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Not that I know of, but will let you know if I hear of someone quoting. There are 2 guys besides myself in the bond room that quote and at one time I heard one of them might squawk from the grains. If you do a lot of business and are looking to arb the pit and screen then call up any Ag...

As always CBOT flavor includes the guy that knew about the number 30 minutes before, bought over 10,000 Dec 108 10yr puts after an initial RFQ 17 bid at 19 500 up. The 18's end up trading 10,000 times and the puts are magically worth 35 after the number. Ya, that guy's brother doesn't work at...

Goldman counting the money they printed today, along with that huge dealer that sold 10yr futures outright a point higher.

Ok, so Goldman prop completed their 107 conversion today now putting them flat that strike after getting smoked (even the best are wrong sometimes) being short the 107 straddles. Assuming they weren't cleaning up an old position they basically got short 40,000 Dec 109 calls vs. futures at 08.5...

Goldman buying the Dec/March calendar in 10yr futures. They have paid -3 the last two days on probably 30,000. The pit is saying it is early roll for a customer. My guess is they are playing for spread product widening tomorrow in swaps and the 10yr calendar will follow. Does this make sense...

Nope. Have been staying nimble and doing well playing the long side in futures the last few days. I think Dec 107 puts are somewhat cheap around 3 ticks into the number. Goldman prop bought 25,000 of them (they were short as part of short Dec 107 straddles, short puts and short calls) so...

You don't need to be in the pits to know market positioning. These position develop over weeks and sometimes month's time. Definitely get a premium news service like MCM Capital Markets (on telerate website I think), which usually reports specific account (hedge fund, real money, swap...

Agree with FIFO in the 5yr. It has actually helped the 2yr note, but definitely was hurting the 5yr for a little while. This should be a good change. As for the market today, there was a huge buyer of 30yr bonds in the pit on the close, a little over 10,000 from 111-13 down to 111-10...

We got our short covering and Goldman to add insult to injury sold another 1,000 Dec 107 straddles at 55 ticks to mark their position for the close. Unbelievable trade ahead of the Fed, but ended up going there way so far, and a lot more time left with that straddle, expiring end of November...

Goldman prop selling Dec 107 straddles versus futures from 106-22 to 106-26 over the last two days, total of 20,000+. New position, against long some March 107 straddles, probably 10,000 of those. Ideally they would like a spike down to the 106-22 area, to scalp back out of those short...

Anyone hear about the Bank of America liquidation of nearly 100 billion in MBS (mortgage-backed securities). I believe this story came out last week and not sure if they are done yet or have even started. Its a fairly bearish play at face value. If they were spread against Treasuries it...

That would be pretty interesting with the Canadian notes if someone like PIMCO ever got involved there because of yield differentials. How much daily volume does the benchmark note futures contract trade? I have heard of guys spreading it versus the US 10yr futures quite a bit.

Treasury has always been suspicious of dealer trading activities, most of it due to 10yr futures open interest that is WAY more than any of the outstanding cheapest-to-deliver issues out there for the past two years (i.e. PIMCO getting squeezed by Citadel in June 2005). This is really not a big...

Add the 5yr Treasury futures (at this point much more important than the 30yr futures) as well if you are going to do Eurodollars. And according to the CME the lead month is determined "to be the contract with the highest daily volume, currently based on a 12-day moving average, calculated on...

Volatility is getting smoked since CPI since it printed exactly on the money at +.2. Nov 107 straddle in the 10yr options traded 43 pre-CPI and is now trading 28 this morning. Obviously there were worries and now that they are gone we will sit with no data early next week and Fed blackout...

Squeeze of some funds that got short below 107-00 on Friday and yesterday. Now we are starting to downtick a bit again. Bought a few Nov 106 puts for CPI tomorrow on the long-shot that the short covering is done and a high print on ex-food and energy will bring in some renewed selling. Over...

Might be useful looking at say a 5yr TIPS (generally the maturity used to ultimately gauge effectiveness of Fed policy) chart to see market expectations for inflation heading into CPI and PPI next week. I will try to attach the chart below, but the jist of the story is that breakeven rates over...

Hearing a few very prominent locals that mainly trade the spreads in the pit have pretty much blown out . . . some are saying up to 20 million in losses (of course it started around 5 to 10 million).

JPM sizable 5yr options play about 15 minutes ago. Nov 104-104.5 put spread 1x2 paid 3 ticks for the 104.5 puts 15,000 x 30,000 times. Have done nothing but downtick since . . . now stabilizing a bit.

I usually stick to option lotto ticket style plays on NFP, especially during the first hour or two of trading afterward. I have had the opinion for a little while the market is a bit overextended long (and based upon some mortgage flows this week heading into the number had a good idea who was...