Futures Curve by Accutic

Treasury Trading Update.

Chart to the right shows June 12 Eurodollar future on top and the June 13 contract on the lower portion. Back on the 4^th and 5^th of May dealers bought good size in  the green (2013) June 9880/9881 call spread vs. selling the midcurve June 9925/937 call spreads (those are vs. the 2012 future. They  paid 2 up to 3 on the 4^th then paid 3 on the 5^th. The differential price between the two contracts – blue vertical line – settled at 116 ticks on the 4^th. Today with that spread trading at a 100 tick differential we are seeing some size exiting the trade for 3 ticks. They got out of at least 20K in the first hour. These options expire a week from this Friday which would be June 10.

Open interest report shows the following:

EOM 9925 c 178K

EOM 9937c 99K

 

EDM13 9800c 75K

EDM13 9812c 69K

 

I had them buy at least 30K on the 4^th and floor sources believe they have at least 50K on perhaps more.

This ties in a bit with what I was seeing last week in Fed Fund options – dealers were liquidating sizable call structures vs. the December futures: http://financialfutures.typepad.com/kiss/2011/05/treasury-trading-update-19.html

On Friday we saw a new position come in vs. the March Fed Fund options:

193	Bot	7750	H68/75p	1.50	H9976+/77
193	Sold	2500	H68/75p	1.50	H9976+/77

It seems there is a fair amount of concern that the Fed will be putting upward pressure on rates. Having said that we just received a much weaker than expected Chicago ISM number – came in around 56 vs. expectations of 62.

Further weakness was exhibited with the release of consumer confidence figures. Seeing the long end getting ready to test highs from last week.

  Larger flows listed below:

5/31/2011
Paper	S	1,000	EDU12 9900/9925/9950 c stree	4.5	N/A
Paper	S	20,000	EDM13 80/81 cs vs. EOM 92/93 cs	3	N/A
Looks to be liquidating sizable position:
Paper	S	2,000	EDN 9912/9925 ps	0.25	N/A
Paper	S	2,000	EDN9912/9925 p spread	cab (1/4 tick)	9966.5/67
New Edge	B	5,000	EDU90/93 cs vs EDQ9975c	.75 ps over	^9966.5
Paper	S	10,000	EDN13 9837/9862 c 1X2	12	N/A
TJM	S	1,000	EDM1/EDU1/EDZ1/EDH2 9937 p strp	19	N/A
Fed Fund opts.
New Edge	S	1,000	FFG9981/9987 cs vs 9956/9962 ps	2 cs over	9978.5/79
Paper	S	700	FFV/FFZ 9987 c calendar	.25  V over	N/A
New Edge
10yr. Opts.
Paper	S	3,000	TYN122.5 strad	1.31	^12210
Paper	B	2,000	TYU 115p	0.06	12203
Paper	S	1,000	TYU122.5 strad	2.56	^12211
New Edge	B	1,000	TYU123.5/124 c spread	0.11	12207/07.5
RJO	S	500	TYU122p	1.19	^12211
Paper	S	1,000	TYN119/120 p spread	0.04	12215.5/16
ICAP	B	600	TYN124c	0.14	^M 12327.5
Mann	B	500	TYN124/125 c spread	0.09	12216/16.5
Bache	B	1,000	TYN120p	0.07	12216.5/17

On a block trade 10K traded on the EDZ12/EDZ13 futures spred at a 100.5 differential.

Treasury Trading Update.

There was a story in today's FT talking about Basel III and some potential for Banks in Europe to evade capital requirements. It was of enough magnitude to send the Euro currency higher - bad behavior is still what gets rewarded first. Here is link to article if you care to read:http://www.ft.com/intl/cms/s/0/b5a5f94a-87d3-11e0-a6de-00144feabdc0.html#axzz1NYZCG5mi

Esewhere I did get stopped out on short bond position - however still short some calls and long some puts. Will hold over the week end and check the charts on Tuesday - if not sooner. Have a good memorial weekend.

Some of the larger flows listed below: Note under 10yr. flows where I reference a Wk2 option it should say Wk 2 120.5 put......

