Treasury Trading Update

Euro dollar’s remain quite firm with Sep. trading 9948.5/49 recently. The price of 9948.5 was bought to hedge against a large buyer of calls spreads vs. selling puts. Specifically a dealer bought 10K of the Sep. 95/96 call spreads vs. selling 10K of the Sep. 92 puts, they paid 1.5 ticks premium for the call spread. Floor sources indicate last week same player paid 1 and 1.25 for the same strategy.

3 month Libor rates continue to come down – this amidst a firming euro as some attention has been shifted to recent negative reports on US consumer sentiment and growth. Where ever the global spotlight chooses to shine woes will be found. I sent an article out earlier that pointed out China’s housing market should be cooling off and that their stock market has the concerned attention of it’s citizens. Counting on China to drive the world out of recession may be too optimistic. We keep looking for where the next crisis will flare up – that’s fine just keep in mind we are clearly sliding down hill anyway as we look for these pot holes so it almost doesn’t  matter how many are encountered. We are not near the bottom yet unfortunately.

Some of the larger flows in ED and 10yr. options listed below.

7/19/2010
Screen this a.m.:
edz0 92/95 p/s trades 6.5, 500
edu0 95c trades 4, 1000
edz0 91/93 p/s trades 4, 500
Open outcry
Paper	B	1,500	EOU9900 puts	8.5	^40% 9907.5
Paper	B	500	EDU0/EDZ0 95/96 c/s spred	1.25	N/A
Paper	S	1,000	EOZ87/88 strngl vs. 90c	24.5	N/A
Paper	B	500	EDQ95 c	2.75	9948
Paper	B	2,500	EDQ95 c	3	9948
Paper	S	6,000	EDZ0 9962 calls	1.75	N/A
Paper	B	500	EDU095/96c 1X2	2.75	9948
Paper	B	1,000	EOM85/87/90 c ladders	3	N/A
TY
Just showing the 1,000 lot trades fairly subdued according to floor.
New Edge	S	1,000	TYU121 puts	0.18	123'02/02.5
New Edge	S	1,000	TYQ122/123 c spreads	0.47	12304/04.5
Mann	B	1,000	TYU122.5/124 strangles	1.2	12302.5/03.5
Swiss B	B	1,000	TYZ125/127 c spred vs  see below		12309.5/10
Swiss B	S	1,500	TYU126/128 c spread	.15 Ded. Over	12309.5/10

A couple of flows to note in Fed Fund options. Dealer's are selling Nov. 9987 calls that were able to leg into them for no cost a while back. Also seeing some new buying in the Mar. 9975/9981 call 1X2 for 2.25.