Futures Curve by Accutic

Treasury Trading Update

Equity market is looking quite vulnerable, see chart just below. Consumer confidence was reported recently well below expectations adding to the selling pressure on equities. Things are getting tough and people need money, homes are for sale and not selling stocks therefore are a bit more vulnerable. 10yr. yields could well be on there way to 2.75% which would put Sep. 10yr. futures around 124’03. The Dec. futures contract would be around 123’12 at that yield. If we were to get to a 2.50% level that would take Sep. to around 126’05 and Dec. to 125’15.

If you would like to price some strategies to take advantage of such a move give me a call @ 01 312 432 5083.

Below are some of the larger flows from this a.m.'s session

6/29/2010
Screen trades
edu0 9900/9925 p> trades 3.5, 1500
edz0 9950 calls trade 1.75, 600
edu0 9950 calls trade 1.5, 2250
edu0 9900 straddle  trades 42, 750
edz0 9900/9912 p> trades 2.5, 750
edh1 9825 calls trade 95.5, 1500
short dec 9900 calls trade 8, 1000
Open Outcry
Paper	B	5,000	EDZ09950 c	1.75	N/A
Paper	B	5,000	EDN093/95/96cfly	1.75	N/A
Paper	B/S	500	EDZ9925 strad	30	N/A
Paper	S	1,000	EDU0-EDZ0 95 c calendar Dec. over	0.25	N/A
Paper	B	5,000	EOZ87/90 c 1X2	5	N/A
Paper	B	1,000	EDZ093/95/96cfly	2.75	9922
CSFB	B	10,000	EOZ88/91 c 1X2	6	9873
Paper	B	10,000	EOZ87/90/92 cflys	2.5 and 3 see	below
Paper	S	10,000	EOZ85/87/90 cflys	see above
New Edge	B	10,000	EOZ85/87/90 cflys	4	9872
Note the new edge trade looks new the one just above looks like rolliing to a higher structure
Paper	S	3,000	EDN0 9937 strad	7.5	9934.5
Paper	S	1,000	EDN9925 p	2	9934.5
Straddles as of approx. 8:30 a.m.c.s.t.
straddles:
edn0 9937 7/8       f=9934
edq0 9937 13/14
edu0 9937 17/18                         shorts
edz0 9925 29.5/30.5 f=9922             EON 9887  13/14
edh1 9912 41.5/42.5  f=9915.5          EOQ 9887  19/20
edm1 9900 55.5/56.5  f=9905.5          EOU 9887  25/26
EOZ 9875  44/45   5
reds                                      EOH 9850   65.5/66.5
edu1 9887  72.5/73.5  f 9892            EOM 9825    83/84
edz1 9875  84.5/85.5   f=9873
edh2 9850  99/100      f=9853.5
edm2 9825  112/112.5   f=9831
TY
Paper	B	500	TYQ123/124.5 c 1X2	0.09	12214.5/15
Fortis	S	750	TYQ123/124.5 c spreads	0.26	12215/16
J.P. Morg	S	750	TYU120.5 straddles	3.13	^12211
J.P. Morg	S	500	TYQ122 straddles	1.51	^12211
Mann	B	500	TYQ121 puts	25	12211/11.5
US
New Edge	B	4,000	USQ130/133/134cfly	0.2	126'27

Treasury Trading Update

Upside move in 10’s looking pretty dynamic with prices moving sharply higher after  

weak economic reports out this a.m. So far 10’s have been up to 122’06. One dealer has been selling options, the Aug. 122 calls from .53 to .57 as prices rally from 121’28.5 to 122’02 area.  In the short end there has been a large seller mostly on screen during the European hours vs. the Mar. 11 futures. Today they have sold about 35K of the EDH 9825 calls. Some of the funding pressures that were surfacing last week have died down a bit and talk of US plans to increase stimulus programs also not on the radar today. Therefore Eurodollar futures in general have been firmer today, however the large call selling vs. Mar. 11 is making that contract under perform a bit.

No reason not to be long 10’s here given the strong seasonal tendency for yields to decline around this time of year. I pointed this out earlier this year actually hoping to

buy at lower levels, which never really developed. However MACD has signaled another leg up and you have to go with that. See chart below.

