Yield curve activity dried up big time compared to yesterday at least on futures markets, Fed Fund options also thin with only about 7 to 8 sizable trades going through compared to yesterday where scores of reasonably size trades went through. As the old standard goes – what a difference a day makes – twenty four little hours – da – da –da and so on.
Short end saw some largish type trades as you will note on the players list, and the big call spread seller in 10’s sold 24K more over night and another 5 – 10K on the floor after prices stalled out just above 123’23 which equates to about 2.91% on the cash yield.
This notion about trying to get the economy going by manipulating the yield curve, and trying to create a little inflation and get banks to lend money should stimulate traders to start looking at some downside strategies vs. the Fed Fund options and ED options vs looking at some upside plays on the longer end. As noted right now 10’s seem to be stalling around the weekly high of 12324 and the yield is 2.91. A move towards 2.50% or perhaps a bit lower would send 10yr. futures to the 127’00 area. We have seen a number of structures playing for such a move recently and if the Idea’s proffered by Mr. Bullard at the St. Louis Fed were to gain some traction there would be ample opportunities to make some profits. Have a good weekend.
| 7/30/2010 | |||||
| Citi | B | 2,000 | EDZ093/95 p sprd | 2 | 9956/56.5 |
| Paper | S | 8,000 | EDU/EDZ97 call spread | 0.5 | N/A |
| Paper | B | 4,000 | EOU87/90 p 1X2 | 1 | N/A |
| Icap | B | 2,500 | EOZ92/93 c spread | 3.5 | N/A |
| Paper | B | 5,000 | EOQ9950 calls | 0.5 | 9921/21.5 |
| Paper | S | 1,000 | EDU29875c | 2.5 | N/A |
| New edge | S | 3,000 | EDZ96/97 cspread | 4.25 | N/A |
| Paper | S | 8,000 | EDU092 put | 0.75 | N/A |
| Paper | B | 5,000 | EDZ092/95 p spreads | 3 | N/A |
| Paper | B | 12,000 | EDU091/92/93 pfly | 0.25 | N/A |
| Paper | B | 12,000 | EDU9950 call | 12 | N/A |
| Note | These were bought heavily yesterday and open interes declined 24K in the strike | ||||
| Citi | B | 10,000 | EDH191 put | 8.5 | N/A |
| Paper | S | 6,000 | EOZ86/87/88/90 p condor | 1.5 | 9900.5/01 |
| Paper | B | 15,000 | EOQ9900p | 2 | ^9920 |
| Paper | B | 2,000 | EDU95/96/97 c fly | 5.5 | N/A |
| Paper | B | 10,000 | EDU95/96 c 1X2 | 5 | N/A |
| Paper | B | 5,000 | EOQ90/91 p spread | 2 | N/A |
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