Some bars are more interesting than others.

The alert shown here is from Wednesday mornings session. I am pointing out here that not all options and therefore not all price bars are equal. This particular option had a delta of -88% note the value for d (delta) under the volatility dial,(upper right). This means that since market makers were essentially getting very short the market by buying these options from the dealer who was selling them, collectively the market makers had to buy over 4,000 futures to offset the risk of being short. Note also the very low reading of volatility on this trade. The dealer was willing to sell at this level in order to accommodate the locals and the amount of risk they had to offset. Our alert indicates that all 5,000 options were offset at a price of 11400.7 in the Sep. 5yr. futures but this was not the case.Some locals paid a higher price, from what I saw, I imagine some paid as high as 11402, but again this would have probably been a lower volatility and therefore the locals were still happy with the trade. For more go to www.accutic.net.