Treasury sold $15.0 billion yesterday with a 2.75% coupon. Bidding was weak enough to push the yield at the auction price up to 2.80%. Demand was quite good with a bid to cover of 2.23. Seeing the bond down sharply, perhaps some of those purchasers are thinking they should have waited a day. Maybe this is just the delayed response from Yellen not picking up a bunch of the bonds.

I had sold a bunch of Puts that expire today and covered they with short futures. When the bonds spiked up to 156^26 earlier in the week, it was beginning to smart. It appears that nearly all of the short puts are going ITM and my short futures will go away and I will be left with a good bit of M.I.F.

Now I am short few naked calls that will expire next Friday.

Best wishes,

dhm