Futures Curve by Accutic

Treasury Trading Update.

I had made a note to myself to beware that April 1 could have some events – legislative if I recall correctly, that would be potentially bullish for treasuries. Unfortunately I did not make note of the specifics – therefore I have been scrambling around talking to colleagues about what the hell was I talking about. All the while 10’s and bonds were ticking up. We saw JP Morg liquidate large position in TYK 117 puts. Best I could come up with was that it had something to do with Fannie and Freddie but no conclusive stories there. Turns numerous events and stories are impacting markets today and currently as I write the bonds have just tanked a point – some one has a rumor that non-farm payrolls come in higher than forecast – no specifics yet – but if that’s what caused a sharp sell off – it may get reversed. It did generate a lot of questions everything from an NFP rumor to a Beckner story.

 

Will try and post some more stuff later and get some players out shortly.

 

Some potentially cool stuff here.

http://www.bloomberg.com/video/68206402/

 

Larger flows from a.m. session listed below:

3/31/2011
Locals	B/S	25,000	EDM1 9900/9925 p spread	0.5	N/A
Paper	S	10,000	EDM 9950/9962 c 1X2	4.75 to 4.50	N/A
Paper	B	7,000	EDJ13 9700/9712/9725 p tree	1	N/A
Cube	B	3,000	EDK13 9650 p	1	N/A
TJM	S	1,000	EDM/EDU 96 call stupid	11	N/A
Paper	S	2,500	EDM13 9800/9837 c spread	5	N/A
Advantage	S	2,500	EDH 9925 strad	52.5	9915/15.5
Fed Fund Opts
Paper	B/S	1,200	FFK 9975 puts	0.25	N/A
Paper	B/S	1,000	FFK 9987 call	1.25	N/A
Locals	B/S	500	FFJ 9987c	1	N/A
10yr. Opts.
JP Morg	S	55,000	TYK 117 puts	9,8,7	^11912
Exit from buys on last Fri -
Paper	B	3,300	TY wk1 118.5/119 p spread	0.07	11912.5/13.5
TJM	B	500	TYK118/118.5	0.09	^11911
RJO	B	4,000	TYM117/121 combo	.05 call over	^11908
RJO	S	3,500	TYM 117 put	.29 and .28	^11907/08
Merril	B	4,000	TYM 123.5c	0.08	^11912.5 and 13
BCG	S	1,000	TYM117/119.5 p 1X2.5	flat	11912/12.5
Paper	B	5,000	TYK 116.5/121.5 strangle	0.13	11912/12.5
Merril	B	1,000	TYM119p	1.02	11912
Paper	B	2,000	TYM 123 c	0.08	11912.5

 

Treasury Trading Update.

Currently 10yr. and 30yr. futures are trading at session highs 11903 vs. June 10’s and 12007 vs. the June 30’s. Hourly RSI above 70 however Daily RSI vs. the 10yr. coming off a 30 handle so will not be aggressive seller at this time. Currently holding short from yesterday vs. bonds and will hope to move stop down today and maintain core short. After all that is what the daily picture is telling me.

Ton’s of stuff going on in the regulatory sector and am keeping an eye (somewhat) on how the treasuries and Eurodollars are trading on the euronext plat form. This is what is preying on my mind and it all boils down to who has the best model – and what is important price discovery or avoiding price discovery in the pursuit of profit all else be damned. I may get into this subject a bit later.

Fed fund options have a couple of large trades occurring the risk profile is not bad spending a half tick for the chance of making 6 ticks. See players list below. Mann is making a Bearish wager vs. the Feb. 12 futures and looks to be Morgan Stanley desk going the other way vs. the December futures. In ED options one dealer breaking from the pack and buying 20K of the 9925 calls vs. Mar. future. Also a large player is selling OTM straddles vs. the Mar. future, they did this on the 9^th as well – same player that did this successfully vs. the Sep. contracts see: http://financialfutures.typepad.com/kiss/2011/03/treasury-trading-update-8.html

If prices climb vs. Mar. they will do well on this strategy but as you can see prices are back to where they were on the 9^th after trading up to the strike on the 15^th.

More later.

Larger flows from a.m. session listed below.

