Looks like some decent position rolling in 10’s although will have to confirm by examining open interest report tomorrow. Floor sources not at all sure about the Aug.
Sep. rolls J.P. Morgan doing but the August is over on those trades.
With Libor setting under 50 basis points 1st time for that since May 21st front month EDU contracts continue to rally. The Sep. 96 calls wich were bought last week for .75 (3/4) tick are now 2/2.5 for example. Market seems to be looking past stress tests and focused on the need for cheap money for an extended (Japanese like) period. Things could of course change and we saw major build up of defensive strategies in ED options heading into yesterdays Bernanke testimony and tomorrows stress test results – scheduled for 11:00 a.m.c.s.t. Once his text was released all that sort of activity dried up and futures started to move up vs. Sep. and Dec. Sep. call volume was over 130K with open interest declining 53K on the prelim report. By contrast Dec. puts traded over 216K yesterday with open interest up over 115K. Currently stocks look quite strong and 10’s off recent hights and MACD close to crossing signaling a chane in trend – intermediate from up to down, will depend on how we close today. Oil is quite firm and wheat is very firm so CRB looking to test June 21 highs which does not bode well for Tens at all. June 21 level in 10’s June 21 was 120’12 high and a 119’24 low, food for thought.
Larger players listed Below.
| 7/22/2010 | |||||
| screen this a.m. | |||||
| edq0 95 straddle trades 9.5/1k, 10/1k | |||||
| edq0 95p trades 3/2k | |||||
| edz0 96c trades 3/2500 | |||||
| edu0 95 straddle 12/300, 11.5/1k | |||||
| shrt aug 92/93 c/s trades 2.5/3k | |||||
| Open Outcry | |||||
| JP Drax | S | 1,000 | EDU092/93/95/96 c condor | 5.5 | 9954 area |
| Paper | S | 1,000 | EDZ9962.5 c | 3 | 9949 |
| Paper | S | 599 | EDU095/96/97 c flys | 4.5 | 9954 |
| Paper | B | 250 | EDU1 9912 strad | 60.5 | 9916 |
| Paper | B | 1,000 | EDU092/95 p 1X2 | 0.75 | 9954 |
| Paper | B | 3,000 | EDQ0/EDU0 9962 call calendar | 1.25 | 9954 |
| Paper | B | 3,000 | EDU2 77/80 p spreads | 3 | N/A |
| New Edge | B | 3,000 | EDQ96 calls | 1 | 9954 |
| Paper | S | 1,000 | EDU093/95/96 c fly | 4.5 | 9954/54.5 |
| Paper | B | 350 | EDU095 strad | 12.5 | N/A |
| Locals | B/S | 5,000 | EDZ97 calls | 0.5 | N/A |
| Paper | S | 1,500 | EDQ095 calls | 7 | 9954.5 |
| Paper | S | 2,500 | EDU92/93 p spreads | 0.75 | 9954 |
| S | |||||
| TY | |||||
| CCM | S | 500 | TYQ122.5/123/123.5/124 c condor | 19 | 12307.5/08 |
| New Edge | B | 800 | TYU123 puts | 0.51 | ^123'07 |
| Above trades were before the 7:30 data below post data sequential | ata posted sequential after releases | ||||
| RJO | B | 500 | TYQ123.5 strad | 35 | ^123'08 |
| New Edge | S | 500 | TYQ122.5/123 p spread | 0.06 | 12307.5/08 |
| CCM | S | 3,000 | TYU122/125 p 1X2's | 1.14 | 12308/09 |
| New Edge | B | 500 | TYQ/TYU 122 c calendars | 0.26 | 12308/08.5 |
| Swiss B | S | 500 | TYQ123/123.5 combo's | even | ^123'08 |
| JP Morg | B | 1,000 | TYQ121/TYU122.5 c diagnol | 0.61 | 12308/08.5 |
| JP Morg | B | 1,000 | TYQ121.5/122.5 c diagnol | 0.29 | 12308/08.5 |
| Mann | B | 2,000 | TYQ121/TYU122 c diag | .38 and .39 | 12306.5/08.5 |
| Adv. | S | 750 | TYQ123 puts | 0.09 | 12307/07.5 |
| mann | B | 1,200 | TYQ124/126 c spreads | 0.27 | 12305.5/06 |
| Mann | B | 1,000 | TYQ121.5/122 c diagnol | 0.06 | 12305/05.5 |
| New Edge | B | 500 | TYU123 strad | 1.51 | ^123'08 |
| CSFB | B | 5K X 2.5K | TYU123.5/124.5 c 1X2 buy 124.5's | 0.03 | 12305/05.5 |
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