Tuesday, January 27, 2015
TYH5; NY Storm's Biggest Looser
Open interest declined by 84,000 in Ten Year Treasuries as a result of yesterday's activity. Traders removed positions before they headed out the doors in NY in front of what might have been a record breaking storm. Open interest was down across the curve, from Eurodollars to Ultra Bonds. This would have implications for the weaker price action seen yesterday and generally indicate that traders did not have conviction that prices were going lower, but rather wanted to protect themselves against the possibility of not being able to adjust positions over the coming days. As such, prices are higher this morning with weaker equity markets following some disappointing earnings news from CAT and others.