3/30/2011
TJM	B	500	EDU91/92/93/95 p condor	1.7	9950.5/51
ICAP	B	2,000	EOJ13 70/71/70 p tree	1	9748 area
Paper	B	5,000	EOU 90/92/93 c fly w/ see below
Paper	B	5,000	EDU13 80/82/83 c fly	7.5
Above 2 executed as a stupid (buying both) did 5K yesterday as well same price.
Paper	S	5,000	EDU9900/9925 p spread	2.5	9951.5/52
Paper	B	20,000	EDH9925 calls	20	9910 area
Paper	B	10,000	EDM 90/92 p spread	0.5	9963/63.5
Paper	S	3,000	EDH12 9937 strad	53	9910/10.5
Paper	B	2,000	EOU 9837 strad	64.5	9838/38.5
Goldman	B	500	EDZ12 9800 strad	120	9803.5/04
Fed Fund opts
Mann	B	250	FFQ81/87 c1X3	1.5	9982/82.5
Morg St.	B	1,500	FFZ9981/9987 c spread vs see below		9968.5/69
Morg St.	S	1,500	FFZ9968/9975 p spred	.5 c spread over	9968.5/69
Mann	B	5,000	FFG9956/9962 p sprd vs. 9981c	.5 p spread over	9955.5/56
Note Morg st on the sell side of some of these replicating their position vs. the Dec. structure.
Paper	B	750	FFJ/K 9987 c calendar	.25  May over	9987.5 area
10yr. Opts.
TJM	B	500	TYM 115/117 p spread	0.27	N/A
Goldman	B	1,000	TYM119 strad	2.33	11827.5/28
Paper	B	2,000	TYM120/121 c spread	0.2	11829/29.5
New Edge	B	1,000	TYK115/117 p spread	0.11	11900/00.5
Paper	B	500	TYK117.5/118/118.5 p fy	0.03	11900/02.5
CCM	B	500	TYM 117p vs. TYJ117/118 p spread	.19 June over	11900/01
1st Opt.	B	1,000	TYK116/117/118 p fly	0.08	11900/01
Paper	B	1,000	TYM116 puts	0.21	11900.5/01
Paper	B	1,000	TYM118 puts	0.53	11900.5/01
Paper	S	1,500	TYM119 strad	2.32	11900-02 area

 

Treasury Trading Update

In the words of Robert Dinero  in the role of Alphonse Capone (notorious Chicago gangster) – “what is it that brings me great joy” – “baseball”, he says to a table full of his sycophantic myrmidons. Well that is the game these days and the Fed speakers are acting like a bunch wannabe starting pitchers. One week it’s Plosser (Philly Fed pres. Home the Phillies) and others telling us QE II should be halted and rates should be ratcheted higher. Markets start seeing increased put buying prices tick lower and so on “da beep da bop” – to keep the Capone thing going. Today we get the other guys – the lefty’s (Chicago Fed – home of the cubbies Evans, and Rosengren, Boston Fed – “Red Sox) with the screw balls telling us unemployment is to high and inflation (core mind you) is nil so any rate increase talk is way to premature. I reckon these guys are just massaging the markets a bit and it seems they do want to see a little bit higher rates in the long end. So basically you have these pontificating assholes stirring up the waters like a bunch of old hags hovering over a caldron of witches brew. In the real world of course you have more serious matters such as nuclear catastrophe and heavy fighting in the ultimate strategic locations on earth. Kind of makes the limp wristed ninnies at the Fed pale a bit in comparison but keep in mind “the gnomes of Zurich” and all that stuff – in terms of who is pulling the strings globally. This could all play out in the end where we find new bond buyers out of the Middle East to replace some of the loss from the Asian sector – more on that later.

Seeing some continued large put buying in ED options coming out of similar names that loaded up on Mar. puts prior to last months Unemp. release actually they were more setting up for the ECB meeting on the 3rd. Never the less this Friday we get the Mar. report and current consensus is for a gain in payrolls of around 190K. As I noted before http://financialfutures.typepad.com/kiss/2011/02/treasury-trading-update-6.html  studies have indicated it will take several years of 250 +K payroll gains each month to get back all the jobs that have been lost, so therefore I do not think any strong momentum in that category should be cited just yet. Currently short side is the path of least resistance – for more on that subject 01 312 432 5083.

Players list below shows an exceptionally dull day in Fed funds. Traders report that the Maginot line if you will is currently focused thusly. Traders mostly interested in call structures out till August of this year. After that they are more focused on puts. For example the Feb 93/95/96 put fly has been bought for 1.5 tics and they have bought Dec. 9968 puts at 11 ticks. But as noted today activity is quiet with some bids resting.

