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 | |||||
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