June 10yr. futures will become the front contract this Sunday evening. Therefore I will be rolling my Mar. positions into June and citing that contract for the most part in terms of trend and so forth.
Trend remains up in bonds and 10’s after getting a bit over bought yesterday on the hourly RSI especially in bonds and a bit less so in 10’s. The daily RSI in bonds is actually reading 76 right now which is getting a bit extreme.
Short end seeing some large liquidation of a short September straddle position. We were having an interesting day back on the 6th of Jan. when they were shorting the straddle: http://financialfutures.typepad.com/kiss/2011/01/treasury-trading-update-4.html Also seeing activity in the Feb. 12 Fed Fund options – initially looked to be on the bearish side betting rate will be at ½ percent by then as opposed to current target of zero to ¼ percent.
Elsewhere around the globe it seems the “rebels” have control of key Libyian oil and product terminals to the east of the capital. This is apparently good news as they are protecting these sights from harm. Oil has been ticking lower since making a top @ 103.41 about 10 hours ago.
Again trends are firmly up and without a dip to buy in 10’s or 30’s just sit back and stay long for now. Again I have good levels and can help – 01 312 432 5083.
| 2/24/2011 | |||||
| New Edge | B | 30,00 | EDU1 9900/9962 combo call over | 1.5 | ^9953 |
| Smith B | S | 1,000 | EDU/Z/H12 9962 c strip | 13 | N/A |
| Paper | B | 1,500 | EOZ 9800 strad | 89 | 9801.5 area |
| Paper | B | 1,000 | EDH12 9912 strad | 60 | 9908/08.5 |
| Paper | B | 500 | EDM12 9775/9825/9875 p fly | 6 | 9871/71.5 |
| paper | B | 2,000 | EDU9950/9962 c 1X2 | 3.5 | 9952.5/53 |
| Screen | B/S | 10,000 | EDU1 9900/9925/9950 p fly | 2.5 | N/A |
| JP Morg | B | 2,000 | EDZ196/97/98 c ladder | 3.5 | ^9937 15% |
| Paper | S | 11,000 | EDU2 9900c | 17.5 | N/A |
| Paper | B | 20,000 | EDU1 9937 strad | 31.5 | 9952.5 area |
| Looks to be short cover - some of the sold around 41 and 40.5 back on the 6th of January | |||||
| Paper | S | 2,000 | EOH 9912 strad | 15 | 9909/09.5 |
| Fed fund opts | |||||
| JP Morg | B | 500 | FFG 12 9937/9950/9962 p fly | 1.5 | 9957 area |
| Smith B | S | 1,000 | FFN 9981c | 5 | 9984/84.5 |
| Paper | B | 500 | FFV/X 9987 call stupid | 1 | N/A |
| Paper | S | 2,000 | FFV9950/9975 p spred vs see below | 9979.5 area | |
| Paper | B | 2,000 | FFG12 9937/9950/9962 p fly | .25 V over | 9957.5 area |
| 5yr. Opts | |||||
| Merril | B | 3,000 | FVM114/116 combo | 0.14 | ^11622 |
| 10yr. Opts. | |||||
| New Edge | B | 10,000 | TYJ115 puts | 0.07 | 12004/04.5 |
| Paper | B | 500 | TYJ122c | 0.11 | 12006.5/07 |
| Paper | S | 3,000 | TYM122c | .38 and .35 | 12007 to 01 |
| Paper | B | 1,500 | TYM 113.5/114.5/115/116 p condor | 0.06 | 12006/07 |
| Paper | B | 1,000 | TYM120/121 c spread | 0.23 | 12005/05.5 |
| New Edge | B | 500 | TYJ118/119.5 c spread | 0.49 | 12005/05.5 |
| Smith B | B | 1,500 | TYM116/117 p spread | 0.19 | 12003/03.5 |
| New Edge | B | 2,300 | TYK121 c | 0.4 | 12008/08.5 |
| Paper | S | 3,000 | TYJ 117.5/119 p 1X2 | 0.06 | 12008/09 |
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