Treasuries bid – not so much on economic data – actually some of it was more on the negative side. Core CPI rose .2% vs. a forecast of .1%. Philadelphia Fed survey of manufacturing activity came in @ 35.9 vs. a forecast of 22. Prices remained quite bid with very minor dips as these numbers were released.
One thing no doubt driving trade and could be an important development moving forward involved a spike in borrowing activity from the ECB emergency borrowing facility. Thompson Reuters put the story out - if you would like a copy, send me a note. The essentials are listed below.
Overnight borrowing at this facility averages under 1 billion per day. Today’s ECB report shows a surprise 15 billion euro’s were borrowed at the punitive rate. If a bank is in trouble, this story combined with ongoing concerns about Iranian warships heading through the Suez Canal (very dubious) seems to be providing a flight to quality bid.
Technical’s again turning positive on 10’s on the daily outlook. Hourly RSI on 10’s traded well above 70 hitting 86. With prices currently trading 11901.5 vs. the Mar. 10yr. the reading is at 70.74. Given the events noted above however price may well remain in overbought territory for an extended period. How’s that for “Fedspeak”? All I know is I got burned trying to sell 10’s today. And will now expect the daily MACD to cross – as it has already on bonds. Looking for buy opportunities will be the preferred trade moving forward.
Larger flows from a.m. session listed below.
| 2/17/2011 | |||||
| Before data | |||||
| Paper | S | 2,000 | EOU 9775/9825 p spread | 0.18 | 9812.5/13 |
| Locals | B/S | 20,000 | EDU/EDZ 9962 c spread | 1 | N/A |
| Paper | S | 2,000 | EDU 9962/9975 c 1X2 | 3 | 9947/47.5 |
| Paper | B | 1,000 | EDZ1 9925 - EOZ 9787 strad stupid | 1.36 | N/A |
| Paper | S | 5,000 | EOM 9750/9800/9850 p fly | 7.5 | 9857/57.5 |
| TJM | B | 5,000 | EDZ12 9737.9837 squash | 10 put over | ^ 9786.5 |
| Fed Fund Opts | |||||
| Smith B | 500 | FFN | 9975 puts | 2.5 | 9981.5/82 |
| Paper | B | 1,500 | FFK 9981/9987/9937 c fly | 3.75 | 9985/85.5 |
| Fortis | B | 500 | FFJ/H 9987 call calendars | .5 J over | N/A |
| Fortis | B | 500 | FFV 9987 call | 0.5 | 9975.5/ 76 |
| Deutche | B | 500 | FFV 9981 call | 3.25 | 9975.5/ 76 |
| 10yr. Opts. | |||||
| Before data | |||||
| Paper | S | 3,000 | TYH118/119.5 p 1X2 | 0.42 | 11824 |
| After data | |||||
| New Edge | B | 1,000 | TYJ119/120.5 d spread | 0.18 | 11824/24.5 |
| JP Morg | S | 4,000 | TYH120p | 1.10 to .62 | 11827.5 to 11901 |
| Smith B | B | 1,500 | TYJ118/119.5 c spread | 0.3 | 11828.5/29 |
| JP Morg | B | 1,000 | TYH119.5c | 0.04 | 11828.5/29 |
| Paper | S | 500 | TYJ119.5c | 0.21 | 11828.5/29 |
| RJO | S | 1,000 | TYJ117.5 strad | 2.1 | 11931/11900 |
| CCM | B | 500 | TYJ115p | 0.18 | 11900/00.5 |
| Paper | B | 3,000 | TYH118.5/119.5 combo | .01 and .02 | 11900 to 03 |
| New Edge | S | 5,000 | TYH118.5/119.5 p 1X2 | .29 and .28 | ^11827 |
| Paper | B | 500 | TYJ/M 115.5 pu calendar | 0.36 | 11902/03 |
| BCG | S | 1,000 | TYH119/119.5 c spread | 0.1 | 11831.5/00 |
| JP Morg | S | 1,000 | TYH120/120.5 p1X2 back spred | .30 (120's over) | 11902.5/03 |
| Paper | S | 1,000 | TYJ120.5c | 0.14 | 11904/04.5 |
| Merril | S | 2,000 | TYH118.5 puts | 0.04 | 11904/04.5 |
| CCM | B | 2,000 | TYH118.5 puts | 0.04 | 11905/05.5 |
| Fortis | S | 3,500 | TYJ115.5/117.5 p spreads | 0.41 | 11904/04.5 |
| 5yr. Opts | |||||
| Goldman | B | 10,000 | FVK 117c | .27 and .28 | FVH 11628 area |
| Paper | B | 6,800 | FVH116.5p | 3.5 | ^11626 |
Comments