5/27/2011
Paper	B	500	EOM 92/93 c spread	7.5	N/A
Paper	S	5,000	EDU12 9900/9912 strad spread	3.5 9900 over	9907.5/08
Paper	B	1,000	EOM 88/91 p spread	1	N/A
New Edge	B	2,000	EDZ12 9600 p	5	N/A
Paper	B	2,500	EDN 9962p	0.5	9965/65.5
BCG	S	10,000	EDZ1 9962c	7.5	9958.5/59
Paper	S	5,000	EDM12 9962c vs 88/91 p spread	1 call over	9934/34.5
Fed fund opts
Paper	B/S	1,200	FFG9981/9987 c 1X2	2.25	N9979/79.5
Morg St	B	1,500	FFF 9968/9981 p spread	2	9982/82.5
10yr. Opts
1st opt.	B	1,500	TYU115p	0.06	12207/07.5
New Edge	B	2,000	TYWk2	0.06	12208/09
Paper	S	1,000	TYN122.5 strad	1.33	^12210
Mann	S	500	TYN124.5c	0.08	12210.5/11.5
RJO	S	500	TYU119p	0.27	^12211.5
RJO	B	1,000	TYU116.5/117.5/118/119 p condor	0.04	12211.5/12.5
Paper	S	1,000	TYN124.5c	0.1	12217.5/18
CCM	B	1,000	TYU119.5/125 combo	.04 call over	12217/17.5

 

Treasury Trading Update

Activity in Fed fund options remains brisk as dealers continue to take off bullish option structures, see players list below. I read some more research regarding the Fed’s announcement on Tuesday that they would be including – thus targeting GSE’s as eligible for being counter parties to the Fed’s Reverse Repo’s. Those again will facilitate the removal of excess funds from the system. From what I have read so far no one argues that in general liquidity removal will tend to push rates higher. But when you start to analyze the relationship between IOER and overnight rates the analysts tend to believe that there will still be enough liquidity to keep the overnight rate well below the IOER. Never the less a fair amount of trade has occurred in Fed Fund options and we have seen liquidation of some sizable positions in Eurodollar calls as well today.

Elsewhere Jeane-Claude Juncker of the EU-zone finance ministry stated in the press that the IMF may not release funds to Greece if they fail to enact measures deemed necessary to win said funds. This has caused a decent rally in Bunds  - Bonds and Tens and this will persist until we here something otherwise. Data out this morning was on the weak side as well – however as noted with last weeks data – you have to take natural disasters – weather in the US – Earthquakes in Japan – as factors that are affective certain sectors. The uncertainty has the bulls somewhat in control for the moment but we shall see.

Larger flows from a.m.session.

5/26/2011
Paper	B	5,000	EOM 9900/9912 p spread	1
Paper	B	5,000	EDU 96/97c 1X2	6.5
Paper	B	500	EDZ12 90/92/93 c tree	.5 pieces over
CSFB	S	10,000	EDM12 9887/9912 p spread vs 9962c	.5 call over
Paper	S	2,000	EOU 9900/9912 strad stupid	70.5
TJM	S	5,000	EDU/H 9962 call stupid	15.5
Paper	S	5,000	EDU/EDZ/EDH 9975 c strip	3
Paper	S	5,000	EDH96/97 c 1x2	5	^9949.5
Paper	S	5,000	EOZ 9837/9850 p spread	12	9881/81.5
Paper	B	20,000	EOZ 92/93 c spread	3.5	9981/81.5
Fed Fund opts
Morg St	S	9,000	FFZ 9981/9987 c spread	3.5	9982.5/83
4 K sold yesterday OI delclies to about 18K and will drop by at least 9K more after today.
Seeing some good liquidation in ED calls as well.
Paper	B	2,000	TYQ 9981/9987 p spread	1	9988/88.5
Paper	B/S	250	FFX 9975/9981/9987 p fly	1.75	9983.5/84
Morg St	S	5,000	FFG9956/9962 psprd vs 9981/87 csp	2 cspd over	9978/78.5
This one looks to be liquidating as well…
5/26/2011
New Edge	B	3,000	TYN121p	0.28	^12126.5
Mann	S	2,000	TYQ124/125 c spread	0.1	12127/27.5
Paper	S	500	TYQ118p	0.09	12131/31.5
Paper	S	1,000	TYQ122 strad	2.12	^12129
RJO	S	850	TYN125c	2.11	12202.5/03
30yr. Opts
Paper	B	1,000	USN125c	0.57	^12404
floor sources indicate this bid filled after RJO sold the July straddle in 10's - open outcry - no substitute

 

Treasury Trading Update.