Charts pretty much indicate move lower in 10 and 30yr. futures should continue lower so being short is probably correct – again call if you want the strategies I’m employing.

Larger flows from a.m. session listed below:

3/29/2011
TJM	S	5,000	EDM13 9750/9775 strangle	39 and 38.5	9750/50.5
Paper	B	27,000	EDJ13 9700/9725 p spread	4	9750 area
Paper	B	10,000	EOM 87/88/90/91 c condor	3	9875.5/76
Paper	S	5,000	EDM1 9950 put	3	9961.5/62
CCM	B	10,000	EDH 9800/9850 p spread	6	9910/10.5
Paper	B	5,000	EDZ12 9725 puts	35	^9905 100%
Fed fund opts
Paper	B	500	FFN9987c	0.75	9984/84.5
10yr. Opts
New Edge	S	2,500	TYK117.5/120.5 combo	flat call over	^11901
New Edge	S	1,500	TYK 119 strad	1.48	11903 area
RJO	S	500	TYK 119 strad	1.47	^11903
Paper	B	1,000	TYK120/121/122 c fly	0.08	11902.5/03
CCM	S	1,000	TYM119 strad	2.36	11903/03.5
Paper	B	500	TYK116/122 combo	.01 call	^11904.5
Goldman	B	1,000	TYM117/TYK117.5 p diagnol	0.14	11901.5/02
Bache	B	1,000	TYK117.5 p	0.2	11903/03.5
JP Morg	B	500	TYM119.5 strad	2.37	^11907
Bache	B	2,000	TYK118p	.27 and .28	11904/06
30yr. Opts.
New Hedge	B	1,500	USK 111 puts	0.01	12004 to 08 ares
Bought about 2.5K of these yesterday as well and currently bidding for 500 more - no clue why

 

Treasury Trading Update.

The pursuit of higher rates is underway – hearing large bets made on Euribor contracts this a.m. If anyone has any source material on those flows please let me know if you would be so kind. Here the interest continues with particular focus on the midcurve options vs. the June 12 futures. In the longer end exchange reports show the buying Friday in the May 117 puts  was new positions. Recall JP Morgan was a buyer in that strike of over 50K. Exchange volume shows 81K traded and OI was up over 56K on the preliminary reports.

Price action has momentum on the daily charts to the down side, so currently looking for rallies to sell – although not too aggressively just yet. Obviously with prices trading down 7 sessions in a row I’m coming to the sell side a bit late, and I don’t want to sell in the hole as they say. May be an opportunity later today if interested you can reach me at 01 312 432 5083.

Larger flows from a.m. session listed below:

3/28/2011
Paper	B	5,000	EDU13 9600 puts	7	9724 area
New Edge	S	5,000	EOK 9875/9862 p stupid	26	^9877
Paper	S	1,500	EOK9837/9850/9875 p fly	5.5	9875.5 area
Paper	S	5,000	EOU9875/9900 c 1X2	3.5	9839/39.5
New Edge	S	10,000	EOM9887c	13	9875.5 area
Paper	S	5,000	EOM 9850/9900 p spread	20.5	9875/75.5
Paper	S	2,000	EOM9812p	4.5	^9874.5
Paper	B	10,000	EOM 83/86 ps vs. EOM 91/92 c sp	5 psprd over	9877/77.5
Cube	B	2,500	EDU13 9575/9600/9650 p fly	5.5	9723.5/24
New Edge	S	4,000	EOM 9887c	13	9876 area
Fed Fund opts
Paper	S	750	FFG9950/9962 p spread	4.5 and 4.25	9954.5/55
Paper	B	500	EOM 9825/9850 p spread	5	9877/77.5
10yr. Opts
Screeen
Paper	B	7,000	TYK 115/116/117/118 p condors	0.13	11829
Paper	B	4,000	TYK115/116/117 p fly	0.05	11828/5
Floor
Paper	S	500	TYM119 strad	2.39	^11830
JP Morg	B	1,000	TY Wk1 (exp this fri) 118.5 p	0.22	^11828.5
JP Morg	S	500	TYK117.5/118.5 p spread	0.21	11829/29.5
Smith B	S	1,000	TYWk 1 119.5 strad vs. wk1 120c	.62 strad over	11830 area
New Edge	S	1,000	TYK121/122/122.5/123.5 d condor	0.06	11830/30.5
Goldman	S	2,000	TYK119.5/120.5 c 1X2	.01 120.5's over	11931/31.5
JP Morg	B	4,000	TYM116/117.5 p spread	0.23	11900/00.5
RJO	S	500	TYM 119 strad	2.4	11829.5/30
Smith B	B	1,000	TYK115/117 p spread	0.13	11900/00.5
New Edge	B	1,000	TYK117/118 p spread	0.16	11901/01.5
CCM	B	1,200	TYM117 / TYK117.5 p diagnol	.14 Junve over	11830/30.5

