Some may find it baffling – baffling indeed that US treasury rates’ demeaned most recently by S&P and earlier by Bill Gross have remained at extremely low levels and managed to head slightly lower last couple of weeks. Recently it was heard China might pare down it’s holdings of treasuries. All the while the US currency is heading lower testing key levels from 2009 and 2008. Given the huge amount of money that the US consumer is shelling out for petroleum I would say there is a very good chance that this money will find it’s way into US treasuries as it has in previous cycles where oil becomes a de facto tax on the US and other parts of the world. Some analysis on this is available here: http://www.businessweek.com/news/2011-03-14/dollar-depressed-by-opec-slashing-treasury-holdings-by-9-.html. The article actually bodes unfavorably for my theory – but there are some resources pointed out here that I will continue to monitor and recommend that you do as well.
Otherwise the big focus for the week will be the FOMC press conference this Wednesday. We are seeing one large trade today where a dealer sells the 118/122 strangle in June treasury options – it’s a bit cheap @ 20/64ths but could collapse a bit provided nothing to exciting happens. Will have more later.
| 4/26/11 | |||||
| Paper | S | 1,000 | EOU 80/82/85/87 p condor | 4.5 | 9874.5/75 |
| Goldman | B | 5,000 | EDM12 9875 p | .23 | 9908/08.5 |
| Fed Fund opts | |||||
| Paper | B/S | 1,500 | FFM 9987c | 1.5 | 9969/69.5 |
| Paper | S | 350 | FFG9912/9950 pspred | 4.25 | 9967.5/68 |
| 5yr. | |||||
| Paper | B | 3,000 | FVM 115.5 p | 0.03 | 11725 |
| Paper | S | 3,000 | FVM 118 c | 25.5 and 25 | 11725 area |
| 10yr. Opts | |||||
| Mann | B | 500 | TYM117.5/119 p 1X2 | 0.08 | 12009.5/10 |
| RJO | S | 500 | TYN119 strad | 2.26 | ^11826 |
| Local | B/S | 500 | TYM 118 p | 0.09 | ^12008 |
| Paper | B | 500 | TYM117/117.5 p spread | 0.02 | 12011.5/12 |
| Paper | B | 1K X 1.15K | TYM120p - 122 c combo | .26 put over | ^12011.5 |
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