As noted yesterday there was good liquidation in the Dec. midcurve 9775 – 9800 put spreads. Mid session floor sources indicated one dealer had sold out 40K that they were long. A lot of those positions were entered into on the Friday before the Bernanke cover story on Barrons http://financialfutures.typepad.com/kiss/2009/10/bets-continue-for-higher-interest-rates.html on the 16th. Dealers paid as high as 6.5 ticks during that week and were getting out at 4 ticks yesterday, so not too bad in terms of money management. See chart and exchange reports on open interest shown below. There seemed to be some new bearish strategies that will last a bit longer in terms of expiration placed yesterday.
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Some of the flow associated with the open interest reports listed in the illustration are shown below.
| House | B/S | Qty | Commodity | price | futures price |
| 0 | S | 40,000 | EOH 9775 - 9800ps | 4 | NA |
| BCG | B | 2,000 | EDZ10 9700/9712/9775/9800 pcondor | 5 | N/A |
| 287 | B | 3,000 | EDH11 9650/9675/9725 pfly | 6 | N/A |
| 0 | B | 2,000 | EDH109962.5c | 5.5 |
N/A |
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