Activity in the 2yr. options pit and therefore the amount of accutic alerts going out was quite brisk this morning. Take note of some of the following:
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7:33 Dealer buys 500 July 108 - 108.2 - 108.5 call flys for 2 tics (shown lower right alert)
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8:25 Dealer buys 500 July 107.25 - 107.75 - 108 call ladders for 10 tics
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8:41 Dealer buys 1.5K of the Sep. 108 - 108.5 call spreads for 9.5 tics
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8:47 Dealer buys 1K of the Sep. 107.5 - 108 - 1087.5 call flys for 6 tics, and dealer continues to buys the 108 - 108.5 call spread, around 2.5K on the day.
Again this is just some of the activity. On the long end as noted on the upper left alert Dealers were buying Sep. 30yr. 123 - 126 call spreads, ( as of this writing 11:17 a.m.c.s.t. 10K have been bought paying 22 tics). Also same dealer bought 8K of the Aug. 30yr. 120 - 123 call spreads @ .28. As noted in yesterdays alerts there was heavy liquidation in June mid-curve put structures with open interest declining close to 200K futures. A mortgage servicer was unwinding positions, namely in June midcurve 9775 thru 9837.5 puts.
Contacts point out a lot of this activity was an unwind of a large payer of fixed trade in the interest rate swap market from last week where the swap spread was as wide as 40 basis points over treasuries from 6 basis points around the19th of May. That spread has come if to the low 30's currently.
Regardless of the origin of this trade it is creating a lot of new option positions in the 2's - 10's, and 30yr. treasury options today. For more upload the alerts by visiting our site @ www.accutic.net.
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