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2 to 1 payout enough for me. I was just looking for a one day play, if not I would have sold end of today for maybe 2 or 3 ticks. About 5000 4's traded I think, maybe a bit less.

No one is whispering 300,000 . . . . . highest I have heard is Morgan Stanley around 150,000. I think I might take out a lotto ticket tomorrow on the high side, possibly the Nov 107 puts in the 10yr options.

Hearing above 140 and below 110 tomorrow will move us and be an event, anything else is a non-event, of course things are always dependent upon real money and mortgage flows in the long end. Around 110 seems to be the consensus of a few large hedge funds while economists are around 120.

Something interesting I noticed today, and maybe some cash guys/OTC/convexity gurus can help with this, is that Wells Fargo sold absolutely every option they own. All told at the days end they had sold 85,000 March 110 calls, 15,000 March 111 calls, 65,000 March 106 puts, and 20,000 Dec 107...

Hearing from a few contacts within GS that they are massively short stocks and so far on the wrong side of the trade (some signs of relief for them after today). They are also topping last year (with 3 months left) in terms of amount set aside for bonuses, their trading groups will probably...

We were under pressure again today but managed to push higher so far tonight. Mortgages continue the monster rollover from their Dec 109 and 110 calls into the March 110 and 111 calls, all told about 50,000 at each strike this week. PIMCO is now selling the March 106-111 strangle in the 10yr...

They think dealers are manipulating certain issues. I would imagine the 2yr note as of late. Who knows. This probably means nothing in the end.

On a fair-value basis the front end is probably most overvalued. As for the long end it doesn't matter, purely dominated by mortgage flows and real money put-to-work flows, can stay out of whack for longer than one can stay sane about it. The 2yr yield is something like 60+ basis points...

Not necessarily, those are just target levels where negative convexity wreaks havoc on their mortgage portfolios. Look at more as price levels that if we get there, will accelerate through those levels (i.e. from 4.65% to 4.55% in the 10yr within no more than two days). I lean with Lance...

Call stupids they are called, so both long, selling one call stupid to buy the other call stupid. Somewhat weighted on these while non-mortgage accounts usually do 1:1.

Talk of mortgage convexity buying again in 10yr and some swap receiving. Also saw on wires purchase of 25,000 10yr futures. I watch the book every second and didn't see that many trade. I think the convex buying was in cash and futures guys just turned off autospreads and the bid got crazy...

Massive mortgage call buying and convexity-type bid in cash 10s and futures. 2yr finally caught up this afternoon on the rally and steepened the curve quite a bit. I think the mortgages are moving into March options as Dec is becoming more influenced by volatility as it gets closer to front...

I really like your reasoning. But the problem is the volatility levels. This means that the market does not expect 1980's long-end type rates anytime soon. They generally believe the Fed is transparent and hang on every word they say, meaning inflation is contained and will not become wildly...

3 posts in a row, you must be excited. Just kidding.

The put/call ratio was almost 3 to 1 several days either last week or the week before, but the market has yet to break out of this monthly range. It was contrarian earlier this year as we traded to yearly highs in yield. Not sure what the signal is this time around, since we are at almost...

There was definitely rate-lock selling all last week, that is all the Greenwich Capital Markets desk was talking about, especially at the upper end of the range, from 107-05 to 10. Seems risks today are if Lacker is not a dissenter and statement is a bit dovish. Other than that business as...

One account bought 75,000 10yr notes today between the screen and the pit (50k screen 25k pit). The prices were from 106-21 to 106-26, with the largest chunk between 22 and 24. We really didn't move much until they started firing 5000 and 7000 lots above 25, then it got a bit out of hand. It...

Nice little move late with half the locals out of here. Illiquid and Hoenig fairly bearish. Along with rate lock selling could get messy below 00, but gonna need a size seller to take out 8000 bid . . . . .

Should be a fun one. There was a size put buyer on the screen in the 10yr options very late (around 1:30pm, when we started to break hard). He paid 9 ticks on 25,000 of the Dec 105 puts, most of them 5,000 lots in time and sales. The interesting thing is that one account is short about...

Covering shorts in volatility (straddles) and not futures. In this case they might be expecting a broader move away from 107, in which direction I couldn't tell you.