A bit more on the Fed Funds market – a colleague sent some research that explained a bit more on what the implications were of adding the GSE to the list of potential counterparties with whom they can conduct large-scale reverse repo operations.

The story is – because the GSE’s legally cannot receive the IOER (Interest On Excess Reserves) which currently is 25 basis points – they are forced to lend money in the traditional fed funds over night market which because of the large amount of excess reserves the GSE’s have that rate is currently about 10 basis points (which is 15 basis points below what the Fed is paying). Recall in early April the FDIC started affecting that arbitrage opportunity http://financialfutures.typepad.com/kiss/2011/04/treasury-trading-update-3.html

Even though this is tangential to the main theme – it is worth reviewing – as is just about everything else I write. (Usually because I’m under some sort of mind altering spell of some sort).  But to make a long story short – this move could be important in that if the Fed were to “aggressively target” the GSE’s – in terms of removing massive amounts of liquidity – that 15 basis point spread between the IOER and fed effective could move towards zero. Again yesterday this was initially worth about a one tick move and some put buying. Currently prices are not reacting – although floor sources indicate one player long Dec. call spreads and short Dec. put spreads might be looking to exit – call for more on that one.

Any who – prices are fighting the new down trend – that is underway in 30yr. futures – so maybe it won’t be a down trend after all – but I’m still ok with a short position and will add to it until proven wrong. Again call for details.

 

Larger flows from a.m. session listed below:

5/25/2011
screen pre open
Paper	B	11,000	EDU93p vs 92p vs 91p 80p	flat	9965 area
Above trade they buy 93p once sell the 92 and 91 once and buy 2 9800 puts
Paper	B	1,000	EDM97 strad	3.25	9972.7/73
Paper	B	2,000	EDM 9975c	0.5	9972.7/73
Paper	B	20,000	EDU/EDZ 9925 p spread	3	N/A
Paper	B	10,000	EDM13 78/80 p spread	2	9821.5/22
Fed fund opts
Paper	S	500	FFZ 9950 p	0.75	9981/82
Paper	B/S	500	FFZ9925/9950/9975 p fly	1.25	9981/82
10yr. Opts
Screen pre open
Paper	B	6,000	TYU118p vs. 117p and 115p	.01 for the 118	12125 area
Paper	B	500	TYU115/129 strangle	0.1	12124/25
Paper	B	3,000	TYN120.5p vs	see below	12124/25
Paper	S	1,000	TYN120p	see below	12124/25
	S	1,000	119.5p	see below	12124/25
	S	1,000	119p	see below	12124/25
	S	1,000	122.5c	see below	12124/25
Above 5 trades all a package the 120.5 puts over by .03 on the trade				0.03	12124/25
Paper	B	500	TYN121.5 strad vs Wk 4 121.5 strad	1.04 N over	^ 12124
Paper	B	500	TYU125c	0.18	12122/22.5
Paper	B	1,000	TYN120.5/121.5 p spread	0.25	12127/27.5
Merril	B	1,500	TYQ123.5c	0.26	12127/27.5
Paper	S	500	TYU121.5 strad	2.62	^12127
JP Morg	B	750	TYN122.5/123.5/124.5 c fly	0.08	12126/26.5
Paper	B	500	TYU118p	0.27	12128/28.5
RJO	S	500	TYU121.5 strad	2.63	12128/28.5

 

 

Treasury Trading Update.

Seeing continued profit taking on Short positions that were put on back in Mar. on the EDH 9937 straddle. Back in early and late march with the futures trading around 9910 to 14 area dealers were selling that straddle for 53 and 52.