Larger flows from Mondays a.m. session:

6/28/2009
ED options
Screen this a.m.:
edu0 9950 call trades 1.5, 1k
edh1 9825 call trades 94, 13k
Note the calls are deep in the money and selling continues into open outcry
edq0 91/92 p/s trades 2, 4500
edu0 91/92 p/s trades 2.25, 1k
edu0 93 call trades 7, 1k
Open outcry
Paper	B	10,000	EDU09950 calls	1.5	9934
Paper	S	1,500	EDU092/93/95 cfly	4	N/A
Mann	S	250	EOZ9862 strads	48	9867
Paper	S	2,500	EDU09937c	7	9934
Paper	B	1,000	EDZ9950c	1.75	N/A
Hearing steady buying interest in this strike…..
Cube	S	5,000	EON90/91 c spread	1.5	9889.5
New edge	B	2,500	EDH1 93/95 cspread	5	N/A
Paper	S	250	EDH 9912 straddle	42	9914
Note this is a price of down 2 ticks on the day - relates to the strong selling in 9887 calls
Paper	B	1,000	EON85/87/88 brkn pfly	1.5	9889
Paper	S	35,000	EDH11 9825 calls	94 area	N/A
There has been consistant in the money call selling vs. Mar. going back last couple of weeks
Credit Suisse	B	1,000	EDZ093/95/96 cal flys	3	9920.5
Locals	S	1,000	EDZ093/95/96 cal flys	2.75	N/A
New edge	B	1,000	EOZ87/90 c1X2	4.5	9868
Straddles as of 8:30 a.m.
straddles:
edn0 9937 7/8       f=9934
edq0 9937 13/14
edu0 9937 17/17.5                       shorts
edz0 9925 30/30.5   f=9921             EON 9887  13/13.5
edh1 9912 41.5/42.5  f=9914            EOQ 9887  18.5/19.5
edm1 9900 56.5/57.5  f=9904            EOU 9887  25/26
EOZ 9862  47.5/48.5
reds                                      EOH 9850   66/67
edu1 9887  73/74      f 9889.5          EOM 9825    84/85
edz1 9862  88.5/89.5   f=9869
edh2 9850  99/100      f=9849
edm2 9825  111/112     f=9825
New edge	S	5,000	EON88/90 cspread	5.5	N/A
Paper	B	250	EOQ9900 strad.	18.5	9891
TY
Paper	S	500	TYQ119/124 strangles	.21 and .20	N/A
Paper	S	1,000	TYQ123/124 c 1X2 pieces over	0.01	N/A
Fortis	B	3,000	TYU121 puts	0.63	^12128.5
Paper	S	1,500	TYQ122 calls	0.53	12128.5/29
They are offering more @ .54 but will need futures to probably trade above 122'00 to sell them
30yr.
Paper	S	2,500	US123/129 strangles	2.35 and 2.34	126'00 to 09

 

Treasury Update Midsession.

News overnight Australian Prime Minister Kevin Rudd stepped down after a “mutiny” initially raised hopes that Australian super tax on miners would be scrapped or renegotiated. The jury seems to be out as an initial rally failed and according to sources at Ransquawk the basic materials stocks are the worst performing in Europe right now. However intraday charts on copper prices look strong and look poised to reach the 6/21 high of $3.03 on the charts. Broader commodity picture such as an intraday CRB index

shows prices rounding higher but still at over all low levels.

10yr. futures are consolidating as one would suspect given the uptick in commodity prices over all.

Broader picture as noted this morning is bullish currently brief rally in equities looks to be fading and 10's could struggle to 3% area.

Option flows in 10’s show some rolls out of July into August as July’s expire this Friday.

Otherwise fairly quiet.

TY
Mann	B	2,700	TYN119.5/TYQ120.5 c diag. July over	.33,.32, .31	121'18 to 22
Paper	S	1,000	TYQ120 puts	0.22	12122.5/23
Paper	B	1,000	TYN122c	0.13	121'24/24.5
Paper	B	5,000	TYN/Q122 call calendars	0.4	121'18
Paper	B	4,000	TYN120/TYQ121 call diag July over	.21 and .22	121'17 to 21

On the screen recently Sep. 125 calls trade 10K times at .21 and .22.

