Futures Curve by Accutic

Treasury Trading Update.

We are expecting further word on operation twist from the NY Fed some time this afternoon.

Likely will be just the timing of the initial operation but could be more details according to a bullish WSJ article.

Also seeing front month ED contracts under pressure heading into the weekend. Some counter trend trades put on recently however.

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Have a good wkd.

 

Treasury Trading Update.

Turns out operation twist may have another consequence in that the widely followed and influential Barclays Capital's Treasury Index moving forward will likely see a shortening of duration moving forward. It will not effect this months read which is expected to extend.

Even thought the German vote was favorable the market is very much focused on "whats coming next" and there are many things to conitinue to monitor - not least among them the slovakian vote and the current review being conducted by the Troika.

Fairly slow pace - no doubt in part because of the Jewish holidays - for more on the above members please log into     http://financialfutures.typepad.com/accutic_plus/

 

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Treasury Trading Update.

Fair amount of activity today – a couple hours into the session there was noted weakness across the curve – trading activity was highlighted by large block trade in 30yr. and Ultra long futures.

Favorable votes and news of 90% target being met on Greek debt swap ='s This will likely see further upticks in the euro-currency as well as equity markets and put continued pressure on fixed income prices.

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Treasury Trading Update.

It's sounding more like the EFSF concept is gaining traction - so much so that they may not even need to increase the size - but will be able to use the EIB in some sort of leverage operation. US fixed income has fallen precipetously giving back all the gains scored since operation twist was announced.

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Treasury Trading Update.

Very slow pace to todays session. Essentially I believe the road map is out there and it is very clear that Europe must choose to not let Greece leave the EU. Devalue absolutely, but leaving and voiding all commitments denominated in Euro's and substituting them with new drachmas would be very costly - and not just for Greece. For more on this go to: http://financialfutures.typepad.com/accutic_plus/

Bonds have pulled back to the point where they are starting to look cheap on the intraday charts - however activity on the floor is very quiet. Again follow the link above for updates on trading flows and look at todays strategy.

 

Treasury Trading Update.

Lot's of chatter out of the IMF today - trying to find solutions to ongoing debt crisis. Seeing small impact in terms of the euro currency scoring some intraday gains and the stock market has also pulled up a bit intraday.

Exchange records show large liquidations in eurodollar options - especially short put positions.

Today we have Oct. treasury options expiring however - other than some flyers being taken on slightly out of the money puts - nothing too dramatic to report there.

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Have a good weekend.

Treasury Trading Update.

Today's Highlihgts after yesterday's Twist Announcement.

 

Clearly the Ultra bonds given the lesser amount outstanding,  compared to the 7 to 10yr. sector of the curve really took off yesterday.

Else where events in Europe remain grim and fresh contagion fears are making the rounds. Front Dec. futures are down as funding concerns putting pressure on intermarket lending rates – however large bullish structures in longer dated seem to be indicating strength in the US dollar vs. other currencies attracting demand and keeping pressure off the longer dated rates.

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Treasury Trading Update.

Highlights from today's Accutic plus members only page - members click here to go to report.

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Elsewhere market awaits the Fed announcement later today. I read some reports this morning that the larger players in the market are no where near as long as they were last year when QEII was launched.

Recently we are seeing volatility getting bid up in 30yr. futures – players list below shows some decent put buying and the Dec. straddle moves up 4 ticks. In Fed fund opts Morgan Stanley recently buying puts and selling calls – looks to be new position that would benefit perhaps if the fed were not to touch the current policy of paying 25 basis points to banks on excess reserves.

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Treasury Trading Update.

Tomorrow looms rather large in terms of Fed Reserve influence. The main things to watch for are obviously details of operation twist and also any talk of ending the 25% interest rate currently paid to banks for excess reserves. As far as the latter notion saw a little bit of new buying in Oct. 100 calls yesterday.

Bond prices did pull back from yesterdays over bought levels and – believe it or not the trend has remained down in 10’s – basically since about a month ago. Fundamental news out of Europe continues to keep price action volatile but so far major trend in terms of asset allocation into equities noted several weeks ago seems to be holding.

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Treasury Trading Update.

Currently 11:25 a.m.c.s.t. and we await news from an important Teleconference between the Troika and Greece. 10’s and 30’s remain stretched a bit to the upside –

The basis for this conclusion was that they have some large coupon payments due and without the Tranche of cash – now being delayed – Greece would not be able to make good on the 769 million in euro due tomorrow.

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