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. | |||||
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