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Bond rally nearing an end?
- Thread starter gharghur2
- Start date
Somebody is dumping size or hedging size ahead of tomorrow's 2yr note auction. After Monday's trade the 2yr futures lost 20,000 in open interest on the small uptick. During today's trade someone tried to sell 20,000 at 101-25, they got the first 10,000, then sat offered for 15 minutes and finally got the second 10,000. Should be interesting for the auction tomorrow.
I'm looking for 5.25% on the 10yr. Maybe not in February, but pretty soon.Quote from dhpar:
that may be your feeling. By the way the support is at 4.84...if we go through that and survive post-fed euforia around emplyment report then the rates are going even higher in February [fivish]
Goldman prop still adding short 10yr vol at the Feb 107 strike which expires on Friday. They are selling Feb 107 puts covered against futures from 106-29.5 to 106-28 the last two days and when we trade above 107-00 they sell the Feb 107 straddles vs. futures at 107-04 to 06 mostly. I think their net short is around 35,000 at this strike in Feb give or take a bit. Doesn't really seem like much is going to give at the bottom of this recent range but have heard the Japanese have been selling short end cash . . . . .
Time to call it a week and hit the links...
Quote from mcurto:
Goldman prop still adding short 10yr vol at the Feb 107 strike which expires on Friday. They are selling Feb 107 puts covered against futures from 106-29.5 to 106-28 the last two days and when we trade above 107-00 they sell the Feb 107 straddles vs. futures at 107-04 to 06 mostly. I think their net short is around 35,000 at this strike in Feb give or take a bit. Doesn't really seem like much is going to give at the bottom of this recent range but have heard the Japanese have been selling short end cash . . . . .
Quote from mcurto:
Goldman prop still adding short 10yr vol at the Feb 107 strike which expires on Friday. They are selling Feb 107 puts covered against futures from 106-29.5 to 106-28 the last two days and when we trade above 107-00 they sell the Feb 107 straddles vs. futures at 107-04 to 06 mostly. I think their net short is around 35,000 at this strike in Feb give or take a bit. Doesn't really seem like much is going to give at the bottom of this recent range but have heard the Japanese have been selling short end cash . . . . .
I would think that the large short gamma would be very painful today. Seems difficult to hedge.
Surprisingly 107 volatility was only bid by about .10% in Feb so they really didn't get hit too hard today. I think they sold however many futures up around 29 to 27.5 to hedge out that gamma (but probably didn't plan on a move this huge today). They sold about 50,000 March 106 puts vs. futures today around a 3.90% vol, which should be a new position (will have to take a look at open interest tomorrow).