So much for an upside breakout in treasury futures. We are back in the range, breaking as low as 12002 recently as the ISM numbers came in well above the forecast. Hourly RSI over sold so market bouncing off that low currently trading 12008 – RSI reads 16 – still well below 30 – so expecting prices to move a bit higher.
The price action has brought out the strangle sellers once again targeting the 118/123 vs. the Mar. futures and selling 117/122 and 116/122 vs. the April expiration. April options are deliverable against the June futures which currently trades about 41 ticks below the Mar. futures. Daily trends still up and daily RSI reading 44.5 currently. Weekly RSI no longer in oversold territory reading 37.42 with futures printing 12008.5.
Unless equities break and crude oil and other commodities lose their renewed vigor – treasuries will continue to recover from oversold levels, at the current pace which is mostly sideways. Strangle selling not a bad idea for now.
Pre-opening activity in 10yr. options exact opposite of yesterdays. With global tensions easing and strong data reports along with rally in crude - saw players taking shots for a downside break.
| 2/1/2011 | |||||
| Paper | S | 2,000 | EDU1 9950/9962.5 c spread | 0.75 | 9946.5/47 |
| Paper | S | 7,000 | EDG 9950/9962.5 p spreads | 0.75 | 9965/65.5 |
| Paper | B/S | 2,000 | EDH1 9962 call | 6 | 9965/65.5 |
| Paper | S | 2,000 | EDZ1 9925 strad | 0.48 | 9931/31.5 |
| Paper | S | 5,000 | EDZ1 9937.5 c | 0.18 | 9931/31.5 |
| Fed Fund Opts | |||||
| Paper | B/S | 1,000 | FFK 9981 put | 1 | N/A |
| Paper | B | 800 | FFJ/M 9987 c calendar | 0.25 | N/A |
| Mann | B | 500 | FFJ87/93 c 1X2 | 0.5 | N/A |
| Paper | S | 250 | FFK 9987/9993 c spread | 0.75 | N/A |
| 10yr. | |||||
| Screen | |||||
| Paper | B/S | 2,500 | TYH117.5/119 p 2X3 | 0.2 | 12023 to 16 area |
| Paper | B/S | 1,000 | TYH117.5/118.5/119.5 p fly | 0.07 | 12021.5 area |
| Open outcry | |||||
| TJM | B/S | 4,500 | TYK116.5/118 psprd vs. 124 c | .27 psprd over | ^11912 |
| Paper | S | 2K X 1K | TYH120/120.5 p 1X2 120's over | 0.3 | 12012/13 |
| Paper | S | 1,000 | TYJ117/122 strangle | 1.06 | 12012.5/13 |
| Paper | S | 700 | TYH118/123 strangle | 0.19 | 12012.5/13 |
| Paper | S | 2,500 | TYM115.5 put | 0.52 | 12012/12.5 |
| Merril | B | 3,000 | TYM112/116 pspred vs. 126c | .27 and .28 ps | ^11903 |
| Merril | S | 1,000 | TYH118/123 strangle | 0.18 | 12010.5/11 |
| Paper | S | 5,000 | TYJ116/122 stranlge | .52 and .51 | 12010/11 |
| RJO | B | 1,500 | TYJ119 strad | 1.52 and 1.53 | ^ 11903 |
| JP Morg | B | 500 | TYK 117.5 p | 1.1 | ^ 11829 |
| RJO | B | 1,000 | TYH120.5 strad | 1.44 and 1.45 | ^12009 |
| Paper | B | 1,000 | TYH120.5 strad | 1.46 | 12008.5/09 |
| Paper | B | 1,000 | TYM113/114/117 p fly | 0.38 | 12005.5/06 |
| Paper | S | 1,000 | TYJ117/122 strangle | 1.03 | 12005.5 |
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