 

Treasury Trading Update.

Fascinating day, reports out this morning reminded the market that Trichet uses very explicit “code language” and when he says the words “strong vigilance” it is to mean a 25 basis point rate rise is coming. There did seem to be a green light given from the early going today – actually traders have been doing put structures rather successfully all this week. So the blood is in the water and we shall see if the killing blow gets delivered in April.

There are exceptions to this code talk and we are in extrordnary times in terms of what was true in the past may not be applicable today. I have been advising against buying into an imminent rate rise and until this week that looked like profitable advice. After discussing the nuances of ECB policy with a bright lad from Scotland – I did get valuable insights as to how the ECB doggedly (through that Tuetonic Twit Merkel and others) may have to dance to Germanic tunes even though the peripherals are on the verge of collapse and as the papers today point out if Spain goes the entire EU could collapse. Say that four times and think about it hard.

Also on the dramatic side the daily MACD has crossed – meaning for momentum traders opportunities now abide on the sell side of the market. Any long positions – unless you are a long – long term trader and have something on that you are protecting with weekly or monthly trend analysis – should be liquidated.

Larger flows are listed below - note JP Morg. big covered put buyer in May 10yr. options. This buying has allowed the big strangle seller to get good prices on shorting premium in June. Also New Edge was quick to sell inflated may straddles shortly after the 1st round of buying by JP in the May puts.

3/25/11
Paper	S	10,000	EOU 9850/9887 c spread	20	9855 area
Paper	B	11,000	EDH82/87 p spread	7	9917 area
Paper	B	5,000	EDU12 77/85 p spread	20.5	9953.5/54
New Edge	B	10,000	EOM 9825/9850/9875 p fly	3	9886.5/87
Paper	B	5,000	EDM12 9750/9850 p 1X2	6.5	9886.6/87
BCG	B	3,000	EOM 9750/9862 p 1X2	6.5	9886.5/87
Paper	S	2,000	EDH9925 c	21	9918/18.5
Paper	B	5,000	EOU 9825/9850/9875/9900 pc	6	9954/54.5
Paper	B	1,000	EOU 9900/9925/9937 c fly	5	9853/53.5
Fed Fund opts.
Paper	B	1,500	FFV9950/9975 p spead	2.5	9977.5/78
Smith B	B	1,000	FFJ 9987c	0.5	9986/86.5
10yr. Opts
JP Morg	B	15,000	TYK117 p	11	^11919.5  14%
JP Morg	B	10,000	TYK117 p	12	11918.5
Paper	S	2,000	TYK119.5 strad	1.56	11917 area
Smith	S	10,000	TYM117/122 strangle	0.58	11919 area
Paper	S	1,000	TYK 119.5 strad	1.55	11915/16
JP Morg	B	25,000	TYK 117 p	11	^11920
Futs were 11922 outright so maybe scalping some to net a better price on option??
Paper	S	5,000	TYK117/118 p1X2	even 117's over	11918 area
Paper	B	700	USM121p	see below	N/A
Paper	S	700	TYM 119.5p	.50  US over	N/A
Above 2 executed as a NOB working more
Paper	B	3,000	USK 117/118/119 p fly	0.09	11918/18.5
RJO	B	1,000	TYM119.5 strad	2.44	^11921
Paper	S	2,000	TYJ118.5/119.5 p 1X2	0.04	11919/20
Paper	B	2,500	TYJ119.5 p	0.04	11920/21
New Edge	B	1,000	TYK123.5c vs 115/116/117 p ladder	.01 call over	11918.5/19
Paper	S	3,000	TYJ119.5/120.5 p 1X2	0.44	11915/16
CSFB	B	2,000	TYM115.5/117 p spread	0.16	11915/16
Swiss B	S	5,000	TYJ119.5 c	0.08	^11917

 

 

Treasury Trading Update

With Dailys looking like they might be crossing from up to down would be cautious on new longs - but did notice the hourly chart very over sold this a.m. around 7:20.
Back tomorrow

Treasury Trading Update.