In ED options large buyer of EDZ call spreads, and in the early going TJM was selling July midcurve

9887.5 straddles vs. buying 9875 puts. Screen trades and straddles are listed below.

ED Options Screen trades
edh1 95c trades 1.5, 1k
edu0 90/93 p1x2 trades 2.5, 2k
edu0 91/92/93 p-fly trades 1.5, 1k
edz0 95c trades 1.5, 1700
edu0 86/91 p/s trades 4 to 4.25, 750
edh1 87c trades 50, 3k
shrt dec 82p trades 12.5, 2k
shrt aug 86 ^ trades 34, 1k
Open outcry
TJM	B/S	1,000	EOU86 calls	31	^9887
They are on the sell side for 2.6K more covering a long position
Paper	B	500	EON88 stradd	14 and 14.5	9886.5
TJM	S	5,000	EON88 strad vs. buy 9875p	10	N/A
Paper	B	1,000	EOQ90/92 cspread	3.5	9887
Local	B/S	5,000	EDN091/92 p 1X2	even	N/A
Paper	S	2,500	EDN093c	1	9928
Paper	S	15,000	EDZ92/93 cspreads	7	N/A
Straddle update as of 7:45 approx
straddles:
edn0 9925 13/13.5   f=9928.5
edq0 9925 18.5/19.5
edu0 9925 24/24.5                       shorts
edz0 9912 36/37     f=9916.5           EON 9887  14/114.5
edh1 9912 44/45      f=9911            EOQ 9887  19.5/20.5
edm1 9900 59/60      f=9900            EOU 9887  26/27
EOZ 9862  48/49
reds                                      EOH 9850   67/68
edu1 9887  75/76      f 9886            EOM 9825    86/87
edz1 9862  90/91       f=9866	B
edh2 9850  101/102     f=9845	S
edm2 9825  113/114     f=9822	B
Flows cont'd
Paper	S	4,000	EDU092/93/95 p fly	4	9929
New Edge	S	15,000	EDZ092/93 c spreads	7 and 6.5	N/A
Note this makes new edge 30K sold all day.

Treasury Trading Update.

Front month Eurodollar contract came under selling pressure in the early going yesterday. Legitimate concerns over funding pressures came to light as articles circulated detailing the lapse of a large 371 day term loan set to expire on July 1^st.  There was heavy volume and liquidation in the Sep. Midcurve call options with 301K trading and open interest showing a net decline of 47 K on the preliminary report. The July Midcure’s also showed decent volume of 57K with open interest declining 26K. Most of that was New edge buying back a short position in the July midcurve 85/86/87 call tree, they paid 2 ticks on 15K. Regular Sep. call options traded 150K and the puts traded 128K. July puts traded 116K vs only 5.2K in the calls. Aug. puts traded 16K vs. 9.3K in the calls. Long story short option trading quite skewed towards bearish flows in yesterdays session.

Hourly charts are showing a bottom on the front month Sep. with move up continuing after Wednesdays early spike lower. Back month’s continue to trend higher. There is still enough confidence and control in the markets for the funding needs to bet papered over and therefore libor rates may well be able to hang around 53 basis point area.  Read an interesting article where some large money managers will be switching there benchmark from libor to OIS market makes a ton of sense.

Treasuries saw momentum shift to up and therefore a green light is on for playing the upside. Saw a bit of call buying and put selling as the Fed kept things on hold. Funding concerns will continue to be a dominate theme as many fiscal year ends lapse in June and July starts a new economic year. As Mr. Manzara notes the 2yr. note is just 4 basis points away from crisis lows made back in 2,008, the 10yr. treasury yields which due tend to fall steadily this time of year are still 100 + basis points  away from the lows back in 08.

Larger trades in Treasury and Fed Fund options from Wednesday listed below.

