outcry | |||||
| Befroe data | |||||
| Merril | S | 2,500 | TYH119.5 put | 0.45 | 11827/27.5 |
| Paper | S | 500 | TYJ119/119.5 c spread | 0.1 | 11828/28.5 |
| Paper | B | 1,000 | TYH118/118.5 p spread | 0.1 | N/A |
| paper | S | 1,000 | TYH118p | 0.05 | ^11813.5 |
| CSFB | B | 10,000 | TYH117.5/118/118.5 pfly | 0.05 | ^11823.5 |
| Smith B | B | 4,000 | TYJ113/115 p spread | 0.17 | 11817 area |
| CSFB | B | 1,000 | TYJ113/115 p spread | 0.18 | 11817/17.5 |
| Paper | S | 500 | TYH118.5/120.5 p 1X2 | 1.25 | 11815/15.5 |
| Paper | B | 500 | TYH120c | 0.01 | 11815.5/16 |
| Paper | S | 1,500 | TYH119c | 0.07 | ^11816 |
| Paper | B | 1,000 | TYH118.5/119/119.5 c fly | 0.03 | 11820.5/21 |
| Merril | B | 3,000 | TYH118/118.5 p 1X2 | 0.04 | 11820/20.5 |
| BCG | B | 1,000 | TYH118/118.5 p spread | 0.09 | 11820.5/21 |
| Swiss B | B | 6,000 | TYH117.5 put | 0.03 | 11813.5/14 |
| Paper | S | 1,000 | TYM114/116 p spread | 0.38 | 11817/18 |
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