Yesterday we discussed the lovely story of the Portuguesse Bull what got his nuts cut off. Life often imitates such fairy tales. For today a gentlemen by the scholarly name of Socrates who happens to be the Prime Minister of Portugal will likely be booted out of office for having the audacity to propose some austerity measures.

This a.m. we are hearing the same sort of rhetoric – sort of - out of the UK. Not hearing so much about austerity measures but I did see the that the vote to leave rates unchanged at the last meeting passed 6 – 3. Furthermore Osborne cut his out look for UK GDP from 2.1% to 1.7. And this is the deal, you see it is just too damn hard to impose rate hikes and austerity measures when growth, which is mostly contrived through money printing and easy credit, is threatened by nuclear disasters and severe unrest in the middle east. The US lost a $31 million jet the other day and the 60 cruize missles have sailed out the window at a cost of around $240 mln., and were just getting warmed up. The cost of the Japanese bail out not just in the hundreds of billions in terms of dollar costs, but of other economic related costs, food, supplies, health, all of which are highly contagious globally.

So it is quite possible US fixed income could start another decent leg up. Perhaps once the buybacks – today’s POMO will provide the catalyst in the next 20 minutes or so – currently 9:50 a.m.c.s.t.

 

Will be out tomorrow – back on Fri.

 

Larger players listed below from a.m. session.

3/23/2011
Paper	B	2,000	EDM96/97  c spread	4.7	9962.5/63
Paper	B	7,000	EDM 9937/EDU 9925 p stupid	6.5	N/A
Paper	B	2,000	EDM1 9950 p	2.75	9962/62.5
TJM	S	500	EOJ86/88p1X2 w/ 87/90 p1X2	8	9894 area
Paper	B	2,000	EDZ90/92 p spread	4.5	9943 area
Paper	S	4,000	EOU 90/92 c 1X2	5.5	9862.5 area
New Edge	S	20,000	EOM 90/92 c 1X2	8	9895.5 area
New Edge	B	10,000	EOM 9800/9850 p1X2	3	9895/95.5
Note yesterday they sold 20K of these @ 3 ???
Paper	S	500	EDH13 9800 strad	125	9804 area
Paper	S	1,000	EDH12 9925 strad	48.5 and 48.5	9923.5/24
Fed fund opts
Paper	B	1,000	FFK 9968p	0.25	9985.5/86
Paper	B	500	FFN9968/9987 combo	even puts	9984/84.5
Merril	B	1,500	FFQ81/93 p spread	9	9982/82.5
10yr. Opts
Paper	B	2,000	TYM 117/119 p spread	0.31	12011 to 11.5
Paper	S	1,000	TYJ120.5/121 c spread	0.09	^12011  18%
Paper	S	4,000	TYK 119 put	0.29	12010.5
Paper	S	1,000	TYK120.5 strad	2	^12012
Paper	S	1,000	TYK120.5 strad	1.63	12009/09.5
Paper	S	750	TYK119.5 c	1.29	^12010.5
Paper	B	1,000	TYM113.5 put	0.05	12010.5/11
Swiss B	S	750	TYK120.5 strad	1.63	^12010
JP Morg	B	1,000	TYK114p	0.01	12012/12.5
RJO	S	2,000	TYK120.5/122.5 c1X2	0.23	^12012
New Edge	S	2,000	TYK 118/122.5 strangle	0.31	12010/10.5
Paper	S	500	TYM120.5/122.5 c1X2	0.12	12012
Smith B	B	2,000	TYK119/119.5/120.5 p ladder	even	12012/12.5
Paper	S	4,000	TYK119 put	0.28	12012.5 area
5yr. Opts
Paper	S	1,000	FVK 116/117/118 p fly	0.14	11723.5

Treasury Trading Update.

With 10yr. futures trading below the 120 strike – we are seeing some selling of put structures which probably are new positions looking for prices to hold near 120 or higher. These put structures are for the April expiry mostly which expire this Friday, probably not a bad idea.