10yr.
685	Bot	500	U21Stdl	254	12027+/28
714	Sold	500	U22+c	48	12027+/28
370	Bot	500	U22c	58	U12026+
160	Bot	1000	Q20Stdl	207/206	12030/30+
660	Sold	500	Q18/24Stgl	20	12029/29+
714	Bot	700	U17/18p	10	12030+/31
160	Bot	750	Q20p	38	U12030
287	Bot	500	Q24c	9	12026+/27
287	Sold	1000	-Q20c/+N19+c	5	12026+/27
714	Bot	500	U21p	123	U12105
287	Sold	2000	-Q20c/+N19+c	1	12106/07
104	Bot	250	U24/25c1x2	7	12110/10+
287	Bot	2000	U22c	110	12112/12+
660	Sold	2500	Q19+p	9	12112/12+
714	Bot	2000	N22c	9	12112/12+
660	Bot	500	Q19+21p	30	12113/13+
287	Bot	1000	Q20p	30	12111+/12
685	Sold	1000	N20+p	5	U12110
685	Bot	1250	N20+/21p	7	U12110
560	Bot	1500	U21/23c	55	12110/10+
370	Sold	500	U20Stdl	305	U12110+
685	Bot	2200	Q/U21+Stdlcal	58/59	U12111
560	Bot	2000	N21/22+c1x2	26	12110/10+
714	Bot	1000	U20+/21p	14	12109/09+
197	Bot	5000	N21c	26/30	12105/06
193	Bot	1000	N21/22combo+p	6	12109+/10
685	Sold	1000	N20+p	6/5	12102+/06
685	Sold	750	N20+p	5	U12107
287	Sold	1000	N21/22combo-p	3	12110/10+
560	Bot	1000	U21/23c	55	U12110
160	Bot	500	U19+p	47	12109/09+
560	Bot	1000	U21/23c	54	U12107+
30yr.
370	Bot	500	N23/24p1x2	5	12501/02
660	Sold	1000	N26/27p1x2	7	12516/17
660	Bot	500	N25/27c1x2	30	12512/13
197	Bot	500	Q/u21p cal	41	12508/09
560	Bot	1500	U30c	60/61	12508/09
370	Bot	500	N26p	58	12510/11
2 + 5yr.
714	Sold	2000	-Q17c/+N17c	20/18
287	Bot	1000	Two yr Q108.7p	2.5
714	Sold	2000	Q18/19c	16
Fed Fund
006	Bot	1500	F62/68/75p fly	.50	F9971/71+
690	Sold	500	F62/68/75p fly	.50	F9971/71+
825	Sold	250	F62/68/75p fly	.50	F9971/71+
287	Bot	1000	G75/81c 1x2	2.25	F9970+/71
444	Bot	250	Z75c	4	Z9972+/73
287	Bot	1000	F75/81c 1x2	2.50	F9970+/71
006	Bot	2500	G81/87c	.50	G9966+/67
690	Sold	1000	G81/87c	.50	G9966+/67
690	Sold	500	Z75c	3.75	Z9972/72+
690	Bot	400	Z75c	3.75	Z9972/72+
690	Bot	500	X87c	cab5	X9974+/75
685	Bot	250	V56p	1.25	V9976+/77
287	Bot	500	Z75/81c 1x2	2.75	Z9973+/74
287	Bot	4000	F87c	.25	F9971.+/72
830	Bot	1000	X87c	.25	X9974+/75
830	Bot	1000	Z87c	.25	Z9973/73+
690	Sold	500	F87c	.25	F9971/71+
287	Bot	2000	X75/81c1x2	2.75	X9974+/75
690	Sold	750	X62/68/75p Fly	.25	X9975-75+
690	Sold	500	X/Z62/68/75p Fly Stupid	.50
915	Bot	1000	X75/81c1x2	2.75	X9975-75+
685	Sold	500	F81/87c	.75	F9971+/72
714	Bot	500	X/F81/87c1x2stupid	1.25
444	Sold	500	Z75c	4.50	Z9975/75+
690	Bot	250	Z75c	4.50	Z9975/75+
915	Bot	250	Z75c	4.50	Z9975/75+

 

 

Treasury Trading Update

Momentum looks to be changing on 10's. Some recent flows below.

