Recent content by mcurto

yep heard the same about the red packs . . . . 2,000 z/z9 spreads traded 110 over and another 4,000 block trade at 120 over . . . . 8:37 am to 8:45 am . . . . does that coincide with the red pack trade???????

they are primarily transferring large curve positions from one account to the other so for the small tape readers in the outrights (which i assume is what you are trading) it doesn't really matter . . . . . only guys this affects are the ones on the floor that used to trade opposite the large...

BOT/SOLD 31357 10YRS @ 113-27 BOT/SOLD 29588 5YRS @ 110-24½ (GOLDMAN BOTH SIDES) this was a block trade that went through a few weeks ago and is most...

Full carry on Mar/May wheat should be about 13.5 cents (carry) for first notice day and around 17 if held to expiration. A bunch of locals that got hurt on May/July (trying to capture almost $1.00 before the blowup) put the Mar/May back on around +10 cents (inverse) right after the spreads...

Be careful bear spreading wheat right now (against new crop July). Rumor mill is saying that Dreyfus might load out the wheat that has been sitting in Toledo warehouses for nearly a decade. About 25 million bushels there. Issue the receipts they own against the March futures, in the process...

Countrywide dumped 30,000 March calls in the 10yr options right on the pit open explaining your move before the number. They obviously had it and wanted to save a few ticks on the liquidation of their "hedge". HAHA.

Swap futures trade by appointment for the most part. There is almost always a 15,000 lot roll between Goldman and JP Morgan for the 10yr swap futures every quarter. I am sure these positions both have 10yr Treasury futures on the opposite side. There is very little intraday liquidity for swap...

The more I thought about the Goldman put position my guess is it was probably a front-run on all of this mortgage hedging and the fact that Countrywide would eventually need them (giving them an out down the road besides liquidating with locals who wouldn't let them out at favorable prices)...

Countrywide is starting to buy the Sep 102 puts in the 10yr options to protect against spread widening if we were to break lower again. That is the most obvious one I can think of at the moment.

You hit the nail on the head with the last point. Owning mortgages you are implicitly short volatility. Normally your risk is a bit more on the upside but with the massive swap spread widening down at these levels they are forced to hedge just as much if not more.

Still not covering the put position. I have a strange feeling it could have been Countrywide or even PIMCO protecting some long mortgage position (rather than in-house Goldman) but again who knows. All that matters is the mortgage markets have ZERO sponsorship right now and this is just...

Oh, and those puts are now worth 12 ticks. JP Morgan sold at least 5,000 of them today around 10 ticks. If open interest is lower that means they are starting to get out of them. Not bad, quadrupling your money 100,000 times adds up quite a bit, at least it did last time I checked.

Definitely, the book is very thin. I would attribute this to all of the Chicago curve trading groups lightening up on the Autospreader programs. I know a few that got crushed as the curve massively steepened these past few weeks. Might be a few other big locals that are backing off a bit at...

Forgot to post this but the Goldman desk on the floor bought about 100,000 Sep 10yr 102 puts one day before the last unemployment. Bought them for 2 to 3 ticks. Coincidentally they also removed their rate cut forecast in the week or so since. Who knows if it was the in-house bond desk or a...

10yr options will begin trading in half strikes starting June 25th in both open outcry and electronic trade. This is obviously at the request of Countrywide as over the past month or two they did quite a bit of half strike options but as flex because they weren't available in the standard market.