Elsewhere long end clearly has changed direction – rally in 10’s and 30’s since Apr. 11^th has stalled and now starting what looks to be sustained down move. Was able to sell some Sep bonds yesterday early – will add to position as signals arise. May look at some risk reversals in options as well – call if interested.

There was something out today apparently that put some downward pressure on Fed Fund options and floor sources indicate that dealers were looking to buy puts. Here is a link to the story: http://www.reuters.com/article/2011/05/24/usa-fed-gse-idUSN2425423320110524?type=bondsNews . I will have to do some home work on this but the reaction was most the contracts fell 1 tic and there was some fresh put buying. My initial understanding is that the GSE’s could wind up having to absorb a lot of securities from the Fed’s portfolio and this would lessen the amount of cash that currently is available in the Fed Fund and other lending markets' so an increase in rates could be the result. Will try and get more later on this one.

Larger flows from a.m. session listed below:

5/24/2011
Paper	B	1,000	EDU95/96	1.5	9965.5/66
Paper	B	3,000	EDU 9875p	1	9965.5/66
Paper	B	1,000	EDU 9975c	1.25	9965.5/66
New Edge	S	20,000	EOM 9900/9912 c spread	11	^ 9926.5
Paper	S	3,000	EOU 9900 strad	38	^9898
Paper	B	10,000	EOZ 9950 c	0.5	9870.5/71
Paper	B	2,500	EOU 9775/9825 p 1X2	1.5	9899/99.5
Merril	S	10,000	EDZ13 9700p vs EOZ 9825p	.5 and even 13 over
Paper	S	5,000	EDU 9937p	3	^9965.5
Paper	B	2,000	EDH 9937 strad	0.39	9946.5/47
Paper	S	3,000	EOM 9925 p	0.05	9926.5/27
Paper	B	5,000	EOM 9900 p	1	9926
Paper	S	3,000	EOM 9925 p	5	9926.5/27
Locals	B/S	5,000	EOZ 9925/9950 c 1x2	3.5	9870.5/71
Paper	B	3,000	EDM9975c	0.5	9972.7/73
Fed Fund opts
Trade Link	B	300	FFV 9987c	1.25	9985.5/86
Paper	B/S	500	FFV 9981 c	5.75	9985.5/86
Paper	S	750	FFZ 9987 c	1	9981/81.5
Mann	S	500	FFX 9981 strad	7	9982.5/83
JP Morg	B	500	FFZ9975/9981 p spread	1.25	9981.5/82
Paper	B	2,000	FFZ9962/9975/9981 p fly	0.25	9981.5/82
Paper	B	1,000	FFQ9987 puts	1.5	9987.5 area
10yr. Opts
Merril	B	500	TYU 115/129 strangle	0.11	12114/14.5
Paper	S	1,000	TYU118p	0.27	12113/13.5
Paper	B	500	TYU121p	0.09	12113/14
Barclay	B	1,000	TYU 121.5c	1.01	^12114
JP Morg	B	750	TYN122.5/123.5/124.5 c fly	0.08	12116/16.5
Paper	B	500	TYU 118 p	0.27	12118/18.5
RJO	S	500	TYU121.5 strad	2.63	12118/18.5
Locals	B/S	1,000	TYN116/118 p spread	0.03	12117/17.5
Paper	B	1,000	TYN120.5/121.5 p spread	0.25	12227/27.5 M
Merril	B	1,500	TYQ 123.5c	0.26	12117/17.5
TJM	S	1,000	TYU121.5 strad	2.62	^12117

Treasury Trading Update.

One of the interesting things that skewed some of the data last week – jobless claims – and industrial production had to do with supply disruptions that are now being felt after the tragic earthquake tsunami that hit Japan. The auto sector apparently took a pretty good hit pulling down the indices – however other sectors of the economy were doing quite well especially mining, something to keep in mind as we continue to see record low interest rates.

Currently about 3 hours into the session market in US treasury futures is holding gains as concerns of stability in the euro zone periphery continue to pressure money to find the safest locations. The euro made fresh lows vs. the Swiss Franc which is one of the larger trades going on in these tough times (see chart to the right). These truly are extraordinary times and with the massive amounts of liquidity foisted upon the market via all these stimulus packages reality has been replaced by fantasy. And the new Walt Disney is an imaginative gnome named Bernanke.