6/23/2010
Post 9:00 a.m. flows
Housing data kicks 10's above old high 12107.5 from 6/10
Mann	B	2,000	TYU122c	1.1	121'12/12.5
J.P. Morg	S	2,000	TYQ119.5p	0.2	121'14.5/15
Paper	S	500	TYU124/125 c1X2 125's over	0.07	121'10/10.5
Paper	B	2,000	TYN122c	0.09	121'13

Treasury Trading Update

With about a week to go before the G20 meetings in Toronto, China signaled it would allow the yuan to float, after reportedly keeping it’s value around 6.83 to the dollar. The news caused a rally in commodity and equity markets in the overnight markets which carried into the US opening. Currently about 3 hours into the US trading day equities are still up on the day but intraday charts starting to show some downward momentum. Conversely 10’s which were pushed lower as capital left the fixed income arena and flowed into more risky ventures.

Take note of downside break out on 10yr. futures, currently prices back up testing the upward sloping trend line and commodities are pulling back a bit from initial gains.

Some of the larger flows in ED and Treasury options listed Below.

6/21/2010
ED options on screen prior to open.
Note there has been continued large seller (liquidating) in Mar
in the money calls. Saw cube selling them in open outcrys session.
Screen this a.m.:
edh1 9850 call trades 70.5, 13k
edh1 9937 call trades 7, 1k
edu0 91/92/93 p-fly trades 1.25, 250
edz0 9912  straddle trades 38, 150
shrt aug 82/85 p/s trades 3, 2k
shrt jul 90/91 c/s trades .5, 4k
Open Outcry  trades.
Paper	S	500	EOQ9875 strad	22.5 and 22	9877.5
Citi	B	500	EDM12 9800 stradd	121	9804
Paper	S	2,500	EDZ0 9950/9962.5 c spreads	1	^9919.5
Paper	S	500	500 EDM09900 strad	61.5	9896
Paper	B	1,000	EDU1273p vs. sell 1K EOU83 p U12 over	2.5	N/A
Paper	B	5,000	EDH9912/9937 c spread	15.5	^9909.5
Cube	S	1,500	EDH9850 call	71	9910.5/11
Paper	B	1,000	EOU85/87/90 cfly	7	N/A
Paper	S	2,500	EDZ095/96 c spread	1	9919.5
J.P. Morg	B	10,000	EDU086/88 p spread	1	9934
Paper	B	2,000	EDU93/95/96 c fly	4	9934/34.5
Paper	S	1,000	EDQ90/91/92 pfly	1	9934
Paper	S	5,000	EDN090/91/92 pfly	0.75	N/A
RJO	B	50,000	EDZ9950 c	1.5	9921.5 area
Merril	B	2,500	EDZ093/95 c 1X2	3	9922
BCG	B	20,000	EOU87/88/90 c ladder	4	9877/77.5
TY
Screen	B	16,000	TYQ121/123 c spread	25,26,27	11926 - 28 area
Fimat	B	1,000	TYQ117/118 p spreads	0.11	11927/27.5
Paper	S	1,000	TYN118.5/121 combo's call over	0.01	^11927.5
Paper	B	500	TYU122 call	0.4	11926/26.5
US
Paper	B	2,000	USN118/119	0.02	N/A

Midsession Update

Rally in 10’s has been short lived with prices moving below 12018.5 level. Just now equities testing session highs and oil prices likewise. 10yr. option pit very quiet, and Fed Funds almost completely nil.

  


ED Options Active early recently BCG buys the July Midcurve 87 strad 500 times @ 16

Balance of players below w/ intermittent straddle updates.

