Data coming to the market remains extremely weak. ADP payrolls were well below expectations. Today’s ISM will be out by the time I publish this – so far the data from European ISM’s have been very weak and the regional ISM’s reported yesterday were weak. In the early going we are seeing more liquidation of red green spread strategies and looks to be some new buying of green call structures. The market is clearly turning back to the upside and I will be liquidating (painfully) some short call long put positions vs. the Sep. Bond future. I will be expecting some of the weak data to be blamed on severe disruptions caused by the earthquake in Japan and therefore there is a chance that the national ISM data will reveal some sectors to actually be performing well. But right now that is not the prevalent attitude in the market.
Elsewhere the European Unions top economic official seems to have found a harmonious chord in terms of getting a consensus solution on Greece’s fiscal situation. Keep an eye out for Olli Rehn, he did an interview with Bloomberg yesterday and there were some follow up stories in today’s press. And most importantly he did not try to avail himself to his hotel maid. He looks young and virile enough to manage his private life effectively and that seems to be about all that is required to be successful in the banking business these days. The essence of the plan known as the Vienna Initiative” requires that current holders of Greek debt pledge to roll over their maturing holdings and provide fresh capital if needed. Using this template which was successful in the past could provide the confidence necessary to achieve a successful outcome.
ISM just out – prints a 53 handle vs. expectation of 57 – 10’s now through 3.00% yield, with Sep. 10yr. futures futures trading 12305 area. Hourly RSI on 30’s way over bought (see chart below) so will still look for pullback. Not looking to sell just liquidate a bad long….. More later.
Flows below prior to ISM data - will update later.
| 6/1/2011 | |||||
| Cube | S | 10,000 | EDM1 9975c | 0.25 | 9973.7/74 |
| Paper | B | 1,000 | EOM 9925p | 1.5 | 9936.5/37 |
| Paper | B | 5,000 | EDU1 9950p | 3 | 9966.5/67 |
| Paper | S | 15,000 | EDM13 80/81 cs vs EOM 92/93 cs | 2.5 EDM13 over | N/A |
| continuted liquidation from yesterday | |||||
| Paper | S | 500 | EDH 9950 strad | 30 | 9951/51.5 |
| New Edge | B | 10,000 | EDQ13 9837/9862/9887 c fly | 5 | 9820.5/21 |
| Paper | B | 20,000 | EDZ13 9875/9800 c spread | 3.5 | 9794.5/95 |
| Paper | B | 7,000 | EDU90/93 ps vs see below | 1.5 | 9966.5 |
| Paper | S | 14,000 | EDN 9925 p | 0.5 | 66.5 |
| Above 2 executed as package so they pay .5 to own the pspread | |||||
| Paper | B | 15,000 | EOH 9900/9912 c spred | 6 | 9870/70.5 |
| Paper | S | 3,000 | EOH9862p | 31 | 9870/70.5 |
| Above 2 executed as a package. | |||||
| 10yr. Opts. | |||||
| JP Morg | S | 500 | TYQ124c | 0.38 | 12227/27.5 |
| CCM | S | 1,000 | TYN124.5c | 0.11 | 12226.5/27 |
| Smith B | S | 800 | TYN121/122 p spread | 0.13 | 12228/28.5 |
| New Edge | S | 650 | TYN121/122 combo | 1.06 call over | ^12228.5 |
| Paper | S | 500 | TYN122c | 1.2 | 12230 area |
| Paper | S | 500 | TYN122c | 1.22 | ^12223 |
| New Edge | S | 600 | TYN120/121 p spread | 0.06 | 12230/30.5 |
| Locals | B/S | 600 | TYU125c | 0.4 | ^12230 |
| 30yr. Opts | |||||
| UBS | B | 1,000 | USQ118/121 p spread | 0.21 | 12507 area |
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