Morning sports fans. Libor setting this morning was .475 and EDU0 was trading a whopping 7 basis points over the 9950 strike. This seemed to drive more money into further out strikes in order to cover any exposure some might still have to prices getting this far this fast. Recall we pointed out some that had bought 9937.5 calls for example and financed those buy selling extra 9950 calls when futures were much lower, were now getting squeezed a bit. A weaker than expected durable goods report combined with the ongoing “new paradigm” GDP by attrition- has things in a grand state of fucked up flux.
Longer end is managing to levitate above where it should be based on what commodities are doing. Or at least what they were doing. Oil has backed off and the CRB is now looking lame. The month end index may allow a pick up in treasury prices from current levels even though current momentum on the daily outlook remains unfavorable.
Larger flows from AM session include but not limited to the following:
| 7/28/2010 | |||||
| Screen this a.m.: | |||||
| edz0 91/92/93 p fly trades .5, 3500 | |||||
| edu0 95/96 c spread trades 7, 500 | |||||
| edu0 91/93 p spread trades 1, 1000 | |||||
| edz0 93/95 p spread trades 2.5, 750 | |||||
| shrt sep 85/87p spread 2, 1000 | |||||
| Open Outcry | |||||
| Fortis | B | 5,000 | EDQ0/EDU09962 c spred | 1.75 | 9957 |
| P | S | 2,000 | EDQ09950 calls | 8 | 9957 |
| New Edge | B | 5,000 | EDH188/91/93 p fly | 1.5 | 9943 |
| Paper | B | 1,500 | EDZ0 96/97 c spred | 3 | N/A |
| Merril | B | 15,000 | EDZ91/92/93 p flys | 0.5 | 9952 |
| RJO | B | 1,000 | EDQ09962.5 c | 1 | 9957 |
| Locals | B/S | 500 | EDH19962.5 c | 3.5 | 9943 |
| Paper | B | 500 | EOV9850p/EDV09937p | .5 for mid oct | N/A |
| New Edge | B | 10,000 | EDU09950 calls | 10 | 9957/57.5 |
| New Edge | B | 20,000 | EOU91/92/93 c fly w/ EOZ88/90/91 cfly | 5 | N/A |
| Paper | S | 2,000 | EDQ095/96 c 1X2 | 6 | 9957.5 |
| straddles: | |||||
| edQ0 9962 7/7.5 f=9957 | |||||
| edU0 9962 10.5/11 | |||||
| edV0 9950 15/16 shorts | |||||
| edZ0 9950 20/20.5 f=9951.5 EOQ 9912 13/14 | |||||
| edH1 9937 32/33 f=9942.5 EOU 9912 19.5/20.5 | |||||
| edM1 9925 43.5/44.5 f=9928.5 EOV 9887 28.5/29.5 | |||||
| EOZ 9887 38.5/39.5 | |||||
| reds EOH 9862 59.5/60.5 | |||||
| edU1 9912 58.5/59.5 f 9911 EOM 9850 73/74 | |||||
| edZ1 9887 74.5/75.5 f=9888.5 | |||||
| edH2 9862 89.5/90.5 f=9867.5 | |||||
| edM2 9850 98.5/99.5 f=9845 | |||||
| Paper | S | 500 | EDU09962.5 c | 2.75 | 9957 |
| Paper | B | 2,000 | EDZ091/93 p spred | 2.5 | 9952 |
| JP Drax | B | 5,000 | EDZ090/91/92/93 p condor | 0.75 | N/A |
| Paper | S | 250 | EOH 86 strad | 59.5 | 9868 |
| Paper | B | 250 | EDU1 9912 strad | 59 | N/A |
| New Edge | B | 5,000 | EDM193/96c 1X2 vs EDM92/95 c 1X2 | 1.5 EDM1 over | N/A |
| Paper | S | 500 | EOH87c | 24.5 | ^9868 50% |
| RJO | S | 3,000 | EDU09950 calls | 10 | 9957.5 |
| Paper | B | 1,000 | EDQ09962.5 c | 1 | N/A |
| Paper | S | 2,000 | EDQ0 9962 strad | 7.5 | 9957 |
| FV | |||||
| Paper | B | 2,500 | FVU117 put | 0.04 | 11825.2 |
| TY | |||||
| Paper | S | 500 | TYZ121.5 strads | 3.24 | 12210.5/11 |
| Mann | B | 3,000 | TYU119.5 p | 0.06 | 12211/11.5 |
| BCG | B | 2,000 | TYV 124/125 c sprea | 0.09 | 12210.5/11 |
| Goldman | B | 500 | TYU122 put | 0.36 | ^12215.5 |
| Mann | S | 500 | TYZ121p | 1.28 | 12213/14 |
| Mann | S | 500 | TYZ121p | 1.3 | 12210.5/11 |
| Paper | B | 1,200 | TYU116.5 put | 0.01 | 12213.5/14 |
| JP Morg | B | 1,000 | TYU120/121 p spread | 0.1 | 12214/15 |
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