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Are they also long the cash/futures? Is this basically a synthetic equivalent of a callable treasury? They are extending duration on sell-offs and reducing duration on rallies. Also, curious to know if you think that the underperformance of treasuries versus spread product (everything from...

hey mcurto- Is there any talk on the floor about the June bund getting close to a key level of 117.25. According to my continuation chart, a break would lead the market to levels not seen since 2004. Seems like this would be very bearish for treasuries since: 1. with bund you now only give...

hey mcurto- Seems to be some rather brutal selling going on in the front end. Did some players get caught with unhedged steepeners on?

Does anyone know why, over the last few months, the exchanges have been offering options on some of the lower volume ETFs (e.g. Vanguard, Rydex)? Open interest is miniscule in most of the series that have been listed so far. Usually the option exchanges are reluctant to list contracts on low...

hey mcurto- I saw a reuters story that said two year notes are "on special" in the repo market resulting in a negative carry cost of 15bp. The story said that while the issue is on special it makes it difficult to put on flatteners. Since the next 2yr auction is March 27, do you think this...

Hey mcurto- It would appear that the curve is flattening somewhat. Is the floor fading the steepeners? I assume that there are some moderately large buy stops around 107-16 that could really switch momentum back to inversion.

OK, so my vol arbitrage theory is somewhat fanciful. Do you think the trades are an outright bet on lower vols or some kind of manuever to hedge a options book?

Are we only seeing one side of the trade? Are the straddle 'sellers' in treasuries, straddle 'buyers' in spread products? If you got a spread blow-out that was just 1/10th of the Fall 1998 move, you would make good money on the vol arbitrage. Are vols too cheap in ED?

I would be careful of this sell-off in the long end. It is my understanding that corporate supply will be picking up in March (this would be longer term borrowing). Normally the rate lock hedging would be done in swaps, but due to the inversion swap spreads may widen, so better to use...

Hey Steve- I tried trading the March XT options. When I attempt to transmit an order, I get the message "No clearing rule found". This is a somewhat cryptic message. What does it mean?

One question: maybe I am missing something, but at what point does inversion cause a flattening trade to become a negative carry trade? Also, I think I read where the swaps curve has never fully inverted. So are the funds putting on flattening trades there instead of treasuries?

Hey mcurto: Are the mortgage traders setting up for higher vols? Do you think that an inverted curve is correlated with higher implied vols in 10s/30s?

Hey mcurto! It appears that mortgage guys have been very active hedging convexity risk last couple of days. Can you see any indication from TY/US options what the next key levels will be?

I thought most mortgage hedging was in the swaps market where you can create a infinite amount of supply at a price point (since the whole thing is a 'virtual' cash settled futures contract instead of physical settlement in treasuries). Why use treasury options with the attendant basis risk? Is...

upgraded to 851... it works o.k.... however, one annoyance - in the bid/ask size fields the size is shown with a "," if over 999. This is acceptable for futures contracts, but for stocks 1,000 is actually 100,000. Is there anyway to stop the display of commas for everything? [in some fields...

Is liquidity on the floor looking better than the screen? I assume that because support/resistance levels on the 2-10 & NOB are so hard to figure out, it seems like some of the normal players are out of the market. P.S. any idea where there is significant support on the 2-10 and NOB?

Hey mcurto- do you think we will see a significant move up in 10yr/30yr implied vols. before Friday's shortened trading day? It seems like the options usually get more expensive a couple of days before NFP.

Hey mcurto, any comments on the article? http://www.nytimes.com/2005/08/07/business/yourmoney/07gret.html? Also, I am curious to know if you think more traders will want to use OTC interest rate swaps to avoid the basis problems with treasuries?

Thanks for the explanation mcurto, I was hoping that you would see my post. I suspected that only Wall St. prop desks could pull off such a maneuver.

So the CBOT is putting limits on position sizes ahead of expiration. See http://news.ft.com/cms/s/268a1dc0-ed85-11d9-9ff5-00000e2511c8.html I assume this action is directed at stopping customers of the exchange getting the CTD issue, rather than members trading for their own accounts. Can...