Treasuries have had a quiet night, confined to a 3.5 bps range for the session thus far, chopping around unchanged while eminis are trading slightly better for most of the session but also within a confined range. Today’s only economic release in the US is Markit PMIs at 9:45 AM ET, with the Fed in the middle of the blackout period. Treasuries caught a small bid led by the long end on Mnuchin comments in Davos just after 7 AM ET that Ultra Long issuance is no longer in Treasury’s “near-term plan.” Traders are already beginning to focus on the very large amount of official US supply next week, so we’ll see if we can build in some concession for that, as market has done nothing but rally since the press conference on supply. As of 8 AM ET, Treasuries are flat on the session while the rest of the curve is .5-1.0 bps higher in yield in a uniform flattening, while US equity index futures are marginally higher ahead of the cash open (it seems like they are ALWAYS marginally higher, no?).
For whatever it may be worth, below are the open interest levels as of this morning in the serial February options expiry today.
US
CALLS STRIKE PUTS
4,000 158.50 4000
10,000 159.00 9000
5,000 159.50 2000***
10,000 160.00 2000
4,000 160.50 16
TY
CALLS STRIKE PUTS
120,000 129.00 96,000
28,000 129.25 42,000
72,000 129.50 48,000
19,000 129.75 10,000***
86,000 130.00 12,000
26,000 130.25 200
97,000 130.50 3,000
FV
CALLS STRIKE PUTS
37,000 118.75 21,000
61,000 119.00 24,000
52,000 119.25 5000***
53,000 119.50 1800
30,000 119.75 600
***denotes at the money as of 7:30 AM ET today
Sorry, the distraction of being out all week with the flu leaves us a couple days late to be highlighting this, as we made a move to 130-00 (130-01 high) in TYH and 129.25 (119-12.25 high) in FVH yesterday, likely largely having done the “squeeze” trade. Interesting that we are standing smack between two important strikes here at 129-24 in TYH, so let’s see if we get drawn to 129-16 or 130-00. That would be my guess, but since I haven’t been here all week, I will just remain as clueless as I was the first two weeks of this lovely year…
Enough for now. Have a great weekend,
mjc