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
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 |
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