Treasuries futures

O

Orca

Good morning,

My name is Orca, from Holland, active in deltahedging. At our forum here in Holland we have a discussion about the PIMCO/treasury-futures situation currently much talked about, and we can't find good information on this potentially marketmoving news anywhere. Can one of you please help me with the following:
1. What is the magnifier on those futs?
2. What is the settlement date, 3rd Friday of September?
3. Does anyone of you have further information on this story?
Thanks a lot!
 
1 and 2: www.cbot.com
3: I have no hard news beyond what's in the public domain, but I do have a comment:

I wish people would stop moaning about this. If you have to deliver against the future and can't get the CTD, get the NCTD and pay more. Tough - the rules of the game were clear from the outset.
 
Thank you. I agree 100% on 3, but I simply do not understand how shortparties will be able to cover without enormous losses and significant marketmoving consequences. If this is a $14 billion futs-squeeze, covering that hole will cost a whopping lot, and rolling over will only keep speculation rife as to when this will resolve itself.
 
Quote from Orca:

I simply do not understand how shortparties will be able to cover without enormous losses and significant marketmoving consequences.
More...
Why on earth should they be *able* to cover without losses? Look at it this way:

The future is a future on a certain class of bonds - more than one at a time. For obvious reasons people want to deliver the CTD against it, not one of the others. Then they get sloppy, and assume that there'll always be enough of the CTD to go around, and model the future as a future on the CTD only.

That assumption just bit them in the *ss, and some people will lose money as a result. Nothing wrong with that. Defective models lead to bad decisions.
 
Can anyone tell me why the 10 yr note Dec options at 108 (ZN Dec 108c) is currently 1/64Bid 2 offer 1x1. They expire Tuesday I think and since it is close to ATM, you'd think the mkt would be tighter? Thanks
 
Quote from qazwsxedc:

Why on earth should they be *able* to cover without losses? Look at it this way:

The future is a future on a certain class of bonds - more than one at a time. For obvious reasons people want to deliver the CTD against it, not one of the others. Then they get sloppy, and assume that there'll always be enough of the CTD to go around, and model the future as a future on the CTD only.

That assumption just bit them in the *ss, and some people will lose money as a result. Nothing wrong with that. Defective models lead to bad decisions.
More...

Exactly. A short in a deliverable futures contract who doesn't own product always has the onus on him. Doesn't matter if it's Ten's or Bellies.
 
Quote from GATrader:

Can anyone tell me why the 10 yr note Dec options at 108 (ZN Dec 108c) is currently 1/64Bid 2 offer 1x1. They expire Tuesday I think and since it is close to ATM, you'd think the mkt would be tighter? Thanks
More...

Where are you getting that quote? They're trading 1/64 over intrinsic meaning they're worth over a full point (i.e. 74/64)
 
My Ib bid/offer says 1/64 offer at 2 size is 1x1. I guess either they are considered deep OTM so there are no quotes or my TWS is messed up. For example I own 2 dec 107C and right now there are no quotes on it. Last settle 1 53/64. They exp in 4 days right?
 
I understand the specs ...somewhat ?

So a Dec 108C with Dec ZN at 109 should at least be 1 2/64 bid since the put is at least 2/64 with 3 days to go. Either I am mising something big like autoexercise/deliver notices or simply that no one wants to make a market on an ITM call with 4 days to go.
 
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