Maybe some accounts have been trashed.,...I never saw such an empty DOM on ZN or ZB apart during news releases...
Definitely, the book is very thin. I would attribute this to all of the Chicago curve trading groups lightening up on the Autospreader programs. I know a few that got crushed as the curve massively steepened these past few weeks. Might be a few other big locals that are backing off a bit at these levels as we haven't been here for quite some time so no reason to show too much size and get run over either way. At least this stuff is tradeable now.
Oh, and those puts are now worth 12 ticks. JP Morgan sold at least 5,000 of them today around 10 ticks. If open interest is lower that means they are starting to get out of them. Not bad, quadrupling your money 100,000 times adds up quite a bit, at least it did last time I checked.
btw, i cant see the Fed. standing by and watching the bond market implode...... surely, they'll print enough cash to soak up supply.... no wonder M3 data is no longer availble (officially)
hey mcurto- After Monday's rather pathetic volume, it does not seem that the spec accounts are very active on the short side (not much covering going on). Any ideas where the next support level lies if 5.25 is broken decisively? With the Asian CBs on the sidelines, market needs shorts to buy at cheaper levels.
If you would have read that GS has bought 102 10 yr puts, I would suggest that 102 is quite decent level to cover, or ? Aren´t you happy with 5.21 ?
Given the amount of leverage that Goldman et al. have on, 100k put position is like plugging Hoover Dam with a piece of cork. It could run much quicker than expected.
Still not covering the put position. I have a strange feeling it could have been Countrywide or even PIMCO protecting some long mortgage position (rather than in-house Goldman) but again who knows. All that matters is the mortgage markets have ZERO sponsorship right now and this is just exaggerating the massive move lower in Treasuries. With the spread product widening everyone looks to sell something against so Treasuries and/or swaps are the two most liquid options at this point in time. When you push one domino, in this case 5% in the 10yr cash, the rest of the dominos fall hard and fast. In terms of flows I have heard the mortgage-related selling is starting to slow but there is probably a point where it gets triggered again.