That Feb. 116/119 strangle being sold in 10yr. options as large fund trying to squeeze more premium out of this market. Additionally there is a large European based broker buying Mar. 10yr. 115.5 puts, around 12K on the trading screen and around 7K on the trading floor according to floor sources. Currently price action running into resistance around the 11629/30 area, this is the level the 115.5 puts were bought recently @ .42, so could see a test of session lows if this continues. See below for larger flows in 10yr. options.
| 10yr. | |||||
| House | B | Quantity | Strike | Price | Futures |
| 370 | S | 12,000 | G116/119strngl | .40 to .38 | 11700 - 11706.5 |
| 0 | B | 5,000 | G115.5p | 0.18 | 11707.5/08 |
| 287 | B | 3,600 | H118/119.5cs | 0.31 | ^11707 |
| 714 | S | 3,000 | F118/G117cdiagnols | .39,.38,.35 | 11705 - 11708 |
| 0 | B | 2,000 | G116p | .26 | 11705/05.5 |
| 714 | B | 2,500 | G115/120.5combo put | .12 | ^11700 |
| 287 | S | 3,000 | H113p | .10 | ^11701 |
| 370 | S | 2,000 | G116/119strngl | .42 | 11629.5/30 |
| 830 | B | 2,000 | H118/119cs | .15 | 11628/28.5 |
| 0 | B | 4,000 | H114.5/116ps | .27 | 11627.5/28 |
| Icap | B | 19,000 | H115.5p | .40 to .47 | 11624 to 30 |
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