Treasury futures were met with large call sellers on today's opening. Equities looked very week over seas and our market looked poised to take out the 1056 low from the other day on the S&P chart. Prices did break below and reached 1051 level. Stories that Goldman would reach a settlement with the SEC and news that a financial regulation bill had passed (perhaps not so onerous on the wall street banks) saw a decent uptick in financial stocks. Treasury prices broke to 12109.5 area as equities recovered, however we are seeing renewed selling in Sep. 124 calls by J.P. Morgan @ .52, about 2K as future moving up from 12116 area to 12119 area.
Some of the larger flows in 10yr. options:
| TY | |||||
| Paper | S | 5,000 | TYU124 calls | 1.02 | 121'29 to 12203 |
| Paper | B | 6,000 | TYQ126/128 c sprd | 0.11 | 12130 to 12205 |
| J.P. Morg | S | 4,000 | TYU120.5/122 call sprea | 0.42 | N/A |
| BCG | S | 4,000 | TYQ124.5 calls | 0.42 | 12128 to 12130 |
| Paper | S | 3,000 | TYN123 calls | 0.03 | 12130/12200 |
| Fuji | B | 5,000 | TYU115 puts | 0.19 | 12130/30.5 |
| J.P. Morg | S | 3,000 | TYN118.5 p | 0.3 | 12118.5/19 |
| Paper | B | 1,500 | TYN/U 121 strrad calendar | 1.18 and 1.19 | 12128/28.5 |
| J.P. Morg | S | 1,000 | TYU118/123 strangles | 2 | 12112.5/13 |
| Paper | B | 2,000 | TYN119/120.5 p spreads | .37 and .38 | 12131/12200 |
| Mann | S | 5,000 | TYM120.5/121/121.5/122 c condor | .12 and .11 | 12131.5/00 |
Some of the larger flows in ED options along with a straddle update listed below:
| ED | |||||
| Paper | B | 10,000 | EDN87/90ps vs 93 c ps over | 4 | N/A |
| Goldman | B | 10,000 | EDN0 9950 calls | 0.75 | N/A |
| Goldman | B | 10,000 | EDZ9925 calls | 13 and 13.5 | 9899 area |
| ICAP | B | 5,000 | EOM9800 puts | 0.5 | N/A |
| Paper | B | 10,000 | EDU0 9962 calls | 0.75 | N/A |
| Straddle as of 9:15 a.m.c.s.t. | |||||
| STRADDLES: | |||||
| EDM0 9937= 17/18 f=9934 SHRTS | |||||
| EDN0 9912= 29/31 f=9912 EOM1 9875=18/19 F=9881 | |||||
| EDQ0 9912= 34.5/36 EON1 9862=30/31 f=9864 | |||||
| EDU0 9912= 39/41 EOQ1 9862=38/39 | |||||
| EDZ0 9900= 56/58 F=9901 EOU1 9862=45.5/46.5 | |||||
| EDH1 9900= 66/67 F=9892 EOZ1 9837=66.5/68 f=9841 | |||||
| EOH1 9825=82.5/84 f=9819 | |||||
Funding problems continue to pressure front month Eurdollar contracts. So far no relief
being signaled by the central bankers.
Comments