Very light day – option trading-wise yesterday. Early on before Bernanke spoke there was some additional buying of the Dec. miccure 9775- 9800 put spreads, paper was paying 6.5 vs 6 on Friday. A little over 10K traded on that strategy. A glance at the rest of the Dailey bulletin http://www.cmegroup.com/ if you care to have a look is quite uneventful.
Price action showed a rounding bottom in fixed income on the intraday charts as early selling triggered by a Barrons cover story was gradually unwound as reports came out warning the market that it should not be inferring higher interest rates imminently. Bernanke’s own words confirmed no imminent hikes would be forthcoming.
Activity today will be initially focused on PPI which is expected to be flat. Housing starts and permits are expected to rise over 10K each and those could be interesting.
Below are some of the larger flows in treasury options from geocities. Keep in mind Nov. options on treasuries will expire this Friday.
10yr. options:
|
287 |
Bot |
500 |
X12+/14+/16+p Fly |
4 |
|
|
287 |
Bot |
500 |
X17p |
8 |
11801-01+ |
|
287 |
Bot |
500 |
X19c |
7 |
11808+-09 |
|
323 |
Bot |
625/2500/1250 |
Z+15+p Z-16+p Z+18p |
17/32/63 |
11806-07 |
|
617 |
Bot |
1000 |
F121c |
16 |
11729+-11801+ |
|
660 |
Bot |
1000 |
X+18+/Z-19c Diag |
28 |
11806+-07 |
|
684 |
Bot |
1500 |
X+17+/-18+ Combo |
1 |
^Z11801 |
|
685 |
Bot |
500 |
X17p |
5 |
11809-09+ |
|
714 |
Bot |
2000 |
X17/17+/18c Fly |
5 |
11802-04 |
|
714 |
Bot |
1000 |
Z15+/16+p |
14 |
11731+-11800 |
|
714 |
Bot |
500 |
Z12/15p |
12 |
^Z11806 |
|
714 |
Bot |
8000 |
X116p |
2 |
11805-05+ |
|
714 |
Bot |
500 |
Z+16p/-20c Combo |
8 |
^Z11800 |
|
714 |
Bot |
500 |
Z16/17p |
17 |
11802-02+ |
|
287 |
Sold |
500 |
X16+/17+p |
7 |
11808+-09 |
|
660 |
Sold |
2000 |
X16+/17+/18+p Fly |
19 |
11731-31+ |
|
660 |
Sold |
1000 |
X16+/17+/18+p Fly |
19 |
11731-11800 |
|
685 |
Sold |
500 |
Z19/20c |
18 |
^Z11728 |
|
714 |
Sold |
1000 |
Z15+p |
22 |
^Z11800 |
|
714 |
Sold |
500 |
Z15+p |
21 |
^Z11803 |
|
737 |
Sold |
1000/2000 |
X+18/-18+c 1x2 |
1 |
11809+-11810 |
2 and 5yr. options:
|
287 |
Bot |
2500 |
X116p |
21-22 |
|
|
444 |
Bot |
1000 |
Two Year Z107.75/108.25p |
5 |
|
|
505 |
Bot |
1000 |
Two Year Z108.25p |
9.5 |
^Z10816.25 |
|
617 |
Bot |
2500 |
Z114.5p |
16,17.5 |
|
|
116 |
Sold |
1500 |
X116p |
20 |
|
Fed Fund options:
|
287 |
Bot |
500 |
Z62/75p |
.75 |
Z9982-2+ |
|
444 |
Bot |
1000 |
Z-75/+81p 1x2 |
Even |
Z9982-2+ |
|
617 |
Bot |
2000 |
X75p |
1 |
X9983+-4 |
|
690 |
Bot |
400 |
Z81p |
4 |
Z9982-2+ |
|
690 |
Bot |
500 |
Z+62/-75p 1x2 |
.50 Debit |
|
|
690 |
Bot |
250 |
G68/75/81p Fly |
1.5 |
G9974+-5 |
|
690 |
Bot |
250 |
X75/81p 1x2 |
.25 |
X9984+-5 |
|
690 |
Bot |
500 |
X75p |
1 |
X9984-5 |
|
709 |
Bot |
1000 |
X75p |
1 |
X9984-5 |
|
915 |
Bot |
300 |
X87c |
.75 |
X9983+-4 |
|
006 |
Sold |
250 |
X75/81/87c Fly |
1.5 |
X9983+-4 |
|
006 |
Sold |
250 |
X75p |
1 |
X9983+-4 |
|
287 |
Sold |
250 |
X87c |
.75 |
X9983+-4 |
No significant activity to report in 30yr. options.
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