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 |
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