Ø December options expire this Friday
Ø Bullish trades waning vs. Dec. as expiration and Resistance nears
Ø Some small bets for a pullback under 119’00 vs. the Dec. futures.
Ø Dec. futures currently down 7 ticks, trading 119’17.
Yesterday trading activity in 10yr. options was less dominated by call activity and focus on a move towards 120 vs. the Dec. futures as opposed to the previous two sessions. Recall on Friday there was really only the one trade worth noting a large buyer of 25K of the Dec. 119.5 – 120 – 120.5 call flies for 4 ticks. With the move up towards the 120 strike that trade settled @ 11 ticks yesterday almost a 300% gain, not bad. On Monday the largest trade of the day involved buying 10K of the Dec. 119.5 calls vs. selling 10K of the Dec. 117.5 puts for 13 ticks. (The trade was done delta neutral against futures 11906 I’m not sure what percentage) However directionally it was a good bet as the combo settled at 25 ticks yesterday.
Yesterday’s session was more even in terms of directional flows. Actually in terms of the Dec. options which expire on Friday, the calls mainly saw liquidation. Volume was 68K and open interest fell 13K and stands at 514K. The puts on the other hand had an increase of 17K in open interest to 661K on volume of 38K. A lot of the action was in the 119 put with players now fading the move towards 120 area just a bit. In the next cycle of options that will be vs. the Mar. futures contract in terms of open interest on the call side, the Jan. series has most the positions with 137K open interest vs. 56K open interest in Mar. and only 5K in Feb. In terms of the Puts Jan. has 107K, Mar. has 73K and Feb. 5.2K currently. Players from yesterday are listed below.
| 287 | Bot | 1000 | Z20c | 8 | 11921-21+ |
| 287 | Bot | 500 | F19+c | 24 | 11914-14+ |
| 350 | Bot | 3000 | Z19p | 11-12 | 11912+-13+ |
| 350 | Bot | 2000 | Z18+p | 5 | 11914+-15 |
| 370 | Bot | 500 | F16/17p | 16 | ^H11800 |
| 374 | Bot | 1000 | Z20c | 12 | 11923+-24 |
| 415 | Bot | 1000/1000/2000 | F-18c F+19c F+20c | 2 | 11913-13+ |
| 444 | Bot | 5000 | F121c | 7 | |
| 444 | Bot | 5000 | F21c | 7 | 11916+-17 |
| 560 | Bot | 500 | G14+p | 16 | ^H11812 |
| 560 | Bot | 2000 | F19c | 40 | ^H11812+ |
| 660 | Bot | 5000 | H12p | 12 | |
| 660 | Bot | 2000 | Z18+/19/19+p Fly | 4 | 11925+-26 |
| 660 | Bot | 500 | Z+18+c/F-18c Diag | 4 | 11914-14+ |
| 660 | Bot | 500 | Z+/F-18c cal | 34 | 11914-14+ |
| 660 | Bot | 5000 | H12p | 12 | 11923-26 |
| 660 | Bot | 1000 | G19+c | 50 | ^H11814 |
| 684 | Bot | 1000 | Z18/19p 1x2 | 5 | 11917-18 |
| 684 | Bot | 3000 | F15p | 11 | |
| 684 | Bot | 700 | F+/Z-20c Cal | 9-10 | 11922+-23 |
| 006 | Sold | 1000 | F20c | 19 | 11925-25+ |
| 287 | Sold | 1000 | F18 Stdl | 154 | ^Z11805 |
| 287 | Sold | 1000 | F18 Stdl | 154 | ^H11803 |
| 350 | Sold | 3500 | Z18c Covered 1x1 | 149 | ^Z11924 |
| 370 | Sold | 1000 | F+21/Z-20c Diag | 1 | 11916+-17+ |
| 370 | Sold | 2000 | Z20c | 8 | 11919-19+ |
| 444 | Sold | 1000 | Z20/21c | 8 | 11923+-24 |
| 444 | Sold | 3500 | Z20/21c | 11 | 11925-25+ |
| 560 | Sold | 500 | H16p/19c Stgl | 163 | 11918+-19 |
| 660 | Sold | 500 | F20c | 19 | ^H11812 |
| 685 | Sold | 500 | H18+Stdl | 308 | 11925-25+ |
| 685 | Sold | 500 | Z19p | 5 | ^Z11921+ |
| 685 | Sold | 1000 | Z19p | 5 | ^Z11925+ |
| 714 | Sold | 2000 | F19c | 34 | ^Z11803 |
| 714 | Sold | 2000 | H14+/18p | 105 | ^Z11800 |
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