If you scan the players list below, you will see some bullish plays in 2 and 5 yr. options for pretty good size. Once you get to the 10yr. listing you will note more activity on puts for the bigger flows. J.P. Morgan has continued to load up on OTM puts taking another 5K of the 112’s on Friday. They are also pretty big in the 113 puts. These flows reflect the current steep yield curve as money has been pouring into the 2yr. and in sector pushing yields to credit crisis lows in that end.
From Geocities.
| 5yr. | 2yr. | ||||
| 116 | Bot | 5000 | G17.5/18.5c | 11 | |
| 355 | Bot | 750 | Two yr. H107.5/108p | 4 | |
| 355 | Bot | 3000 | H13.5 | .5 | |
| 560 | Bot | 5000 | Z117c | 35 | |
| 197 | Sold | 2000 | Two yr. H109c | 11-11.5 | |
| 355 | Sold | 5000 | Two yr. Z109/G1089.5c Diag | 12-12.5 | |
| 714 | Sold | 6000 | Two yr. H108.75/109/109.25c Tree | 3 | |
| 10yr. | |||||
| 197 | Bot | 1000 | Z120c | 5 | 11926+-27+ |
| 350 | Bot | 5000 | F+16.5/18p vs F-19.5c | 6 | ^Z11918 |
| 350 | Bot | 500 | G16+p/19+c Stgl | 114 | 11917+-18 |
| 370 | Bot | 500 | F16/17p | 13 | 11916+-17 |
| 660 | Bot | 5000 | H12p | 11-12 | 11918-21 |
| 660 | Bot | 1000 | G19c | 58 | ^H11813 |
| 714 | Bot | 1000 | Z20c | 1 | 11922-23 |
| 020 | Sold | 1000 | Z20/21c | 1 | 11922-22+ |
| 287 | Sold | 3000 | Z19+c | 9-10 | 11917+-19+ |
| 287 | Sold | 1000 | Z19+/20/20+c Fly | 4 | 11916+-17+ |
| 350 | Sold | 2000 | Z120c | 5-6 | 11926+-27+ |
| 350 | Sold | 3000 | Z20c | 1 | 11922-23 |
| 370 | Sold | 4000 | F20c | 14 | ^H11806+ |
| 444 | Sold | 500 | Z20c | 2 | 11924+-25 |
| 660 | Sold | 1000 | Z19+/20/20+c Fly | 14 | 11924+-25 |
| 660 | Sold | 3500 | Z19/19+/20c Fly | 18 | 11921-22 |
| 684 | Sold | 1000 | Z20c | 4-6 | 11927-29 |
| 30yr. | |||||
| House | Buy/Sell | Quantity | Strike | Price | Futures |
| 116 | Bot | 2000 | G25/26c | 11 | 12029-30 |
| 197 | Bot | 5000 | G105p | 4 | 12017-8 |
| 560 | Bot | 500 | F129c | 2 | 12025-6 |
| 660 | Bot | 1000 | Z21c | 1-2 | 12019-20 |
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