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 16th. 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 16th. 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 | |||||
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