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Well roll is pretty much over (although still 400,000 plus open interest in Sep 10yr is kind of scary, probably PIMCO holding still) and the curve has steepened massively since the last post (nearly 20 basis points in the 2-10yr curve). Some very large paper is continuing to commit to huge...

Yes, both TT and eCBOT can see which orders have been put into their system. I doubt though that Harris can simply log in from his computer and go to the 10year contract and see all working orders separately, on the other hand the CBOT market operations can see every single order that has been...

To my knowledge Harris is not trading anymore or as much since he has been involved with TT. His brother Hardy is trading and is one of the biggest 10yr traders screen and pit. I highly doubt he looks to see where all resting orders are on the screen, I think ethically they are a little more...

The "official" day of rollover was first notice day, the day in which december ten years became the front-month, and that was Wednesday, August 31st, 2005. If you do not plan on taking delivery there is absolutely no reason you should be holding your position beyond that point. Actually, you...

Yeah, one of the bigger NOB locals left about the middle of the day. The pit basically will show you the size of the screen, but remember that Brumfield's guy is in there so it will always be more than you are shown by the phone clerk. I don't think anyone really has any resistance in the 2-10...

These moves are unbelievable, were just trading 10, down to 04 absolutely nothing, back to 10, in about 30 seconds. Hold on to your seat belts, and we haven't even had non-farm payrolls yet. WOW!!!!!!!!!!!!!!

I was gonna say the exact same thing. Hasn't been as volatile as today is for some long time. Paper getting squeezed out of flatteners across the board, 2-10 year curve got all the way out to about 30 bps, off from lows earlier this week of about 10bps, that is a massive move. NOB spread all...

Yes I do trade the 10year (not huge size) and will sometimes do yield curve stuff (mainly the NOB). As for bond vol it has been bid on the rallies the last few days but subsequently will come off as we trade off of the highs. There was an interesting play put on by Merrill today, they legged...

Goldman today was licking their wounds. For the most part not active in the ten year, was a light buyer at 04 the last hour of the day. Was very active with the yield curve trades last few days, sold about 5000 FOB's today, sold about 3700 FIT's today and yesterday, essentially curve...

Brumfield starting to get short here (intraday) so you are in good company. Some size traded in bond on screen at 118-00, about 3000, haven't been able to push back above since. Paper starting to buy cheap Dec puts also in tens.

The squawk is easy to understand, only thing to brush up on is the yield curve spreads (FIT's, NOB's, FOB's, etc). Burghardt's book is very dry, the only part I read was trading the calendar spread based on CTD supply and demand. The rest of the book is for basis guys (need a whole weekend to...

Yep, big time short squeeze today, lot of fun to watch. Only guys selling this stuff on the way up are Goldman, sold a TON of dec ten years on the way up, probably 5000 or so in the pit and more on screen. Once again the NOB steepened big time, some guys squeezed out of NOB flatteners today...

No bid in either 10 or 30 yr implied vols as of yet, 30year vol was bid slightly on the rally today. Paper has been trying to sell vol in the 10's, a bunch of Nov 112 straddles sold last week, 10,000 or so total. I think everyone has been settling for the labor market steadily growing for...

The only thing that has changed is one of your biggest players in the tens, prop guy from JP Morgan appears to be long a boatload of Dec this time around, he was the one short a ton of June last time, ended up costing Morgan their quarter in terms of earnings. I would put him long 50,000+ in...

Local bid all this morning. Brumfield's guys in the pit very quiet, but didn't look worried we had a strong bid. The way he was pulling offers on way up also makes me think he was a good buyer early, as oil got bid. Some locals taking profits up here. Goldman selling some Dec 10-years...

The spread has been liquid for at least a couple weeks before the actual roll date. So in the future monitor where the spread is trading and you should be able to easily roll before first notice day.

I would just rollover now, no reason to even risk delivery as volatile as the spread is. Is there a reason you want to hold to the last trading day? The spread will be at least a full tick wide at that point.

Dec officially goes top step or front month on Wednesday of this week. You can roll your position anytime. If you are trading outrights though start trading Dec on Wednesday morning.

First of all, I would get a copy of Galen Burghardt's The Treasury Bond Basis, as this book explains squeezes perfectly. Squeeze situations can occur because of when and if large market players in Treasuries (one of them being Pimco more often than not) decide to roll their futures position...

Notes just got hammered, size paper seller on screen, nearly 10k plus from 25 down to 22. Now paper buying some October puts, japenese account, 10k bought. Thin to the downside, failed to take out upside stops. Lot of guys just got caught with pants down.