Search results

No way, I wouldn't be buying volatility yet unless I could pay for the straddle decay by scalping gamma, and on a day like today it would have been tough since it was a one way street. Everyone is saying "volatility is so cheap, it can't be this cheap, might as well buy it, etc.". I am still...

Tomorrow

During non-rollover periods the ten years most days will trade about 600,000 to 800,000 contracts, 30yr will trade between 300,000 and 400,000 contracts. The five year note also trades about 500,000 a day and finally the two year has begun trading about 100,000 a day as well. Remember, these...

I think the ultimate value for the CBOT stock lies in the movement of the long end of the yield curve. We all know the volumes that Eurodollars can do when there is actually some volatility in the short end the past few years (3 million plus contracts on a bunch of days, another 1 million plus...

The steepeners have been getting killed for years, that is why almost everyone has had flatteners on and will continue to do so as foreign central banks hold the long end of the curve at lower rates than normal and the Fed continues to raise rates more than expected to slow down the housing boom...

That is also a possiblity. But it seems a little too risky to offer that much size if you are short, unless they are that crazy and possibly willing to get short another 30,000 if their offers are lifted by the Goldman desk or some enormous FICC desk. It seems to me that most smaller locals...

Here is my opinion of what happened. A large local was probably long thousands (maybe 5000, who knows) contracts and decided to offer some size to see if there were any takers, there were offers of 9000 and about 18000 a couple ticks off the market below 1.1900, can't remember exact prices, I...

I can assure you this, it was not a bank or buy-side trader, it was a very large local messing around. Only a handful of traders use techniques like that to push the market.

It was offered about 30,000 plus off the market, below 1.1900, then all of a sudden that was pulled, went bid size from there to 1.1925 or so, traded an 1800 lot and 600 lot, few other big ones, then they started running it up to new highs of day at 1.1966. All of the CBOT bond guys were...

I know there are pit traders that use the screen (mostly spreaders) who call their clearing firms after they have made the trade on the screen and find the counterparty. I am pretty sure they can't see it on TT. I'm not sure if you can instantly call them and they will know the counterparty...

The mortgage guys continue to buy calls as we dip. As of late though Countrywide is pretty much set in their position. They are long about 50,000 May 110 calls and both April 109 and 110 calls at least 20,000 a piece. They setup this position in mid-to-late January and haven't done much size...

If you want to watch spreads in the Treasuries I would watch the cash spreads. The 10-30yr cash spread closed today at about +7 basis points, compared to the 2-30yr cash spread which inverted for the first time in about 5 years this morning. The yield curve spreads at this moment in time...

Definitely some very large hedge funds that put bet on that 10Y/30Y curve would steepen and its flattening massively. They are getting screwed on all hedges as well. Have to pay up in 30yr futures. And dealers hedging when issued so huge volume spike.

The 30yr cash roll into the new issue is -11.5 basis points, so obviously huge demand there, hence the solid rally in 30's and nothing going on in ten year to upside. Also hearing a massive unwind of a 5yr-30yr swaptions steepener, so probably somehow flowing back into the 30yrs today.

Fundamentally, they will continue to flatten the curve after the refunding and other supply next week if the Fed is expected to go at the next meeting. GCM is calling for about -40 basis points in 2-10's mid-year still, but wants to maintain shorts in long end or small steepeners into the...

Yes, they have a LONG bias, but they are trying to get the 10yr and 30yr issues to cheapen up before the auction. Wouldn't you want to get in at the lowest possible levels duing a massive Treasury refunding, especially when you own half our debt? Thus, they buy 30yr puts as they let the...

Steve, you are not alone in buying 30yr puts, you have the Japanese on your side. A large Asian account (believed to be for Nomura) purchased about 15,000 March 112 puts last week from 21 to 26 ticks and today bought 10,000 March 111 puts for 27 ticks. This whole large down move started when...

Their strangle is in the 10yr options because that is where the best liquidity is found. Right now the 10yr yield is around 4.50%, rising about 15 basis points this week, equivalent to a move of about a full point lower in the futures. So their 107 handle on the downside would be about a 4.70%...

Yep, noticed that one and personal consumption also much better than expected. Inflation is there but not yet showing up in major market movers such as CPI ex-food and energy, when it does there then longs will be in trouble.

The 106 to 107 handle seems pretty big on the downside, which is where PIMCO has been setting up the put side of their strangles. They still believe the long end is stuck in its range (are currently short over 100,000 March 107-111 strangles and looking to roll this position into June 107-111...