Everyone and their mother still short vol in April, May, and June, probably won't change on that front anytime soon. At this point data is solid,...
Hold long end shorts, good trade in terms of risk/reward with the curve in 2-10's looking to breakout above the +6 basis point level. A near 20...
I'll try not to mess this up, but with the repo squeeze in the two-year note, which has been on special since about mid last week, the two-year...
Ya, my bad, was looking at April 107 puts settlement not the June. You are correct they have lost money on the options side but made up for it on...
Riskarb, Thanks for clarifying that June 107-109 combo vs. 107-10 in the futures. Was bored and looking over that position they are making a...
Zero talk of the port deals and implications in the Treasury markets. Most talk these days is curve steepening and spread widening (swaps,...
Speaking of fading the steepener Smith Barney did so as we broke today selling 15,000 TUT spreads (selling twos vs. buying tens at a 1.52 weight)....
Ya, anytime I mention mortgage stuff its always hedging side, Bank One hedging convexity risk for Countrywide by buying calls and Bear Stearns...
Mortgage guys shedding long puts from last Friday, they sold about 40,000 between May 107 and April 106 puts yesterday. Japanese still long their...
Yes, this low volatility is out of control, but nothing short of a disaster or structural change in long end interest rates is going to change it....
The same guys sold 5,000 a piece of the April, May, and June 107 straddles today, they were marking up some previous shorts as they offered this...
Riskarb, Thank you, so if we sit here and maybe trade back up to 107-20 or so and chop around there for awhile then back to 107-10 they are...
This trade is delta neutral. I'm not sure I follow what you are talking about, way too technical, can you put it in layman's terms. My...
Who ever said bonds were boring? Haha, actually they are, until days like today.
As if it wasn't enough the Japanese buying huge size in the 30yr puts as we broke, we began to stabilize off the lows, as we traded to 107-09 this...
Japanese are in buying puts in 30yr though, usually precedes a pretty big move. Has bought 10,000 May 109 puts and 5,000 April 110 puts. He is...
To give an idea of how nothing is priced into interest rate volatility look at April options, which still have a little less than a month to...
A bank or hedge fund was actually unwinding cash flatteners in 10/30's, on the order of 4 billion by 2 billion, so the futures play was obviously...
Tough to call an end to the flattener, Smith Barney has sold 17,000 x 10,000 in the NOB (selling tens to buy thirties). Massive steepening this...
If you really want to buy volatility, or play the fact that long-end risk premiums (i.e. 30yr) are incredibly cheap than maybe sell the five year...
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