6/18/2010
Screen Trades Prior to the open
Screen this a.m.:
edh1 9812 call trades 106.5 to 106, 12k
edu0 9950 call trades 1.5, 600
edu0  9950/9962 c1x2 trades 1, 150
shrt jul 9875 put trades 7, 600
edz0 9875/9912 put condor trades 1, 500
edz0 9887/9925 put condor trades 1.25, 1500
shrt jul 9837/9850 p/s trades 1, 250
Open Outrcy begins:
Goldman	S	2,000	EDU093/95 cs	5	9831
CCM	B	5,000	EON90/91cs	0.5	9874
Citi	B	10,000	EDU090/91/92 p flys	1	9931
Paper	B	250	EDZ9912 strad	39.5	N/A
Paper	B	200	EDM12 9800 strad	123.5	9800
Locals	B/S	500	EDM19900 strad	65.5	9894
Mann	B	3,000	EDN90/92 p 1X2	0.75	9931
Straddles as of 7:45 a.m.c.s.t. approx
straddles:
edn0 9925 14/15     f=9931
edq0 9925 19.5/20.5
edu0 9925 24.5/25.5                     shorts
edz0 9925 33.5/34.5 f=9920             EON 9875  15.5/16.5
edh1 9912 49/50      f=9910            EOQ 9875  23/24
edm1 9900  65/65.5   f=9894            EOU 9875  30.5/31.5
EOZ 9850  53.5//54.5
reds                                      EOH 9825   74/75
edu1 9875  84.5/85.5  f 9875            EOM 9800    92/93
edz1 9850  98.5/99.5   f=9850
edh2 9825  111/112     f=9827
edm2 9787  123/124     f=9802
Flows cont'd
Goldman	S	8,000	EDU93/95 csprd	5	9931 area
J.P. Morg	B	5,000	EDM185/90 csprd	36.5	N/A
Paper	S	500	EON87/88 csprd	5.5	9875.5
RJO	B	500	EDU93/95/96 c flys	3.75	9931
RJO	S	20,000	EOU82/90 squash put over	even	9875.5
Note approx     some changes in Red strads.
red straddle update:
edu1 9875 ^ 84/84.5  f=9876
edz1 9850 ^ 99.5/100.5 f=9852
edh2 9825 ^ 111.5/112.5 f=9828
edm2 9800 ^ 123/124 f=9803
Flows cont'd
Locals	B/S	200	EOZ9850 strad	53.5	9851
Paper	B	1,000	EDU09950 c	1.5	9931
RJO	B	2,500	93/95/96 c fly	3.75	9931
Paper	B	500	EDZ9925c	14.5	^9920.5 50%
BCG	B	500	EON87 strads	16	N/A
TY
Paper	S	2,500	TYQ120p	.52 and .51	12016/17
Paper	B	1,000	TYN119p	0.05	12016.5/17
Paper	B	1,000	TYN121.5/122.5/123.5 c fly	0.06	N/A
US
Just came in after the ECRI report @ 9:30 a.m.c.s.t. othere wise quiet
1st Op	B	2,500	USU121/122 pspreads	0.07	124'00/01
They had more to buy but have pulled the bid.

Treasury Trading Update

Weaker than expected Philly Fed “Survey” was the catalyst to take Sep. 10yr. futures (and related fixed income futures) above

recent key levels, and to test and penetrate downward sloping trend lines. Price action since and currently has prices just hugging the line, note the 5yr. had a much more potent break out, as did the 30yr. futures but a bit less. In terms of the 10’s playing the upside move requires a trailing stop, that now should reside @ 120’17 area. Why so tight? Because this could well reverse and perform to the down side. 120’18.5 is more or less a pivot point right now, failure to stay above it could send prices down ½ point or more. Also analysts note that the survey was not as weak as headline component and some components registered rather significant gains. Also commodities over all remain in up trends and the US dollar is off pretty much across the board.

  

Larger flows in Treasury Options from Thursdays session listed below.

