We are about at the ISM release prices, maybe the bonds needs a further upleg on stock to liquidate more positions or... some bad stocks news are still on the arsenal of someone strategist waiting to go long again...
Awesome; I was watching the EUR/USD at same time; and there is no bids until 1.4367 for couple of ticks. anyway; Taking some shorts on these ZF/ZN right after they had pop up works for me.
Countrywide dumped 30,000 March calls in the 10yr options right on the pit open explaining your move before the number. They obviously had it and wanted to save a few ticks on the liquidation of their "hedge". HAHA.
there is one upside spike left. Prudent to wait for it to short it if you wish, but then again 10 year can approach 4%.
Interesting take on why 10y might not approach 4% "Subprime Contagion May Claim 10-Year Treasuries as Next Victim" http://www.bloomberg.com/apps/news?pid=20601087&sid=agC9y13IzHt0&refer=home
Hey mcurto- I saw where swap spreads blew out today across the curve with treasuries actually selling off. Wow! I don't remember a day like this in some time. It is not my area of expertise, but I saw where CPR speeds have plummeted. This would mess up convexity analysis, so I am not sure how the originators will hedge their book. Any thoughts on the implications for treasury vols? swap vols?