All your comments were right on the money! <img src="http://mjbell8.files.wordpress.com/2009/10/a_tip_of_the_hat_by_jollyjack.jpg" />
What a fun day.... I lit up the (institutional screen) right after the the purchase breakdown came out with a very small size 5s30s steepener (so, I basically put out a request for quote for buying 5y bonds vs weighted amt of sell in the 30y bond)... only 3 out of the five biggest dealers even bothered to send a quote back and they were as wide apart as possible.... (usually, for small sizes dealers auto-quote and come within a hair of each other) From what I understand, fast$ (hedge funds, etc), hit the bid on bonds fast and furious once they realized that the Fed ultimately didn't give a rats' a*s about the long end.
another one bites the dust.. well not quite, I can't say I escaped unscathed but it could have been worse I suppose, plenty of movement both directions in Bunds etc NFP tomorrow so I guess another big swing is not out of the question Those OTM put options really are cheap, so maybe worth picking a few up Well done everyone who was long 5y30y steepener!
West coast is short about 150k of the wings, they pretty much dominate these strikes. It also worth noting that they are not selling gamma across the curve, but rather in TY only since it has proven to be the most volatile yet one with the the most AC.