No way, I wouldn't be buying volatility yet unless I could pay for the straddle decay by scalping gamma, and on a day like today it would have...
Tomorrow
During non-rollover periods the ten years most days will trade about 600,000 to 800,000 contracts, 30yr will trade between 300,000 and 400,000...
I think the ultimate value for the CBOT stock lies in the movement of the long end of the yield curve. We all know the volumes that Eurodollars...
The steepeners have been getting killed for years, that is why almost everyone has had flatteners on and will continue to do so as foreign central...
That is also a possiblity. But it seems a little too risky to offer that much size if you are short, unless they are that crazy and possibly...
Here is my opinion of what happened. A large local was probably long thousands (maybe 5000, who knows) contracts and decided to offer some size...
I can assure you this, it was not a bank or buy-side trader, it was a very large local messing around. Only a handful of traders use techniques...
It was offered about 30,000 plus off the market, below 1.1900, then all of a sudden that was pulled, went bid size from there to 1.1925 or so,...
I know there are pit traders that use the screen (mostly spreaders) who call their clearing firms after they have made the trade on the screen and...
The mortgage guys continue to buy calls as we dip. As of late though Countrywide is pretty much set in their position. They are long about...
If you want to watch spreads in the Treasuries I would watch the cash spreads. The 10-30yr cash spread closed today at about +7 basis points,...
Definitely some very large hedge funds that put bet on that 10Y/30Y curve would steepen and its flattening massively. They are getting screwed on...
The 30yr cash roll into the new issue is -11.5 basis points, so obviously huge demand there, hence the solid rally in 30's and nothing going on in...
Fundamentally, they will continue to flatten the curve after the refunding and other supply next week if the Fed is expected to go at the next...
Yes, they have a LONG bias, but they are trying to get the 10yr and 30yr issues to cheapen up before the auction. Wouldn't you want to get in at...
Steve, you are not alone in buying 30yr puts, you have the Japanese on your side. A large Asian account (believed to be for Nomura) purchased...
Their strangle is in the 10yr options because that is where the best liquidity is found. Right now the 10yr yield is around 4.50%, rising about...
Yep, noticed that one and personal consumption also much better than expected. Inflation is there but not yet showing up in major market movers...
The 106 to 107 handle seems pretty big on the downside, which is where PIMCO has been setting up the put side of their strangles. They still...
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