Enough of that, what we have going on here seems to be fresh bets that back month Eurodollar contracts are currently under valued.  Not so much in the longer end.

Larger flows from a.m. session listed below.

5/23/2011
Paper	S	2,000	EDZ12 92/93 c spread	5.5	9976/76.5
Icap	B	2,000	EOM 91/92 p 1x2	1	9928.5/29 area
Paper	B	30,000	EDN 93/96 p spread	2.5	9965.5 area
20K of the above were bought on screen prior to open futs may have been a tick higher
New edge	B	10,000	EOM 9925 c	8.5	^9929  60%
Paper	B	15,000	EDN13 9850 c	3	9799.5/9800
TJM	B	3,000	EDZ12 90/93 c spread	0.18	9875.5/76
Paper	S	2,000	EDH95 strad	33.5	9947.5/48
New edge	S	10,000	EON 91/92 c 1X2	2	9903/03.5
Paper	B	3,000	EDH 9937 strad	39.5	9947.5/48
Paper	S	2,000	EOU 9800/9850/9900 p fly	7.5	9903/03.5
Paper	B	30,000	EDU13 9900 call	1	9798.5/99.5 area
Some of the above bought covered futures			futures  9800.5
10yr. Opts
Smith	B	5,000	TYU117.5 p	21	12027
RJO	S	500	TYU122 strad	3.06	^12129
Local	S	650	TYN119/125 combo	0.03	12128.5
Paper	S	100	TYU122 strad	3.05	12126 area
30yr. Opts
UBS	B	1,000	USQ 118/121 p spread	0.34	12511/12
Paper	B	1,000	USU 116/117/121 p tree	0.3	12402 area

Treasury Trading Update.

There are plenty of shorts in the market – and there is plenty of concern over in Euroland about the future of Greece – Ireland – Spain – Portugal – Italy. Thus we have prices holding fairly firmly for the moment in 10yr. and 30yr. futures. After today’s June option expiration there will a large amount of shorts coming in via the 100 +K in open interest on the 122 call strike.

Currently I am being patient and waiting for prices to rally a bit more before employing some sell strategies. Using the methods I have adopted I have been able to get in with out having to incur too much risk. The key is to have rules and stick to them – but you all know that I’m sure.

Speaking of rules I attended a forum last night on high frequency trading. Quite interesting and informative. The more I look into the proliferation of trading platforms - and new competative exchanges that offer reduced fees and less regulation - the more I am convinced that the solution is simple. Currently the CFTC is likely to miss a July deadline to present new rules for otc derivatives. As I say on this blog - keep it simple stupid. Make sure that users of the capital markets - pension funds - primarily and most other sources of investment capital that are supposed to have fiduciaries involved - in no uncertain terms let it be known that those sources of capital can trade - exchange traded products only - and only exchanges that have proven track records such as the CME group. All this crap about market makers threatening to move their business to other platforms where fees and regulations and integrity are all reduced is just that - crap. They will stay where the primary business is conducted - we just need leadership with integrity - not a bunch of sell out shills. More later.

Add these to 10yr. flows:

Paper	S	500	TYN123.5c	0.12	12224.5/25
Paper	B	500	TYN119/120 p spread	0.12	12224.5/25
Paper	S	2,500	TYU 117/125 strangle	0.41	N/A
Paper	B	1,000	TYU 119/120 p spread	0.19	12223/24

Some of the larger flows from a.m. session listed below.

5/20/2011
Merril	B	5,000	EDH95/96 c 1X2	1	9947/47.5
Paper	B	500	EDM 9975c	0.5	9973.5 area
Paper	B	1,000	EDZ95/96/97 c fly	2.5	9959.5/60
Paper	B	500	EDZ1/EDH2 9950 c strip	33	N/A
Paper	B	10,000	EDZ 9962 strad vs EDU1 96/97 strngl	.14 for strad	N/A
Paper	B	2,000	EDH12 95 strad	33.5	9947.5 area
Paper	B	500	EDM12 9925 strad	54.5	9927 area
Paper	B	2,000	EOH 9837 strad	80.5	N/A
Paper	B	2,000	EOM 9925c	7.5	9927/27.5
Fed Fund opts
JP Morg	B	500	FFH 9925/9950 p spread	2.5	9973.5/74
10yr. Opts
Swiss B	B	1,000	TYM122.5p	0.03	^12221
New Edge	S	1,000	TY Wk 4 121 strad	.51 and .52	12223.5/24
Paper	B	1,000	TYN123.5c	0.12	12223.5/24
Paper	B	750	TYN 122.5c	0.28	12225.5/26

Treasury Trading Update.

