I've been following option OI for the Tsy. market the last couple weeks and I've noticed a couple interesting things but am not really sure how to interpret them. First of all there were large OI positions friday-Jan 24 for 5's, 10,'s and 30's. on option expiration day. It seemed that the writers of those options had control because all three traded into or close to the exercise price mid-day but never held. In fact they rose up to those levels on solid volume (at least to my observation - 10 year several thousand per min.) held close to the exercise price and then technically broke down. Break down was just before 12 EST. Since that time it seems that small spec.'s are going long in futures and there are large OI increases in the puts. Especially in the 10 & 5's. Take for example the 40000 increase at 10950 yesterday. Much of the incease seems to be in the Mar time period and there is a small decrease in call OI My limited experience seems to suggest that these OI increases in puts are likely to be smart $ and a bias to higher interest rates is building. Yet if I think back to two Fri.'s ago I remember that the option writers won. Anyone have any observations? Is there a conclusion that is drawable or am I muddling around in things that are of little consequence? ( For myself, I just currently position trade Tsy. futures closing out positions each day.) I admit I'm not real clear on the needs of the interest rate hedgers in the marketplace. I ordered the info. available from the CBOT but they never sent it. This situation makes me want to attempt to re-order it. Enclosed is a file with volume & OI.
Fixed Income Trading Strategies (by EUREX) - Includes Hedging Strategies - www.eurexchange.com/entrancehall/download/fixed_income.pdf (PDF file, 572KB)
Thanks FX, If anyone else is interested here's another link to download the file: http://www.eurexchange.com/index2.html?eh&6&2&entrancehall/publications_brochures_en.html