The old 5yr was a half tick wide market most of the time about 3000 bid and 3000 offered. Now the 5yr is really a 1 full tick market 20,000 bid...
Quarterly expiration isn't until late August, so doubtful that is playing any role in this move higher. I think a lot of it is mortgage buying,...
No volume the past two days so wouldn't read too much into the bid. The belly of the curve just caught up to the wings today, so that tells you...
A lot of guys expecting soft (why else would they raise forecasts, have to trap everyone) and a steepening of the curve, thus if the number is...
Definitely not delayed a week. What is on the website now is yesterday's action. I would say increase is new shorts on the solid ADP number...
Ya, PIMCO could be doing some 2yr vs. 10yr steepeners for some of their futures accounts, while they have 5yr vs. 30yr steepeners in other futures...
In years past the guy did very well when the market would trend for days and weeks on end. It is not that he doesn't do well, but he just leaves...
Funny you ask, the guy who is long them quoted them today and I believe with futures below 106-20 they were 38 bid at 40. This fund does this...
That level in the 30yr is seen as minor support heading into the FOMC. Caution that dealers are starting to see the 2yr as somewhat cheap even...
August 105 calls traded a boatload on the screen today, about 40,000 lots total when everything was said and done. I talked to a local from a...
Yep, the Merrill piece was out last night.
More HUGE bearish options positions today and some monster orders hitting the bid. Has been several 10yr 1x2 Put spreads 10,000 lots plus. Watch...
I wouldn't necessarily commit to longs yet either. The 10yr has been hammered with size right near key support levels, 5.15-5.20% in cash and...
Its not that daytrading the basis isn't profitable, in fact, there are some guys that are extremely profitable in Chicago that NEVER carry...
The basis has become a pretty crowded trade the past few years. I heard Gelber, who has a fairly large basis group, has laid off several traders...
In the 10yr we saw some size selling into the lows yesterday, starting around 104-24 to 22, a couple 5000 lots sold at the market, didn't even...
Huge steepener put on early last week in the TUT, about 20,000 stuff, when the curve was around 0 basis points, might have been the weak before....
I think maybe a couple basis points or so were priced into the 2yr cash ahead of CPI this morning. Greenwich Capital Markets has been saying all...
This is not the first time PIMCO has sold vol, in fact, positions of this magnitude are about normal for them (they were short about 150,000 March...
BlueHoreshoe, For the 2/5/30 yr fly you are essentially looking at it as two separate yield curve trades. The 2/5 or TUF spread weighting is...
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