The market for interest rates may be getting a little bit too bearish over the last couple of sessions. Yesterday the fed minutes indeed did reveal that the entire discussion did revolve around tightening and not easing or QEIII. The interesting part of the thought process revealed the following:

 

Step one  - Stop re-investing proceeds from early prepayments on the feds mortgage portfolio holdings. Also at about the same time stop re-investing principal payments on treasury holdings.

Apparently the majority of the FOMC preffered to raise rates 1^st prior to any outright sales of securities. This would allow them to cut rates – if indeed the economy started to falter. So as things stand now Step two would be raizing rates and step three would be selling assets outright (as opposed to simply not re-investing maturing securities or pre-paid securities.

There has been a fair amount written about the “fears” many participants have in regard to the upcoming end of QEII. There is evidence that even though the end of the treasury buying program could force rates higher – there is equal evidence that new buyers will step in as they have in the past and rates will remain at their current levels. Rather than go into all the details I would suffice to say that as usual the charts will provide enough guidance as to how rates are looking to trade. Currently they do look to be poised to rise after falling steadily from the 11^th of April.

Shorter term with June options set to expire tomorrow I did see what looked to be short covering in the June 122 calls – and possibly new buying in June 122.5 calls – probably related – see players list below.

Early tone was set when EU’s Junker said that a comprehensive package – including “soft restructuring” of Greek debt caused some resumption of equity buying and exits from safe securities. US securities did get hit on very weak economic data at 9:00 a.m. but currently are rebounding off the lows. The weak data did cause treasuries to rally,  however not enough to be a safe sale yet. Will be looking at put structures and bearish combo’s vs. the long bond if prices can get a little higher – call for details.

Larger flows from a.m. session listed below.

5/19/2011
Paper	B	5,000	EDZ1 90/92/95 p fly	2	9957 area
TJM	B	5,000	EON 85/87 p 1X2	1.5	9892 area
Paper	S	15,000	EOZ 92/93 c spread	2	^9862
New Edge	S	6,000	EDN13 9812 c	7.5	9779.5
Paper	S	5,000	EDM13 9825/9850 c spread	4.5
Deutche	B	4,000	EDM12 87/90 p spread vs see below
Deutche	S	4,000	EDZ1 92/95 p spread	2  June over	N/A
TJM	B	7,000	EDU13 9725p vs EOU 9850p	4.5 for EDU13	N/A
Paper	B	10,000	EOU 82/85 p spread	3.5	9893.5 area
Paper	B	5,000	EDZ1 90/92/95 p fly	2	9957
Paper	S	5,000	EDZ92/93 c spread	2	9863/63.5 area
Paper	B	5,000	EDN13 9837c	3	9783.5
Fed Fund opts
Paper	S	600	FFZ 9987- FFF9981 p diagnol	.75  Z over	N/A
Paper	S	1,000	FFN 9987c	2.5	9989.5 area
Mann	B	750	FFN 9981p	0.25	9989.5 area
RJO	S	1,000	FFX 9981 c	4.5	9983/83.5
Paper	B	1,000	FFG9950/9975 p spread	4	9975/75.5
10yr. Opts
Pre data
Paper	B	1,000	TYM123c	0.02	12210.5/11
Post data
Paper	S	5,000	TYM122.5c	0.03	^12203
New Edge	B	1,000	TYM121.5/122.5 combo	.02 call over	^12205
New Edge	B	500	TYU 120.5 strad	3.03	12203/03.5
New Edge	S	1,000	TYM122.5 p	0.24	12205/05.5
Mann	B	5,000	TYM122.5 c	0.02	12200 area
Paper	B	4,000	TYM 122c	0.1	12200 to 03 area
Buyer of 122 strike looks to be large short covering also talk large buyer of 122.5 strike may be hedging?
June options expire tomorrow so if short the strike you will be assigned a short postion @ 122 if June
futures settle 12200 or higher.
CCM	B	2,000	TYN118/120 p spread	28	N/A
TJM	B	2,000	TYM121.5/122 p 1X2	1	12213/13.5
Adv	B	1,500	TYN118/120 p 1X2	0.15	12213/13.5
Barclay	S	2,000	TYM122.5c	0.06	12211/11.5
CCM	B	1,000	TYN122.5 c	0.2	12211.5/12
RJO	B	1,000	TYM122p	0.02	12212.5/13
Paper	S	1,000	TYN 123c	0.12	^ 12026.5
Paper	S	1,000	TYN 123c	0.12	^12027.5
Working to sell more this way.
5yr. Opts
Smith B	B	2,500	FVU117 put	0.38	^11725.5

