Treasury Market Commentary
Some intraday Treasury market commentary from Market News. Everyone's word of the day is steepeners (except for Rosie, who loves the flattener. As usual he is on to something, although the "don't bet against the Fed" mantra should be amended to "don't bet against optimistic groupthink"). Don't fall for the call stupids.
Flow bias revolved around better upside interest for another session Tuesday, accounts looking to hedge for grind-up in the underlying with the opinion the Fed will be on hold at least to middle of this year.
Better call interest included a scale buyer of some 15,000 June 99-50 calls after the same account bought some 40,000 June 99-62.5 calls at 3.25 to 3.75 last week, locals bought 10,000 September 99-12.5/99-50 call spreads on a 1x2 basis for a net of 10.5 while a London fund bought 7,000 June/September 99-62.5 call stupids, paying 9.0 to buy both calls.
Later in the session, a New York shop bought 10,000 short March 98-50/98-62.5/98-75 call trees at 1.0 while a New York based French shop bought 10,000 short January 98-37.5/98-50/98-62.5 call flys at 2.5.
Curve plays had a New York dealer buying the March 99-25/99-50 call spreads over the short March 97-75/98-00 call spread, paying 4.5 for the conditional front end curve steepener.
Of note, deferred 1-year spread received some play on the session with screen volume in the September '10/'11 spread is up to some 45,000 in late trade.
Despite the flattening in the spread from recent highs, (spread had a 6.0 bps range, at 150.0 last vs Monday's set of 156.0), a couple desks said paper leaning towards a steepener, in line with recent conditional curve interest in options.
Meanwhile, Treasury options saw some decent put interest go up,
bias mixed with a New York shop buying 10,000 February 10-year 113.5/115
put spreads on a 1x2 ratio at 13/64 after the bell while paper sold
4,000 February 10-yea r114/115/116 put trees at 16/64 around midday.