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The old 5yr was a half tick wide market most of the time about 3000 bid and 3000 offered. Now the 5yr is really a 1 full tick market 20,000 bid and offered with the half tick in between basically a choice market, meaning one can usually buy or sell 1000 or so, maybe 2000, at that level, without...

Quarterly expiration isn't until late August, so doubtful that is playing any role in this move higher. I think a lot of it is mortgage buying, this volatility kills those guys and they have to become active. Contract lows last week and now levels on the upside we haven't seen for weeks, they...

No volume the past two days so wouldn't read too much into the bid. The belly of the curve just caught up to the wings today, so that tells you real money just started to become active, but again nothing huge. Maybe just a short-lived squeeze. Mortgage hedgers rolling 105 calls into the 106...

A lot of guys expecting soft (why else would they raise forecasts, have to trap everyone) and a steepening of the curve, thus if the number is better than expected the curve will flatten as it definitely puts the Fed on table for August. On the other hand, a large amount of FHLB paper was being...

Definitely not delayed a week. What is on the website now is yesterday's action. I would say increase is new shorts on the solid ADP number yesterday and probably some steepeners vs. 30yr added to the picture. 15,000 is small increase, nothing to worry about.

Ya, PIMCO could be doing some 2yr vs. 10yr steepeners for some of their futures accounts, while they have 5yr vs. 30yr steepeners in other futures accounts. Who knows, they are so enormous its tough to get an exact account of their position unless you are a shareholder or take the time to look...

In years past the guy did very well when the market would trend for days and weeks on end. It is not that he doesn't do well, but he just leaves a ton of money on the table. Who knows if he doesn't have on something else against this, but I am pretty sure most of his plays are outright long or...

Funny you ask, the guy who is long them quoted them today and I believe with futures below 106-20 they were 38 bid at 40. This fund does this every single time, they never get out at a profit, at one point he was at a 20 tick winner on these puts with futures obviously more than 1 point lower...

That level in the 30yr is seen as minor support heading into the FOMC. Caution that dealers are starting to see the 2yr as somewhat cheap even ahead of the auction tomorrow, so seem to be leaning toward steepening trades, which does not benefit holding a long position in the long end of the...

August 105 calls traded a boatload on the screen today, about 40,000 lots total when everything was said and done. I talked to a local from a fairly good-sized screen MM group and he said the paper was both ways. I'd assume some of that was Wells Fargo convexity hedging (buying) as we...

Yep, the Merrill piece was out last night.

More HUGE bearish options positions today and some monster orders hitting the bid. Has been several 10yr 1x2 Put spreads 10,000 lots plus. Watch out below still, thin air at these levels.

I wouldn't necessarily commit to longs yet either. The 10yr has been hammered with size right near key support levels, 5.15-5.20% in cash and right around 104-20 in futures. A little more than 500,000 contracts traded today, on a nothing day, in a 4 tick range, that is saying something. The...

Its not that daytrading the basis isn't profitable, in fact, there are some guys that are extremely profitable in Chicago that NEVER carry positions overnight. PM me with the firm you are thinking about joining, some are awesome, others aren't worth it.

The basis has become a pretty crowded trade the past few years. I heard Gelber, who has a fairly large basis group, has laid off several traders over the past year or so. That being said, you can still make very good money in the basis, it just takes fewer traders at a prop group to do so...

In the 10yr we saw some size selling into the lows yesterday, starting around 104-24 to 22, a couple 5000 lots sold at the market, didn't even work the orders. A lot of the big put positions are being unwound and mortgages are beginning to roll their August 106 and 107 calls into the Sep 106...

Huge steepener put on early last week in the TUT, about 20,000 stuff, when the curve was around 0 basis points, might have been the weak before. CMBS calendar looks pretty heavy going forward as well. 2yr is pretty much fair value right here. I am pretty sure there were some size steepeners...

I think maybe a couple basis points or so were priced into the 2yr cash ahead of CPI this morning. Greenwich Capital Markets has been saying all along the 2yr trading through Fed Funds in this cycle is way too expensive. They are looking for this thing to trade a bit higher yet toward 5.15%...

This is not the first time PIMCO has sold vol, in fact, positions of this magnitude are about normal for them (they were short about 150,000 March 107-111 strangles this year). What is worrying to me are the vol levels and the fact their core curve position is a steepener and generally vol...

BlueHoreshoe, For the 2/5/30 yr fly you are essentially looking at it as two separate yield curve trades. The 2/5 or TUF spread weighting is normally 100:90 and the 5/30 or FOB spread weighting is almost always 250:100. Thus, if you are looking to do this spread the optimum ratio would be...