 

Treasury Trading Update.

Trading flows listed below do show some bearish bets as we head into today’s FOMC minutes. Currently 10yr. futures under pressure trading 12222. There are some opportunities however slightly more risk perceived here than reward so I’m not all that inclined to get involved. If you want some ideas feel free to call. Otherwise enjoy your day. Will have more later.

Here is something interesting just came in - With June 10's still around 12222 area a dealer is looking for a market ins size of 25,000 on the June 122 calls. Most feel it is for the large short in that strike. Currently getting a wide market .45/.55. The option has a delta of 88% so you would have to offset the risk with 22,000 futures. No trade yet will be watching.

Larger flows listed below.

5/18/2011
Paper	B	3,000	EDZ12 9750/9787 p spread	6	9870.5/71
Paper	B	3,000	EDZ11 95 strad	25.5	9958 area
Was bought 6K yesterday OI report shows new postion
1st opt.	B	5,000	EDU13 9700 puts	5.5	9795/95.5
Paper	S	10,000	EDM 9975 call	0.5	9973/73.25
JP Morg	S	6,000	EDM 9975 straddle	3.5	9972.2/72.5
New Edge	B	5,000	EDZ 9925/9937/9950 c fly	1	N/A
Paper	S	1,500	EDM13 9775/9800 p1X2 with see below
Paper	S	1,500	EDM13 9825/9850 c 1X2	8 - sold both	9813 area
Fed Fund opts
Paper	B/S	500	FFZ9987 - FFF 9981 p diagnol	0.75	N/A
10yr. Opts
Screen pre open
Paper	S	7,000	TYN118.5/124.5 combo	flat call over	12120.5/21 U
Floor
Paper	S	500	TYM123 straddles	0.31	12302 area
Paper	S	500	TYQ 121.5 strad	2.28	12121 area
Paper	B	2,000	TYM122.5 p	0.06	12229/29.5
Paper	B	2,000	TYU118.5/124.5 combo	.03 put over	^12117
Paper	B	500	TYM122/124 combo	flat put over	^12230.5
RJO	S	3,000	TYU121.5 strad	3.07 and 3.06	12229 to 22
Paper	B	500	TYN 122/124 c 1X2	0.03	12229/29.5
RJO	S	1,000	TYN 121.5 strad	1.5	12226/26.5
Mann	B	500	TYM122.5 p	0.07	12226/26.5
CCM	S	1,000	TYM122/122.5 p spread	0.06	12225/225.5
RJO	B	1,000	TYU123.5	0.44	12223.5/24
Merril	S	2,000	TYM121.5/122/122.5 c fly	0.05	N/A
RJO	S	2,000	TYM121.5/122/122.5 c fly	0.05	N/A
5yr. Opts
Paper	B	500	FVM 119 p	2.5	N/A

 

Treasury Trading Update

Larger flows from yesterdays session listed below.