Other trades this a.m. involved buying cheap put structures in the June midcurve options. Market seems to be getting bearish again on the short rates as Inflation numbers in the UK were well above expectations. That and there seems to be some kind of “all clear” feeling prevailing for the moment as the Nuclear crisis and the no fly zone events are sending success signals. I would advise caution: Read a cute little piece in the FT this a.m. – went basically like this.

As the Portuguese rodeo clowns taunt the bull in the end game portion of the bullfight – they attempt to slow the bull down by forming a human wall as he charges then jump on his back. Typically this is a bloody painful exercise.  But using this as a scenario for the bull market in equities for example the events noted above have slowed the bull down yet he still (yesterday) manages to gouge these “forcados”. The end game is the end game however – and the bull – along with his private parts end up being sold to the highest bidder – nice story – non??

The serious point that the man makes is “ Equities are not price for further oil price interruption. In absence of further shocks , the bull should be free to run again. But the market is unprepared for Japan’s nuclear scare to worsen or for another Arab revolt.”

I will admit the inflation numbers out of the UK are serious – but the prevailing economic slow down is just as serious. A number of countries and states just cannot deal with tightening credit policies and while current loose credit policies are only keeping the patient breathing the pain of actually performing necessary surgeries do not seem to possess the necessary political will at this point.

Technically the long end of the market now see’s the daily RSI reading 53.2 in June 10’s with futures printing 120’01. Bonds show a reading of 57.31 with futures 121’10 last. Daily moving averages are still up however the 10yr. is converging so will have to watch.

If you look at the CRB and a number of commodities you will see down trends all on the verge of reversing. This will ofcourse change the daily out look on fixed income. Once that occurs will pull any longs and commence to selling – for strategies call 01 312 432 5083. Right now doing nothing still holding core long in bonds via bullish combo.

Larger flows from a.m. session listed below:

3/22/2011
Paper	B	3,500	EOM 9825/9850/9875 p fly	2.5	9893 area
CSFB	B	6,000	EOU 90/92 c 1x2	5.5	N/A
Trades yesterday at least 10K times OI up in both strikes so adding to position here …
Paper	S	20,000	EOM 9800/9850 p 1X2	3	9892.5 area
Paper	S	1,000	EDH13 9800 strad	1.27	N/A
Paper	S	10,000	EOM 90/92 c 1X2 vs. see below	1	9890.5 area
Paper	B	10,000	EOM 88/91 c 1X2	1 (90/92 over)	9890.5 area
Paper	S	1,000	EDH13 9800 strad	1.27	9795.5/96
Straddle now offered @ 1.27
Paper	B	3,000	EOJ/K 83/85/86/87 p condor	3.5	N/A
Paper	B	5,000	EDM13 80/82 c 1X2	0.5	9769.5/70
Fed Fund opts
Paper	S	500	FFN 9812/9875 p 1X2	1	9984/84.5
Paper	S	500	FFM 9975/9981 p 1X2	0.25	9985/85.5
Fortis	S	250	FFZ9918/9925 p stupid	4.5	9972,5.73
Paper	B	5,000	EDM13 80/82 c 1X2	0.5	9769.5/70
10yr. Opts.
Paper	S	2,000	TYJ 120/122 strangle	0.27	^11931
Paper	S	1,000	TYK 120 strad	2.05	11930.5
CSFB	S	2,000	TYJ119.5/120.5 p spread	.33 and .32	12000/00.5
JP Morg	B	500	TYM114p	0.08	12000.5/01
Merril	S	4,000	TYJ119.5/120 p spread	0.12	12001 area
Paper	S	1,000	TYJ116.5/117.5 p 1X1.5	0.03	12001/01.5
Gelber	B	1,000	TYJ/K 118.5/119.5 ps calendar	0.13	12000/01
Paper	S	500	TYK119.5 strad	2.05	^11931
New Edge	B	500	TYK/M 118.5 put calendar	0.25	11931/31.5
JP Morg	S	500	TYK 114/116/118 p fly	0.12	11929/29.5
Merril	B	2,600	TYJ 120.5 p	0.51	^11927.5
Merril	B	950	TYM 113 p	0.05	12001/01.5
Mann	B	500	TYJ119p	0.05	^12000
Smith B	B	5,000	TYK117.5/122 combo	.03 call	^11927.5
RJO	B	750	TYK120 strad	2.04	12000/02
RJO	S	500	TYM121.5 c	0.52	^12001
2yr. Opts
Paper	S	6,000	TUM 109.5/110 c spread	7	10908.7/09
5yr. Opts
Paper	B	1,000	FVJ 118.5 call	0.02	11715 area

 

Treasury Trading Update.

