Bond rally nearing an end?

Well you got your 107!
Great call.
What is the next stop, 106 '06 or not.

At some point this trade has to be done "unwinding"?
It just seems like this past 2 weeks selloff never subsides.

el surdo
 
You would think they would be close to done but in the dealer commentary I have read they are still speaking of unwind flows for 10yr vs. bund (based on important targets that I am sure all dealers were looking at). Supply seems to be an added pressure on Treasuries at these levels with the market less willing to catch the falling knife with heavy supply at this time of the year. There are some big players in 10yr options beginning to take off short vol positions in Sep options (vega vol plays not gamma plays) and this is probably a result of spread widening on a down move in Treasuries (which usually doesn't happen). For whatever reason mortgage customers are rolling a lot of their loans into fixed-rate from ARM's and this is putting pressure on Treasuries/spread product as they go to hedge those fixed rates by selling. Origination has been heavy for at least two or three weeks so it finally began to push the rate market higher. Who knows, we could see 106 teen's, not really sure where support will ultimately come in for the long end.
 
In the treasury futures, I know that tomorrow is first notice day so I don't want to be long June after today or else I risk taking delivery....isn't that correct?

Also, if I'm short June overnight for the next few days...do I have anying to worry about? Only the longs risk any delivery issues, yes? no?

Thanks.
 
10yr options will begin trading in half strikes starting June 25th in both open outcry and electronic trade. This is obviously at the request of Countrywide as over the past month or two they did quite a bit of half strike options but as flex because they weren't available in the standard market.
 
the fed needs to say something accommodative at the end of the month. Otherwise yields will nudge up more. then the recession or slowdown will be evident, since discretionary spending from higher ARM's payments will be reduced.

but the batch of data isn't letting them. Unless the next series of data is fudged to favor an easing scenario. Then the bond boys can swing it back into the range they have been use to past few months.
 
the BLS has created out of thin statistical air, 766,000 jobs resulting from the business birth/death model during the last 4 months...............

no clue given if the jobs actually exist or a method to discover the truth......

sounds like job growth has turned negative nominally............
 
Forgot to post this but the Goldman desk on the floor bought about 100,000 Sep 10yr 102 puts one day before the last unemployment. Bought them for 2 to 3 ticks. Coincidentally they also removed their rate cut forecast in the week or so since. Who knows if it was the in-house bond desk or a huge fund but either way nice timing on those. Volatility will really go bid here if the market continues lower and mortgage origination remains heavy.
 
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