On the longer end large players continued to take out bets in Dec. 113.5 puts and shorting the Jan. 112 puts outright and as part of a large short strangle position. As you can see there was a lot of activity around the 116 and 116.5 strikes, open interest sort of inconclusive, on the preliminary reports. But it does seem these were existing positions with a decent amount of rolling and liquidation occurring. Barring any surprised from today’s data will expect 117’16 (approx. 3.5%) to hold and prices range sideways.
Listed below are the major trades in 10yr. options from yesterday.
| 275 | Bot | 500 | Z19c | 22 | 11722+-23 |
| 287 | Bot | 500 | Z15+/19 Combo | 11-12 | |
| 287 | Bot | 1200 | F119c | 27 | 11729+-30 |
| 287 | Bot | 1000 | Z189/20c | 14 | 11723+-24 |
| 287 | Bot | 1000 | Z15+/16+p | 11 | 11731-31+ |
| 370 | Bot | 1500 | Z15/16/17p Tree | 5 | 11726-26+ |
| 560 | Bot | 10000 | Z13+p | 4-5 | 11726+-28+ |
| 560 | Bot | 2000 | F12/20 Strgl | 30 | 11721-23 |
| 560 | Bot | 1000 | Z16+/17+p | 23 | 11720-20+ |
| 660 | Bot | 1000 | F18+c | 32 | ^H11612 |
| 660 | Bot | 500 | Z17 Stdl | 156 | ^Z11720 |
| 684 | Bot | 500 | Z18 Stdl | 148 | ^Z11725 |
| 685 | Bot | 2500 | Z20c | 8 | ^Z11724 |
| 685 | Bot | 500 | Z17+ Stdl | 149 | 11717+-18 |
| 685 | Bot | 500 | H16+ Stdl | 406 | ^H11610 |
| 690 | Bot | 500 | Z16p | 22 | 11721+-22 |
| 370 | Sold | 4000 | F12p | 16 | 11727-28+ |
| 370 | Sold | 4000 | F12/20 Strgl | 30-32 | 11721-23 |
| 370 | Sold | 1000 | Z14+/16/17+p Fly | 16 | 11722-22+ |
| 560 | Sold | 500 | Z16p | 22 | 11720+-21 |
| 660 | Sold | 1000 | Z17+ Stdl | 151 | 11726-27 |
| 684 | Sold | 500 | H16+ Stdl | 407 | ^H11618 |
| 685 | Sold | 500 | Z17+ Stdl | 148 | ^Z11723 |
| 685 | Sold | 500 | H18c | 116 | ^H11609 |
| 685 | Sold | 1500 | H18c | 116 | ^H11610 |
| 690 | Sold | 1000 | Z15+/16+p | 11 | 11731-31+ |
| 830 | Sold | 3000 | Z20c | 8 | ^Z11724 |
| 830 | Sold | 5000 | Z16+/18p | 36-37 | 11719-20 |
Comments