10yr.
714	Bot	1000	N19p	9	12010+/11
560	Bot	5000	N18+/19+p	11/10	12011/16
370	Bot	4000	N23c	3	12012+/13
685	Sold	500	N20+Stdl	109	U12010
714	Sold	500	N18+c	203	12016/16+
714	Sold	500	N21/22c	15	12016+/17
714	Bot	500	N19p	8	12015/15+
006	Bot	500	U19Stdl	323	12014+/15
287	Bot	3000	U22/25c	42	U12016
714	Bot	500	+Q22/23c/-N21+c	1	12016/17
815	Sold	500	N20+Stdl	111	12023+/24
560	Bot	1800	Z10/13P1x2	3	12023/24
714	Bot	1000	Q17/18p	8	12022/22+
617	Sold	500	U17/24+Stgl	47	12020/21
714	Bot	500	+N21+/22+c/-N19+p	even	U12021
355	Sold	5000	N22c	10	12023+/24
714	Bot	1000	Q20+p	63	U12024
737	Bot	1000	N20p	16	12025/25+
287	Sold	1000	U22c	60	12022+/23
685	Bot	500	N20+Stdl	106	U12024
685	Bot	500	U20+Stdl	303/302	U12024
370	Bot	5000	Q18+p	22	12024+/25
714	Sold	1000	N20p	16	U12023
685	Sold	750	Q20+Stdl	213	U12024
30yr.
148	Sold	2500	-U/+Q18p cal	32/31	12327/28
197	Sold	500	N26/28c	18	12410/11
287	Sold	1500	U23p	213/12/09	12412/13
714	Sold	500	N25/29c1x2	34	12410/11
2 + 5yr
370	Sold	1500	N17+c	14/15
415	Sold	2000	N18c	7.5
Fed Fund
690	Sold	500	X75Stdl	8.50	X9973/73+
690	Bot	450	X75Stdl	8.50	X9973/73+
714	Sold	2000	X68/75c	5.2	X9973/73+
690	Bot	1000	X68/75c	5.2	X9973/73+
815	Bot	500	X68/75c	5.2	X9973/73+
915	Bot	2250	F68/75/81c fly	1.75	F9970+/71
690	Sold	2000	F68/75/81c fly	1.75	F9970+/71
690	Sold	1000	U81/87c	.50	U9977/77+
690	Bot	1700	F75/81/87cfly	2.50	F9970+/71
690	Sold	2000	F75/81/87cfly	2.50	F9970+/71
685	Bot	500	F75/81/87cfly	2.50	F9970+/71
685	Bot	2500	F81/87c	.50	F9970+/71
690	Sold	3500	F81/87c	.50	F9970+/71
006	Bot	1000	F81/87c	.50	F9970+/71
690	Sold	1000	U81/87c	.50	U9976+/77

 
 

 

Treasury Trading Midsession Update

Philly Fed data very weak 8.0 vs expectation of 20.00. This has sent prices above Tuesdays high of 12018.5 setting up a test of 12029.5 where down trend line comes in.

See chart below for details.

10yr. options like yesterday were quiet until had uptick today above 120'10 area. ED options

have seen straddles move lower by about 1/2 tick at best less of a decline than yesterdays session.

6/17/2010
Paper	B	1,000	EDU119725 c	51.5	^ 70% 9768
Paper	S	300	EDH19900 strads	0.56	N/A
Paper	B	300	EDH19862.5 puts	15	N/A
New Edge	B	1,000	EDH193/95 csprd vs see below	2.5	N/A
New Edge	S	1,000	EDM195/96 c spred	see above	N/A
Time now is 7:30 a.m.c.s.t. and Weak Jobless claims push longer end yields lower mild 1-2 tic up in ED futs.
Paper	S	500	EDH19900 put	23.5	N/A
New Edge	B	2,000	EDQ90/91/92 pfly	1.25	N/A
Paper	S	500	EOU90 calls	3.5	9873
Fortis	B	1,000	EDZ85/90 psprd	6.5	N/A
Paper	S	500	EOU9875 strad	31.5	9872.5
Paper	S	300	EDN 9925 strad	1.5	9929
Paper	S	1,000	EDU95/96 c spread	1.25	9929
Straddle up date approx 8:00 a.m.c.s.t.
straddles:
edn0 9925 14.5/15.5 f=9929
edq0 9925 20.5/21.5
edu0 9925 25.5/26                       shorts
edz0 9925 33.5/34.5 f=9920             EON 9875  15/16
edh1 9912 50.5/51.5  f=9910            EOQ 9875  23/24
edm1 9887  71.5/72.5 f=9893            EOU 9875  30.5/31.5
EOZ 9850  53/54
reds                                      EOH 9825   74.5/75.5
edu1 9875  86/87      f 9872            EOM 9800    93/94.5
edz1 9850  100.5/101.5 f=9846
edh2 9825  113.5/114.5 f=9822
edm2 9787  124.5/125.5 f=9796
Mann	B	10,000	EON90/91 c spread	0.5	9873
Mann	B	10,000	EOU90/91 cspread	2.5	9874
Paper	S	2,000	EDN9912/9937 strngl	5.25 and 5.0	N/A
Paper	B	4,000	EDQ87/88/91 brkn. P fly	1.75	N/A
Paper	S	1,000	EDN91/92/93 Iron flys	9.5	N/A
TY
Paper	B	1,000	TYN119p	0.09	12010.5/11
Merril	B	2,500	TYN118.5/119.5 p spreads	11	12011/11.5
Merril	B	2,500	TYN118.5/119.5 p spreads	0.1	12015/16
Mann 008	B	3,000	TYU 122/125 c sprea	0.42	^120'16

