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As if PIMCO hasn't sold enough strangles they added another 20,000 to the total today at 17 ticks. Really the only traders doing anything meaningful today, light volume pop early, then nothing rest of the day besides that strangle around Noon. Wouldn't read too much into today's action.

Most prop desks will use multiple execution desks at the CBOT to try to hide what they are doing. For instance, one of the large Goldman prop traders often uses the Goldman desk to execute futures and yield curve spreads while going through an independent broker at Fimat for most options...

CP, I have heard this short Treasury vol trade may be against long swaption vol. Remember though, PIMCO also buys massive amounts of cash Treasuries, so they are basically supplementing the interest income on those by selling calls into rallies and selling puts into breaks (legging the same...

PIMCO had an okay day today, selling the little uptick in vol, adding 45,000 more short Sep 103-108 strangles in the 10yr options. Nice when you have deep pockets. They are now short at least 100,000 of these strangles, maybe close to 150,000. Someone also buying 22,500 TUT spreads, 23 to...

Short 2yr vs. Long 10yr or Short 2yr vs. Long 30yr if you want to take advantage of the flight to quality you are speaking about.

If you want to play the curve inversion I would be short the 2yr vs. long the 5yr or long the 10yr (not the 30yr). The current trade a few dealers have on is the 2/5/30yr fly, short the wings and long the body. Reason being is they expect the belly to outperform on the upside as it was the...

Best way to profit would be to short the 2yr note futures, Fed funds, or Eurodollars. I wouldn't necessarily short the long end outright, the curve should flatten if the Fed is on the table for June, so you will get better bang for your buck being short the front end of the curve. The reason...

Option locals bought the puts, initially quoted vs. 01.5 bid at 02, with the hedges being filled up to 10. Was a fun one to watch.

Long end still within the 5.00% and 5.15% range in the 10yr, thus still warrants playing 10yr as a range trade. Has worked this week. If data isn't soft next week back to 5.15%.

The rally about two minutes before the number was Bear Stearns puking up his long Sep 104 puts in the 10yr from earlier in the week. He sold close to 13,000 between the pit and the screen about 2 minutes before the number and another 7,000 or so after. Funny, he sold the puts at 29 on the...

Uncertainty does not bode well for the long end, continued widening of swap spreads today vs. UST's. At widest levels since late 2005. But the 2-10's cash spread did break past that +10 bps level, next target from one of the dealers is +4 bps or so.

The BRAT team is the Bond Rollover Action Team. Basically CBOT locals that only trade during the rollover and generally accumulate short positions ahead of the long position rollover. This works when the market has on flatteners, as they will be net sellers of the long end spreads, buyers of...

I love the rollover, nothing like seeing only the brokers make money both in the pit and on the screen when they get both sides of a 5,000 lot, or better yet, when you just filled 50,000 spreads on one side like the EDF Man house broker did today in the 10yr. The rollover spread trade...

Any type of Treasury options questions you have in terms of who is doing what and what type of position they have on, let me know. As for the greeks of the positions and P/L possibilities, Riskarb may be better able to answer those questions.

10yr trader, The Sep 104 puts that traded electronically today around 10am to 11am were Bear Stearns rolling a July 105 put position. I always thought this customer was a mortgage account, but now I think it is a European hedge fund. Either way, they churn a ton of commissions and are more...

2cents, US markets are about as fair and transparent as you can get. Almost all of the volume is done in the open market unlike Eurex. The most unfair and least transparent markets in the world are probably the Schatz, Bobl, and Bund options, where about 90% of the market is call around...

Most institutions have been heavy sellers of the June 106 calls the whole week in the pit and on the screen, especially as they were bid above 10 ticks earlier in the week. There is only a slight difference in the amount of puts and calls at the 106 strike (about 16,000) so it is probably not...

Ok, so looks like Hehmeyer is saying either everyone has it or noone at all. In terms of the 10yr, I wasn't talking about Bill Gross as being 20% of the daily volume, it is actually a Chicago local who clears GHCO who is 20% of daily volume. To tell you guys the truth, if you are a small...

2cents, I don't understand, are you quoting Chris Hehmeyer on the first paragraphs before you cite the WSJ article or are most of those paragraphs your opinion? From what I have heard GHCO and some very large traders that clear them are already using this technology, just looking for the OK...

The strangles used by PIMCO are separate from their curve steepening play in the futures. Strangles are done in the options market, essentially picking two strikes to sell around the current strike. For instance, PIMCO is selling the Sep 103-108 strangle in the 10yr right now, selling both the...