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 |
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