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Someone was asking about the June 106 puts in 30yr trying to roll into the Sep 104 puts. That play is a pure volatility play, John Hughes essentially trades as an enormous upstairs local using a Vol model, or at least we think so. Anyway, I guess not really something to pay attention to...

JohnL, I agree with you, the fact the Fed has raised from 1% to practically 5% and risk premiums and spreads haven't really budged until early this year, tells you the Fed still has a lot more to go in the short end. If they decide to stop at 5%, one of two things could happen: (1) the...

Yield curve steepenings are also somewhat normal during periods of high long-end corporate supply and Treasury supply as a result of rate-lock hedging needs. Don't forget we had massive corporate supply the last two weeks, especially last week, and have month-end TIPS supply along with the May...

Actually, as usual the Japanese guys got out of their puts too early, or at least a portion of the 30yr puts, but out of all the May 106 puts in the ten year before it broke that handle. Way too early on those. Oh well, it has definitely been fun now that we have started to break out of that...

I would watch out if you are cautiously bullish in the Notes and especially the Bond. Over the past two weeks there have been so many structural bearish positions put on in the options it is out of control. These are very long-term positions being put on, such as out in September options. The...

No problem Noteboy, sorry for taking that the wrong way. Yes, that did kind of happen as if something was coming across the wire (or about to) at the time.

Noteboy, I never mentioned anything about 10,000 lot clips being normal. I just said it doesn't move the market like it used to, the size is easily absorbed in liquid conditions, even during this week, regardless of it being a holiday week. I have seen the market easily absorb up to 25,000...

Locals, guys trading their own account, essentially as scalpers/market makers/crazy all-together. These are the guys that have at least 500 or so at every price level, constantly in and out of the market, bidding/offering, jamming other traders, flipping, stop running, and of course just plain...

That hedge fund that clears Barclays Capital is none other than Citadel Group (they clear the same house for bonds at CBOT). I think the biggest locals in ES from what I have heard are the Iceman (Kingstree trader) and the Russian from Gelber. I am talking guys that just straight-up trade as...

Agreed with TomCole, 10,000 contracts in the 10yr note is nothing these days, only moving the market maybe 2 full ticks at most times. Also, whichever trader executed the order probably had a feeling that locals were short and he would try to jam them and force them to puke up their position by...

PIMCO was still selling premium Friday, but not in their normal way. After the 30yr was hammered to the lows and began to trade back above 20 they began selling the Sep 111 calls in the 30yr (about 7000 from 44 up to 46 ticks). On a huge down move like Friday more often than not they will be...

Not sure about that yet, there were so many new put positions established today in the 10yr and 30yr they are too numerous to mention. The one play above all that stood out today was the June 102-103-104-105 Put condor, paper paid 10 ticks on 20,000 lots. This is a brand spanking new position...

I'm going with a little soft to right on the money as usual. I think our trade is more dependent upon positions already out there. There was a ton of put buying today in the 10yr and 30yr, with new positions from Bear Stearns in the June 106 puts, bought 10,000, so the worries are obviously...

http://www.cbot.com/cbot/pub/page/0,3181,1334,00.html

Last trade in June 105 puts is 17, with PIMCO selling 5000 at that price, last trade in June 109 calls is 3, with the same guys covering their shorts in those, has paid 3 on 10,000 of them so far today. So just playing around in their June 105-109 strangle.

Yes, their 10yr strangle is against a long 50,000-100,000 lot futures position and then various cash notes and bonds. They are doing exactly what you described. As for the outperformance of spread product yes that has been a stable trend as volatility has been pretty low in MBS and related...

No, the quote will not show up on Bloomberg, but you can look up each individual option price on there and then add them together and the strangle should be trading around there (if you were to call the floor and get a quote). Yes, PIMCO is always selling premium in the various CBOT options...

That strangle they are doing trades at the Chicago Board of Trade, they are options on Treasury futures. Won't find its value on Yahoo Finance. You can find the settlement for the strangle by adding up the June 105 put and June 109 call settlements. Right now with futures at 106-10 its...

The way I interpreted his explanation of the bond market is that he doesn't like Treasuries because he isn't being adequately compensated for holding a risk asset. In this case, he is definitely not long the 30yr bond and most likely has a steepener on in Treasury futures (probably long 5yr...

As for the Japanese, you hit the nail on the head. For the most part they concentrate their long positions in cash notes and bonds, which remember, always earn interest income. Historically they do create demand in the long run, but more often than not they are net sellers into their fiscal...