5/17/2011
Paper	S	2,500	EDM 95/96 p spread	.25 (cab)	N/A
Paper	S	5,00	EDU12 9700/9800 p spread	8.5	N/A
Paper	B	7,000	EOM 92/93 c 1X2	4	N/A
RJO	B	4,000	EDU 9925/9950 p spread	1.25	N/A
Paper	B	4,000	EDH13 91/93 p spread	5.5	N/A
Paper	B	5,000	EDH 9925/9950 p spread	6.5	N/A
Paper	S	10,000	EDM 9950/9962 c 1X2	0.5	N/A
Paper	B	6,000	EDZ1 95 strad	25.5	N/A
Fed Fund opts
006	Bot	2100	Z56/62/68p fly	.25	Z9982+/83
685	Bot	750	F50/62p	1	F9980/80+
737	Bot	200	K 2012  9900/50p	7.50	K9962+/63
830	Bot	1600	Q81/87p	.75	Q9988/88+
915	Bot	500	G81/87/93 c fly	2.75	G9976/76+
915	Bot	250	Q81/87c 1x2	3.50	Q9988+/89
915	Bot	150	F50/62p	1	F9980/80+
287	Sold	100	F75p	4.50	F9980/80+
287	Sold	1000	F75p	4	F9980/80+
915	Sold	250	F50/62p	1	F9980/80+
915	Sold	700	Z56/62/68p fly	.25	Z9982+/83
915	Sold	1000	Q81p	.25	Q9988
10yr. Opts.
020	Bot	500	U 21+ Stdl	309	12231/31+
197	Bot	6000	N 21+/23c (x1) vs…	4-5	M 12301
560	Bot	1750	M 23/24c 1x2	14	12300/01
560	Bot	1000	M 23c	17	M 12231
660	Bot	500	Q 22+c	57	U 12123
684	Bot	2000	M 21+p	2	12231+/12300
684	Bot	500	M 22c	2	12303/03+
685	Bot	1000	U 23+c	51	12300+/01
714	Bot	2000	Q 24/24+c	6	12228+/29
830	Bot	500	M 22/22+p	6	12230/30+
830	Bot	500	M 22/22+p	5	12301/01+
197	Sold	500	M 22+c	31	12227/27+
281	Sold	2000	M 23c	20	12302/02+
660	Sold	650	N 20+ Stdl	200	12229/30
660	Sold	500	M 23 Stdl	34	12230+/31
685	Sold	500	N 20+ Stdl	201	12227/27+
714	Sold	500	-N 21/22c vs +N 18p	27	12230/30+
714	Sold	500	U 19/21p 1x2	1	12304/04+
830	Sold	1000	M 23/24c	16	12300/01
830	Sold	1350	N 21+ Stdl	152	12230/31
830	Sold	1000	U 19p	41	U 12118
local	Sold	500	M 23/23+c	11	M 12300
local	Sold	500	N 15+/17p	2	12302/02+
	Sold	12000	…vs N 19+p (x2)		M 12301
2 + 5yr. Opts
714	Sold	1000	2yr   U 09+/09.75/10/10.25c condor	4+	10912/12.25
714	Bot	500	N 16+/17+p	11+	11811.25/11+
325	Sold	500	2yrOPTS  M 10c	.5	10925+/25.75
444	Bot	1500	M -18+/+19c 1x2	9+	11916+/16.75
325	Sold	500	2yr   U 09+/09.75/10/10.25c condor	4+	10911.75/12
197	Bot	1500	2yrOPTS  M 109.75p	3	10825/25.25
560	Sold	500	2yrOPTS  U 109+/110c 1x2	8	10911.75/12
714	Bot	1000	M 18+/19p 1x2	1+	11919.25/19+
30yr. Opts
560	Sold	500	U 13/18p	38	U 12324
560	Bot	1500	M 27c	6-7	12512/13
287	Bot	500	U 30c	57	U 12405
560	Bot	500	U 106/110p	4	12405/06
370	Sold	500	M 23/24/25c tree	even	12521/22
737	Bot	1000	M 25/26c	30	M 12513/14
660	Bot	1500	N 21p	34	12518/19
287	Bot	700	N 25c	126	U 12414
690	Bot	2500/500	+N 17p (x5) N-24p		U 12404
560	Bot	1000	U 106/110p	4	12405/06