PIMCO Last Seen Selling 200K TYZ0 Strangles, "Crushing" 10 Year Vol, Despite Gross' Teaparty Pamphlet
It seems like it was yesterday that Bill Gross was bemoaning the sad American state of a QE2 driven affairs. Oh wait, it was. Yet less than 24 hours later, courtesy of some dealer insight into the market we realize that it is precisely this same Bill Gross who is aggressively anticipating to profit specifically from the launch of QE2 in less than a week. To wit:
In the U.S., PIMCO still crushing the 10yr Volatility selling your amount of strangles, they are now short about 200K TYZ0 strangles, various strikes including and inbetween 124P and 129C.....
Good of Bill to hand out indulgences with one hand, and to wave bonds in (sell vol) with the other.
Elsewhere, we find that other banks, pardon, Primary Dealers, are also positioning for incremental buying of $1-2 trillion of bonds over the next 12 months by Ben:
as we finish-up, seeing JPM buying the TYZ0 127/128/128.5/129.5 Call Condor for 11 ticks...
In other words, Fed frontrunning continues to be the name of the game.