Treasury Trading Update.

Quite a bit of put buying in Sep. and Dec. Eurodollar options see list below. Contracts have been moving up rather sharply so it makes sense that a number of call option buyers are trying to secure gains by buying some downside protection incase there are any nasty surprises from Bernanke’s testimony which we will not be getting until 1:00 p.m.c.s.t. today. Take a look at players list below:

7/21/2010
Screen this a.m.:
edu0 92/3/5 c-fly trades 1.25, 9300
edu0 96c trades 1.5, 600
edz0 96c trades 2.5, 1500
edq0 96c trades .75, 500
edz0 93/95 c1x2 trades 1, 1000
edh1 95c trades 8.5, 3000
edz0 95c trades 9, 1000
edu0 93c trades 17.5, 4500
edz0 92p trades 6, 1200
Open Outcry
BCM	B	10,000	EDH91/93 p spread	4	9942
Paper	B	9,000	EDU 9962.5 c	1.5	9952.5/53
Paper	B	4,000	EDU92/93/95 p  fly	1.25	9953 area
Paper	B	1,000	EDZO96/97 c spread	2.25	9948.5
JB Drax	B	10,000	EDZ2 82/86/88 brkn c fly	9.5	9805 area
Paper	S	1,500	EDQ9950c	5.5	9953
JP Morg	S	5,000	EDU92/95 C 1X2	15	^25% 9953
Paper	B	500	EDZ095/96/97 c fly	4	9949
Paper	S	500	EDU 95/96/97 c fly	4.25	9953
New Edge	B	2,000	EDH191/92/93/95 p condor	2	9941
New Edge	B	5,000	EDU0 93 calls	18	9953
New Edge	B	5,000	EDZ90/92 p spreads	2	9948
JB Drax	S	5,000	EDH195 calls	8	N/A
Paper	B	500	EDU091/92/93/95 p condor	1.5	9953
Citi	B	20,000	EDZ9925 puts	6.5	9947.5/48
Paper	B	500	EDU2 85/90 c spread	5	9829
Paper	B	10,000	EDU090/92 p spread	0.75	9953
UBS	S	1,000	EDM2 9850 strad	103.5	9851
Fortis	B	3,000	EDZ091/92/93 p fly	0.5	9948
Paper	B	2,000	EDZ82/86/88 c fly	10	9808 area
straddles:
edQ0 9950 8/8.5     f=9952.5
edU0 9950 11.5/12
edV0 9950 14/15                         shorts
edZ0 9950 19.5/20.5  f=9947            EOQ 9912  13.5/14.5
edH1 9937 29.5/30.5  f=9941            EOU 9912  19.5/20.5
edM1 9925 43/44      f=9930            EOV 9900  25.5/26.5
EOZ 9900  40/41
reds                                      EOH 9875   56.5/57.5
edU1 9912  60.5/61.5  f 9915            EOM 9850    75.5/76.5
edZ1 9900  74/75       f=9894
edH2 9875  89.5/90.5   f=9874
edM2 9850  102.5/103.5 f=9852

Fed fund option trading remains opposite, mostly call buying being seen as trader remain focused

on chance of Fed fund rate being forced lower. See players below:

160	Bot	250	U87c	.25	U9981/81+
714	Sold	250	U87c	.25	U9981/81+
690	Sold	750	Z81/87c	1.50	Z9980/80+
370	Bot	1000	X87c	.50	X9980+/81
690	Sold	2000	V87c	.50	V9981/81+
617	Bot	3000	V87c	.50	V9981/81+
690	Bot	1000	U87c	.25	U9981/81+
690	Sold	500	X87c	.50	X9980+/81
160	Bot	500	V87c	.50	V9981/81+
815	Bot	500	Z81/87c	1.50	Z9980/80+
690	Sold	1000	H81/87c 1X2	1	H9974/74+
690	Sold	2000	G81/87c1x2	1	G9976/76+
915	Bot	1500	G81/87c1x2	1	G9976/76+
915	Bot	1000	H81/87c 1X2	1	H9974/74+
690	Sold	1000	V81/87c 1x2	1	V9981/81+
690	Sold	500	X81/87c 1x2	1	X9980+/81
006	Sold	500	F62/68p	.25	F9979+/80
690	Bot	500	F81Stdl	5.50	F9979+/80
690	Sold	250	F81Stdl	5.50	F9979+/80
915	Sold	250	F81Stdl	5.50	F9979+/80
690	Bot	350	Q87Sdl	5.75	Q9981+/82
714	Sold	350	Q87Sdl	5.75	Q9981+/82
160	Bot	500	X87c	.50	X9980+/81
690	Sold	500	X87c	.50	X9980+/81

	B	10,000	EDH91/93 p spread	4	9942
	B	9,000	EDU 9962.5 c	1.5	9952.5/53
	B	4,000	EDU92/93/95 p  fly	1.25	9953 area
	B	1,000	EDZO96/97 c spread	2.25	9948.5
	B	10,000	EDZ2 82/86/88 brkn c fly	9.5	9805 area
	S	1,500	EDQ9950c	5.5	9953
	S	5,000	EDU92/95 C 1X2	15	^25% 9953
	B	500	EDZ095/96/97 c fly	4	9949
	S	500	EDU 95/96/97 c fly	4.25	9953
	B	2,000	EDH191/92/93/95 p condor	2	9941
	B	5,000	EDU0 93 calls	18	9953
	B	5,000	EDZ90/92 p spreads	2	9948
	S	5,000	EDH195 calls	8	N/A
	B	500	EDU091/92/93/95 p condor	1.5	9953
	B	20,000	EDZ9925 puts	6.5	9947.5/48
	B	500	EDU2 85/90 c spread	5	9829
	B	10,000	EDU090/92 p spread	0.75	9953
	S	1,000	EDM2 9850 strad	103.5	9851
	B	3,000	EDZ091/92/93 p fly	0.5	9948
	B	2,000	EDZ82/86/88 c fly	10	9808 area