Bond rally nearing an end?

Not sure what your question is but many of the large hedge funds are long at this point in the 10yr futures (about 300,000 contracts plus). So if CPI spikes higher on Friday the Treasuries will be under immense pressure. If long these puts these guys won't have to sell their futures because they will have protection over 1 full point lower in the 10yr.
 
I was just reading over at briefing that all the big players are really short volatility in the futures options market on the ten year. How likely is it that this is an outright position? Are they off-setting this risk with a position in exotics? Perhaps it is a hedge for a dispersion trade in the cash or eurodollar market. Or is it that everyone believes Bill Gross can pull his "cheapest to deliver" stunt again and keep the market where he wants it?
 
Quote from zf trader:

I was just reading over at briefing that all the big players are really short volatility in the futures options market on the ten year. How likely is it that this is an outright position? Are they off-setting this risk with a position in exotics? Perhaps it is a hedge for a dispersion trade in the cash or eurodollar market. Or is it that everyone believes Bill Gross can pull his "cheapest to deliver" stunt again and keep the market where he wants it?
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Last time I remem he shook up the market for a couple days but within a couple months they were back below where they started...
 
In terms of volatility positions the Goldman prop desk has been short Treasury vol for who knows how long, but yes there is most likely an offseting position. My guess is they are long swaption vol against the Treasury vol position. As far as what I have seen the past few days Goldman has somewhat covered their short 107 straddle position in the 10yr (buying back mostly Dec straddles, while remaining short a bunch of Nov, probably close to 20,000+). Greenwich has absolutely sold the crap out of the Dec 105, 106, and now today the 104 puts both covered and outright (so some synthetic straddles), about 20,000 each strike, and just relentless every time we downtick. There are definitely large short vol plays not only at the money but also out of the money on the downside in the 10yr options.
 
Hi everybody.

Does some one has 30 year yelds data for metastock from 1st January 2006 until now? Thanks.

Mcurto, if big players are covering their shorts so we should expect the ZN to go up even if thursday and friday data comes above expectations?

In the monthly chart, it appears that ZB and ZN are in the beginning of a strong uptrend, so maybe we should expect a continuation of the trend.

Bye guys. Excelent thread you got are!! And excelent forum too.
 
Covering shorts in volatility (straddles) and not futures. In this case they might be expecting a broader move away from 107, in which direction I couldn't tell you.
 
Quote from mcurto:

Not sure what your question is but many of the large hedge funds are long at this point in the 10yr futures (about 300,000 contracts plus). So if CPI spikes higher on Friday the Treasuries will be under immense pressure. If long these puts these guys won't have to sell their futures because they will have protection over 1 full point lower in the 10yr.
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I think I grasped the idea... thank you!
 
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