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In terms of volatility positions the Goldman prop desk has been short Treasury vol for who knows how long, but yes there is most likely an offseting position. My guess is they are long swaption vol against the Treasury vol position. As far as what I have seen the past few days Goldman has...

Not sure what your question is but many of the large hedge funds are long at this point in the 10yr futures (about 300,000 contracts plus). So if CPI spikes higher on Friday the Treasuries will be under immense pressure. If long these puts these guys won't have to sell their futures because...

Massive insurance for CPI. Paper now long close to 185,000 (maybe more, look at OI tomorrow) October 106 puts in the 10yr options. Mostly for 3 ticks. Most accounts about 20,000 of these on average. I don't think bulls are out of the woods yet. They do dominate these ranges mid-day though...

There are some worries on CPI for quite a few of the longs out there. Enough worries that paper is now long over 150,000 Oct 106 puts in the 10yr options. This is basically a point stop loss on positions that got long with the 10yr around 107-00 give or a 5-10 ticks. I haven't seen the...

Perry's Deli north of the Merc, no cell phones, huge sandwiches. Haven't been there in awhile but they crank out some big business.

Wow, 300-400 Clark I'm really not sure. I can tell you a few places that are not in the Loop though. One of them is Salernos, quite possibly the cheesiest thin crust you will ever have. It is not paper-thin crust either, just the right size. They will make the pizza extra greasy or you can...

When we get months like September and particularly heavy issuance I try to take advantage of the rate-lock selling by front-running as soon as it feels like rushed 2000-5000 lots are hitting the 10yr futures. Unfortunately I wasn't in town on Tuesday so wasn't able to catch that move in the...

I keep getting killed when this rate-lock selling never shows up. Last two days have been trying to get short around 106-26 and end up eating them right away. There was quite a bit of put option activity (both ways) today with Lehman (probably dealer account) buying Oct 105 and 106 puts while...

I still think the market needs to trade a bit lower yet to accomodate almost record supply for the month of September at something around $70 billion corporate and up to possibly $20 billion CMBS. If the last two days and the move down to 106-24 in TY are it then maybe Vega will be right on...

Riskarb, Exactly, every month they usually put on large plays strictly in the front month just as the previous month expired. They are pretty plain vanilla plays and don't get too complex. For instance, the 5yr options play was selling 30,000 Oct 104.5 puts and buying 30,000 Oct 105-105.5...

Vega fund loading up long again in the options, 30,000 bullish 5yr packages, 20,000 10yr combos, 5,000 30yr combos, all the same, selling just out of money puts to buy calls or call spreads. They are hit or miss sometimes, but like to gamble.

All of the same monster hedge funds that were long earlier this year are doing the same again, but now also include most real money accounts like PIMCO and other bond mutual funds.

Last time everyone was long and decided to get out the 10yr yield went from around 4.65% to almost 5.25%, earlier this year.

Check out www.iowagrain.com. These guys really know their ag markets and I'm sure there is a major release calendar there somewhere also check out their sample research letters, extremely comprehensive. When I worked on the ag floor the monthly USDA crop report was always a big release. Check...

Newbunch, All of the bond mutual funds such as PIMCO, WAMCO, Vanguard, etc., etc., benchmark their returns to the Lehman bond indices. Therefore as the Lehman bond indices add the new 10s and 30s that were auctioned this month they will cause duration in the index to increase more than a...

I don't know about selling quite yet. Mortgage accounts started the move from 4.63% in cash 10s out to 5% and change for the yearly highs. I think there is a major convexity buying level at 4.63% on the way back down (all of the call hedges are placed at 108 in futures which is that level in...

Remember the Treasury refunding was this month and the bulk of the supply was the 10yr and 30yr, so that tends to lengthen the average duration extension a bit more than usual. This is also why the 30yr bond remains very solidly bid (notice it begrudgingly gave up its bid this morning and...

Everyone was afraid of hawkish inflation talk buried within the minutes and the fact the supply began today so longs took a few profits after Consumer Confidence. 2yr auction was actually decent and then Goldman vol selling hit about 5 minutes before the FOMC Minutes were released. We found...

I don't know much about the S&P pit but would imagine Borsellino is right more times than not so I would still want to know what he is doing. And who is to say he can't push the market 8 handles, in thin market conditions where every bid is pulling and he doesn't need to sell much to push it...

Wednesday 7:15am central time.