Treasury Trading Update.

Charts below tell the story on price action. Although daily’s portend an eventual break out with potential follow through of a point, based on traditional technical analysis. What has happened often recently is we trade into a narrow range and instead of getting a sharp

break out the market just slowly trades sideway in a sort of broadening range, like a bow tie shape if you will. I believe our environment of QE and continued concerns over the crisis, with headlines out of Europe tending to drive markets into safety (treasuries) and on the hand economic data and upward price action on commodities tending to push yields upward and thus taking the bid out of treasuries.

Early flows were sort of negative in ten year option and there were some negative flows on euribor options before our open. In Eurodollars saw mixed to somewhat positive flow, but vol. did come off as straddles fell a basis point in the early going.

Currently in 10’s there has been  some decent straddle selling, see below.

6/16/2010
TY
Paper	B	1,300	TYU116/TYN119 put diagnol Sep over	0.12	12012.5/13
Paper	B	500	TYN118/118.5/119 put flys	0.02	12008/09
Paper	B	1,000	TYZ 110/113 pu 1X2  110's over	0.02	12008/09
After Prices peaked saw some straddle selling
Paper	S	1,000	TYQ120 strads	2.12	12003/04
RJO	S	900	TYU120 strad	3.04 and 3.03	120'04/04.5
RJO	S	500	TYU120 strad	3.05	120'00/01
Mann	S	1,000	TYN120.5 strad	1.12	^120'05
ED
Screen this A.M.
short july 9850/9862 c 1x2 trades 3, 500 (2 legs over)
July 9925/9937 c spread   7.5  ,  250
Dec 9862 put   trades  9.5,  1k
July 9912/9925/9937 c fly   2.5,  400
Short july 9862 call trades 12.5, 1k
Sep 9900 put   trades 6.5, 600
Open shout cry
Local	B/S	3,000	EDU0 90/91/92 p fly	1	9927.5/28
Adv	B	2,000	EON83/85 p sprd	1.5	9870
Citi	S	2,000	EDZ77/82/87 p flys	2.5	9917
JB Drax	B	5,000	EON85/86 c1X2 got a credit legs over	3 credit	9870
Local	B/S	1,000	EON9887.5 calls	1.5	9870
Local	B/S	1,000	EDU91/92/93 p fly	1.25	9928
Local	B/S	1,500	EON 9887.5 c	1.5	9870
JPMorg	S	2,500	EDN92/95 csprds	9.5	9928
Local	B/S	1,500	EDN088/90/91/92 p condor	2	9928
Straddles as of Approx. 8:00 a.m.c.s.t.
edn0 9925 16/17     f=9928
edq0 9925 22/23
edu0 9925 27/28                         shorts
edz0 9912 41.5/42.5 f=9918             EON 9875  15.5/16.5
edh1 9912 53/54      f=9907            EOQ 9875  23.5/24.5
edm1 9887  73.5/74.5 f=9890            EOU 9862  32/33
EOZ 9837  58/59
reds                                      EOH 9812   78/79
edu1 9875  89/90      f 9869            EOM 9787    96/97
edz1 9837  102.5/103.5 f=9843	105/106.5
edh2 9812  118.5/119.5 f=9819
edm2 9787  129.5/130.5 f=9792
JB Drax	S	5,000	EDU09937 call	7	^30% 9929