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 9th 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 9th after trading up to the strike on the 15th.
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 |
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