Bond rally nearing an end?

Riskarb,

Thanks for clarifying that June 107-109 combo vs. 107-10 in the futures. Was bored and looking over that position they are making a killing (to the tune of about a million), volatility got whacked on Friday with the uneventful number and those 107 puts may slowly lose their value and they are up huge on the futures. They got their grind below 107-00, now if we sit chopping until end of May they are in good shape correct?

Mike
 
Quote from mcurto:

Riskarb,

Thanks for clarifying that June 107-109 combo vs. 107-10 in the futures. Was bored and looking over that position they are making an absolute killing (to the tune of $15 million), volatility got whacked on Friday with the uneventful number and those 107 puts have lost half their value and they are up huge on the futures. They got their grind below 107-00, now if we sit chopping until end of May they are in good shape correct?

Mike
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They're slightly long at 107'00, short curvature which will produce a max-long 10k futures at 106'06 or so. Again, this is all in my head. They made money from futures, not from the options. What was made in puts was lost in calls, save for maybe 100k. A pin to 107'00 is best case.
 
Ya, my bad, was looking at April 107 puts settlement not the June. You are correct they have lost money on the options side but made up for it on the futures side.
 
gee, with nominal (not politically adjusted) y/y inflation running at 8% give or take,

a 4.75% ten year, what a deal.....unless you hold it for more than 30 minutes.....

give me back the good ole days of 50 tick intraday moves............
 
Quote from mcurto:

Ya, my bad, was looking at April 107 puts settlement not the June. You are correct they have lost money on the options side but made up for it on the futures side.
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Right, and why I mentioned earlier that the bull option collar was a poor addition to the short futures.
 
Quote from 3dog:

seasonals say a change to the upside is due, but it may take until the IRS competes its take in April
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Yes ... I guess that means we'll have to change the title of the thread.

Count me a cautious, big-dip buyer at this point.
 
Quote from 3dog:

seasonals say a change to the upside is due, but it may take until the IRS competes its take in April
More...

Interesting charts.

I'm looking for some more downside over the next couple of weeks, then a multi-week rally of about 3 points, should coincide with the seasonals.
 
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