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Goldman prop still adding short 10yr vol at the Feb 107 strike which expires on Friday. They are selling Feb 107 puts covered against futures from 106-29.5 to 106-28 the last two days and when we trade above 107-00 they sell the Feb 107 straddles vs. futures at 107-04 to 06 mostly. I think...

Somebody is dumping size or hedging size ahead of tomorrow's 2yr note auction. After Monday's trade the 2yr futures lost 20,000 in open interest on the small uptick. During today's trade someone tried to sell 20,000 at 101-25, they got the first 10,000, then sat offered for 15 minutes and...

We are still in a pretty weak period in terms of seasonals as it is Japanese fiscal year end. Up until Thursday after CPI by many accounts they hadn't shown up as buyers in anything besides mortgages. Would definitely be watching indirect bids at the monthly 2yr and 5yr auctions next week and...

Most volatilty bulls in the Chicago options pits have been carried out on stretchers since about 1997-1998 (LTCM debacle). For the first time in the 5 years I have been down on the floor there is actually a big PAPER volatility buyer in the form of Countrywide in the 30yr options. They are...

I wouldn't worry about grasping the trend because some big accounts are on the same side as you. The mortgage servicers bought more than $1 billion of Fannie Mae (mostly 5yr) this week in anticipation of rangebound trade. They got exactly what they wanted today with the market stabilizing...

Cash levels are probably 4.76% and then 4.85% in the 10yr which are both spikes along a trend line as we traded back from above 5%. Market might be a bit short (seems like only dealers though and not necessarily hedge funds) into ISM for next week and if the number is consensus to a bit lower...

Mortgage guys were right aggressively rolling down their call hedge and they have now begun to buy puts, thus momentarily defining the bottom end of the range. This definitely feels like a shakeout of the last group of the former net long base of about 600,000 from E$ out to the 30yr. As of...

Most downside objectives were pretty close to hit today across the curve. Goldman seemed to be covering size in 10yr futures for some huge fund or their dealer desk, bought back about 10,000 in the pit from 107-31.5 down to 107-27. UBS sold about 15,000 Feb 108 puts in the 10yr from 30 up to...

John I definitely agree with you, tons of supply as we get into 2007. Last year was a bit nuts in the first three months as most of the Asian accounts were dumping Treasuries ahead of their fiscal year-end. Furthermore at this time last year inflation was just beginning to trend higher whereas...

Does anyone realize that Lacker was quite hawkish? He said Fed still worried about inflation data and growth was back toward 3%. Still not pushing any type of cut. Anyway, Wells Fargo is buying size in the March 109 puts (in the money) about 7,500 from 1-12 to 1-14. Option locals selling...

I agree. Wouldn't put too much stock into PIMCO talk after their position has been taken. They have been long size in the front end for over a year now so anything they say after the fact is really just to talk up their position. I can guarantee you we will not see less than 3% rates in the...

no hard feelings. you seem to have a great market opinion. let it be heard and attack our opinions as much as you want. just don't attack someone's livelihood.

That is what I squawk, pretty much all options. On dead days those flows move the markets more often than not for a few ticks here and there and sometimes quite a few more ticks. Quite a few people find it useful. Why do you attack me? I haven't said anything disrespectful to you.

At least as swap spreads have been narrowing since the summer from around 60 basis points to the 10yr treasury to less than 50 basis points now the trend in volatility (Merrill MOVE index) has been upticking, albeit very slightly. I do agree though, lots of risk out there, Goldman prop is the...

I'm not sure if this has anything to do with the structured credit stuff but Wells Fargo has been getting bigger and bigger every quarter with their convexity hedges for their mortgage portfolios.

Volume was heavy as reported by ICAP on cash, I think something like 200 billion traded and futures in all contracts were heavy volume. The 10yr was still trading good size into the afternoon, probably 500,000 contracts from Noon onward. 1.5 million contracts in the 10yr alone is a HUGE day...

Sorry to piss you off. I was just putting out there what I heard. And by the way, since you know everything about the 2% of the volume that goes through the CBOT floor I guess the fact that the largest banks (Goldman prop) and mortgage houses (Wells Fargo and Countrywide) are the largest...

Not so sure about that thin volume holiday statement. 10yr futures traded nearly 1.5 million contracts on the day, far from thin, in fact that is enormous flow. Much of this flow was two-way. In my opinion this week we saw quite a few fast money accounts get caught long on the FOMC statement...

Actually heard the same that one of the West Coast money managers (PIMCO or WAMCO, both are huge) was getting out of bunds, not sure if it was to the tune of 200,000 contracts but it was certainly enough to drag Treasuries along for the ride back to pretty much unchanged for the day.

Yep, they are doing pretty well with vol back below 4% in March, which is where most of the shorts are. They actually covered lots of their Jan and Feb. Their vol position actually becomes slightly long as they aren't short the 107 strike, net long 35,000 at that strike.