Volume spike fairly impressive as Treasury announces the beginning of winding down some of the stimulus measures.

Interesting angle on this announcement couresy of zero hedge - take a look http://www.zerohedge.com/article/treasury-quid-banker-pro-quo-you-can-raise-dividends-if-you-buy-my-toxic-mortgages

The chart to the right shows the volume and price action in 30yr. futures. The 10yr. chart looks the same but the volume in that one minute period was over 50K – very impressive. You would have to go back to the 16^th. of March to see a similar volume spike. That occurred when the EU official announced a disaster was imminent re the nuclear reactors in Japan and a flight to liquidity occurred.

Since topping out on the 16^th. prices have been heading steadily lower. Weekly and daily trends are still up – so I am forced to continue to play the long side. Will plan to be patient for now – as the daily RSI’s are still coming off over bought levels. Chart below shows 2 good legs to the upside have occurred – I will still be looking for one more leg up and currently holding a long call short put position.

Activity in Fed fund options shows market betting that the Fed will remain on hold as through the September meeting – note selling in straddles and selling in back spread. The fed’s meeting schedule for the balance of this year is:

• 4/26 -27
• 6/21-22
• 8/9
• 9/20
• 11/1-2
• 12.13  

Larger flows from a.m. session listed below.

3/21/2011
ED Opts.
Paper	S	30,000	EOZ 90/92 c 1X2	4	9831 area
Looks to be and exit - currently looking @ 3.5 bid - bought some @ 2 when futs were
trading 9781 area back on the 7th of Feb.
Locals	B/S	2,000	EOU 80/87 p spread	14	9863/63.5
Paper	S	1,000	EDH13 9800 strad	127.5	9799 area
Paper	S	5,000	EOZ 9900c	7	9826.5 area
Paper	B/S	2,000	EDZ9975c	0.5	9943/43.5
Fed Fund opts
Trade link	S	250	FFU 9981/9987 c spread	3.25	9981/81.5
Trade link	S	250	FFQ 9981 strad	6	9982.5/83
Fortis	S	500	FFQ 9981 strad	5.75	9982.5/83
Mann	S	1,000	FFU 9812/9875 p 1X2	.5 81's over	9981/81.5
Above trade sold as a back spreaad and like the two straddle sold just above the market hoping
rates stay pretty much between 9987 and 9975
10yr. Opts
Icap	S	1,500	TYJ119/119.5 p 1X2	0.01	12012/12.5
JP Morg	B	500	TYJ117.5/118/118.5/119 p condor	0.02	12011/11.5
Paper	S	500	TYM117/124 strangle	0.47	12011/11.5
Paper	S	500	TYJ120.5 strad	1	^12010
Following trades are post treasury announcement that came out 8:30 a.m.c.s.t.
Paper	B	3,000	TYM117.5/119.5 p 1X2	0.06	12002/02.5
Paper	S	1,000	TYK124c	0.08	12005/06
BCG	B	700	TYK118.5 p	0.04	12000/00.5
Paper	B	1,400	TYJ120 strad	0.62	11931
JP Morg	B	1,000	TYM120 strad	3	11931/31.5
Paper	S	2,500	TYM121c	0.55	12002/02.5
Icap	B	5,000	TYM114p	0.09	12003/03.5
Icap	S	2,000	TYM111 p	0.02	12003/03.5
Icap	S	2,100	TYM110p	0.01	12003.03.5
Above trade by ICAP executed as a weighted put ladder

 

Treasury Trading Update.

Better informed sources pointed out to me yesterday the large selling in the EOZ 9887/9912 c spread was a liquidation – and not a new position of any kind. Open interest this morning confirm that is exactly the case. Sorry to have been misleading. I will always try to get it right. I appreciate when more knowledgeable source lend a hand.

G-7 nations have drawn a line in the sand and are prepared to keep the Yen above 80 to the dollar so that their export driven economy can remain competitive. This in my opinion should not be detrimental to US rates and if anything should be on the bullish side. Will have more next week just a bit tied up today – thank god.

Did not get players list out today- but will try and post some later today or over the weekend.

2 charts below show June 30yr. futures...