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The market is crazy long right now. Not to mention add the mortgage guys in the options markets long 100,000 each of the Dec 109 and 110 calls (Wells Fargo) and 50,000+ Nov 108 calls (Countrywide) in the 10yr options. This is definitely a market extreme that is hard to fade, but if for some...

100,000 have traded between 00 and 02 today in the 10yr, options related hedging on the 100,000 sep 107 calls that expire today. Terrible range but if you increased size and sold around 02 could have done well today.

I run a bond squawk. Any questions PM me.

Mr. Gross at it again selling 10yr volatility. Here is the risky part . . . they are selling strangles, big surprise. Starting to sell the March 104-110 strangle in the 10yr options and only collecting 40 ticks of premium. That is setting the range nearly six months out, but they'll probably...

Just a warning PIMCO is beginning to leg their core strangle position in the 30yr (normally the 10yr). I have watched this time and again over the past four years as they sell calls on any major rally or break as sentiment seems to be reaching huge turning points. In other words, when PIMCO...

Not much activity in terms of futures curve plays. As for the mortgages guys hedging prepayments in the options they are long the Nov 107 calls in the 10yr along with the Dec 108 and Dec 110 calls (Countrywide in the Nov and all Wells Fargo in the Dec, must have different compositions in their...

Now the Fed instantly looks like a genius with a very soft PPI and somewhat tame CPI today. They aren't out of the woods yet, probably not on table for Sep, but maybe Oct. Goldman prop desk continued to sell 10yr volatility today and even ventured out the curve to the 30yr. They sold 10,000...

Nothing of note going on today until about 1:30pm. Then the big boys came out to play. A part of the Goldman prop group has been short front month straddles in TY for the past month or so, mostly Sep 106 straddles, about 20,000 or so. They bought back 10,000 of them today while selling 10,000...

Finally back from a two-week long vacation in the Northwoods of Wisconsin. Even the people up there are talking about high interest rates and oil prices. Anyway, I know the Greenwich Capital Markets guys always speak of positive seasonals for the whole bond complex every time we come out of a...

This big European hedge fund (Vega Asset Managment, we think) not only sold those 20,000 10yr straddles outright but also the Sep 104 straddle in the 5yr options outright 10,000 times. These guys put on a similar bet in 10yr vol a year or two ago and pinned the 112 strike three expirations in a...

Speaking of financial vol merrill lynch just sold 20,000 plus Sep 106 straddles in the 10yr options. That should probably answer your question. We are possibly hearing this is a hedge for long Swap vol but looking for someone linked to that community to confirm.

Scalping longs nice today but wouldn't get too comfortable in a position. The shorts can't quite throw in the towel with PCE on their side for next week. The Fed has raised forecasts on PCE for the rest of the year and remember it is already at "elevated" levels for them. Also maybe a chance...

CBOT IDEM lease is $85 per month but be aware that there is an application fee of about $1,500 as well.

Yesterday's move for the most part options related and I am sure a couple of you guys would like to hear that one or two of the bigger 5yr locals got a taste of their own medicine with this algorithm. Look at 5yr time and sales for electronic around 10:25am, yep, that is a 10,000 lot hitting...

Oh ya, don't forget $90 billion in upcoming Treasury supply by the end of the refunding.

I think front end shorts should not quite throw in the towel. Manufacturing data has yet to really soften. It is a given job growth is still solid but not running at a breakneck pace. Don't forget about the inflation bug that has started to bite. Despite what Bernanke tells the market...

More like massive short covering. Open interest in the 10yr was up by 115,000 yesterday after the PPI. Strong CPI today and everyone was satisfied with their shorts so they decided to cover. We will end up trading almost 1.5 million contracts today, will be interesting to see tomorrow's open...

Haha, good stuff daddyeaux. On a more serious note, EDF Man purchased over 30,000 August 104 puts in the 10yr options (expiring Friday) after the PPI number for 2 and 3 ticks and throughout the rest of the day. Obviously either a massive dealer hedge or hedge fund spec play and they will try...

I think this geopolitical stuff is definitely screwing with the yield curve. Too bad it is all CNBC focuses on all fricking day and the stock market seems to think it is important as well. I think this will blow over in a few weeks, but it is trumping market fundamentals as we speak. In any...

Yes, mainly the 10yr but more of a position scalper. I will trade small scalps if I don't have a great feel for the overall direction or if we are in no man's land in terms of levels. More often than not though I look for a general position to trade around which means some days price action is...