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 continued to roll into the Sep 106 calls today, about 25,000 between the two.
As for the 5yr, funny you guys ask, one of the guys behind my booth fills for probably some of the biggest 5yr futures customers out there. His customers did not want the switch to algorithm. In fact, the CBOT did a customer survey and it was essentially 50/50 for yes/no. Unfortunately, part of that 50% is one of your bigger 2yr and 5yr locals (part of a spread group, starting with a T, can probably guess). Today the guy behind me was working 500 at 13 in the 2yr, it was 12.75 bid for 26,000. Of course the 26,000 that were bid don't cause the 13's to trade, and then when the 12.75 traded about 500 times 20,000 pulled off the bid. It is one guy with a lot of influence and seat ownership, so it will be tough to get them to switch back. The CBOT employee literally had no argument for why algorith is better, they now created a full tick wide monster that is 20,000 up. That bulletin is BS, none of the banks wanted this to go through.
