Congratulations to the makers of the film inside job. The documentary narrated by Matt Damon was not seen by very many people, but will be out on net flix shortly. I urge you to see it. Here is a news clip: http://www.smh.com.au/business/tinseltown-finds-wall-street-wanting-in-a-genuine-inside-job-20110228-1bbu5.html.
Elsewhere 10’s and 30’s continue making higher highs and higher lows as we start out a new trading week. We do have an important ECB meeting this week along with important testimony from Bernanke. At the end of the week we will be blessed with another unemployment report. Rough weather in January has been cited for keeping the figures low – however Feb. was a record in the Chicago area for snow fall so I do not think one should expect a weather related rebound just yet. And besides last time I checked it would be a good 5-7 years of 250K/ month payroll growth before we would be near a “full employment” situation. http://financialfutures.typepad.com/kiss/2011/02/treasury-trading-update-6.html
In terms of price action charts below show serious disconnect between a clear trend higher in commodity prices and current trend of US interest rates. This is a bit concerning and yields may be getting a bit stretched. However current rules say to be long and that is working so will not be short the 10 or 30yr. futures at this time. Being long is currently quite profitable and long positions are now protected with stops are 2 points above the entry level in the 30yr. and about ¾ point above the entry level in the 10yr. Will continue to hold a core long position and look to add if the market lets me. Will be moving trailing stops higher as market continues to trend up.
Larger flows from a.m. session listed below:
| 2/28/2011 | |||||
| Paper | B | 500 | EOH 9875/9900 p spread | 2 | N/A |
| Paper | B | 2,000 | EDH12 9825/9850 p spread | 3.5 | 9910.5 area |
| Paper | B | 1,000 | EDZ12 9900/9925/9950 c ladder | 4 | 9805/05.5 |
| TJM | B | 15,000 | EOH88/90 p 1X2 | 1 | 9911/11.5 |
| Bidding 5K more | |||||
| TJM | B | 10,000 | EOH 9887 p | 1 | 9911.5/12 |
| Fed Fund opts | |||||
| New Edge | B | 1,000 | FFZ 9950/9968 p spread | 3 | 9972.5/73 |
| 10yr. Opts | |||||
| DT | B | 2,000 | TYJ116.5/117.5 p spread | 0.13 | 11830/31 |
| JP Morg | S | 1,500 | TYM122c | 0.36 | 11902/03 |
| Paper | S | 5,000 | TYM113p/TYM124.5c combo | even for put | ^11902 |
| New Edge | S | 1,000 | TYK125/127.5 c spread | 0.03 | 11902/02.5 |
| Paper | B | 1,000 | TYJ117.5/119.5 combo | .24 call over | ^11903 |
| Paper | S | 5,000 | TYJ114p - TYK116 p diag. | 0.2 | ^11900 |
| paper | B | 500 | TYM119 strad. | 3.13 and 3.14 | ^11904 |
| Ultra | |||||
| Paper | B | 100 | ULM 123 strad | 6.2 | ^12304 |
| 2yr. | |||||
| Paper | B | 2,000 | TUJ119.5/118.7/119 p fly | 0.02 | 10902.7 area |
| 5yr. | |||||
| Locals | B/S | 2,000 | FVJ115.5/116.5 p spread | 0.16 | 11628 area |
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