From the trading floor, this morning in 10yr. treasury options dealer who was long Jan. 121.5 calls continues to sell them out, so far around 5K sold through BCG @ .18, .17 and .15 with Mar. futures trading from 11929 to 11922. In Wednesdays session a dealer sold about 6K @ .06 and .05. Also to day paper sold 5K of the Jan. 119/121 call spreads @ .61 and .62 with Mar. 10’s trading 11927.5 to 31. Delta’d against mar. futures 11930 a dealer bought 3K of the Jan. 119.5 calls @ 1.07, and delta’d same level dealer bought 3K of the Jan. 118 – 119.5 combo’s (buying the call) @ .54. Near the open Jan. 119 puts were bought 2K times @ .31 and .32 delta’d against futures 11928
Earlier in an email alert I showed a dealer buying 5’s and selling bonds on a FOB trade. Now we have J.P. Morgan selling 5’s and buying bonds see below.
.
MORGAN BANK SELLING NOW
-800 116-30.2 FVH
+312 122-06 USH
-1300 116-31.2 FVH
+508 122-09 USH
-400 117-00.2 FVH
+160 122-14 USH
Flows mixed in ED options one of the bigger trades today was a buyer of 10K EOF0 9750/9800 put spreads for 3.5 ticks. Those are mid curve options that are vs. the Mar. 10 futures which currently are trading around 9960. Regular expiration Mar. 9962.5/9975 call spread was bought 5-7K times @ 6.5 ticks.
All in all markets seem fairly well behaved with flows showing 2 way bets so far. Prices may eventually fill in gap on 10yr. charts form 11911 to current low of 11920 vs. the Mar. future. Latest updates on Dubai situation point out that US banks do not have much exposure to that situation. Stay tuned.
Comments