Fairly active session today with someone sporting a keen interest to own March OTM calls vs. the Mar. contract. Note the players list below they were buying on screen before the floor open then New Edge was buying some in the money calls vs. March.
Long end opened weaker, however those losses were quickly reversed on weaker than expected economic data – 1st the jobless claims were higher than expected and then the Philly fed number was quite a bit weaker an hour and a half later so the momentum continued and prices got back to the 12600 level and yields fell to 2.57%. Last I checked a 2.50% yield comes in around 12704 area. One other plus on the day was the Fed buying 3.609 bln in treasuries in the 6 to 10 yr. sector.
Currently equities looking weak trading 1071.75 vs. the S&P recent from Monday @ 1066 is very much in range then you have to go back to July 22nd to see the next low on the charts which comes in 1061 area. As equities go so do treasury yields, so keep an eye on that 2.50% area especially if stocks slump below those July levels.
Larger flows from a.m. session listed below:
| 6/19/2010 | |||||
| Screen this a.m.: | |||||
| edh1 9962 call trades 6, 20,000 | |||||
| edh1 9925 call trades 36 to 37, 10,000 | |||||
| edh1 92/95 p/s trades 4, 3000 | |||||
| edu0 9950 put trades 1, 500 | |||||
| New Edge | B | 5,000 | EDH9925 c | 0.37 | N/A |
| New Edge | B | 5,000 | EDH92/96 c 1X2 | 24.5 | N/A |
| Mann | B | 5,000 | EOH88p | see below | N/A |
| Mann | S | 5,000 | EOZ91 p | 6.5 H over | N/A |
| Paper | B | 500 | EOU92 strads | 0.13 | N/A |
| Paper | B | 1,000 | EDH1 9700/9800/9900 p fly | 3 | 9954 |
| JP Morg | B | 5,000 | EDZ92/95 p spread | 2.5 | 9960 |
| Paper | B | 1,000 | EDU1 96/97/98 c fly | 4.5 | 9930 |
| TJM | B | 10,000 | EOU87/90/92 p fly | 2.5 | 9930 |
| Paper | S | 1,500 | EDU2 85/87 c spread | 12.5 | 9931.5 |
| UBS | S | 10,000 | EDU0 9962 p | 2.25 | 9965.5 |
| UBS | S | 5,000 | EDU0 9962 p | 2 | 9965.7 |
| Finex | S | 5,000 | EDZ091/92/95 p fly | 1.75 | N/A |
| Paper | B | 1,000 | EDZ09862 p | 1.5 | 9960.5 |
| Paper | S | 1,000 | EDU286/87 c spread | 5 | 9861 |
| TJM | B | 5,000 | EDZ097/98 c spread | 1.25 | 9960 |
| Paper | S | 20,000 | EDU0 9962 p | 2.5 to 2 | N/A |
| Paper | B | 1,000 | EDM2 87 strads | 83 | 9878.5 |
| RBS | B | 2,500 | EDZ 86/88/91 c flys | 4.5 | 9842 |
| Locals | B/S | 5,000 | EDZ2 83/86/88 c fly | 5.5 | 9861 |
| Paper | S | 1,000 | EOZ 9950 c | 0.5 | 9914 |
| Paper | S | 1,000 | EOZ95 c | 0.5 | 9914 |
| New Edge | B | 8,000 | EOH 91/93 c1X2 | 9 | |
| New Edge | S | 8,000 | EDZ2 83/86/88 c fly | 5.5 | |
| Rolling a position paid 2.5 on this roll same as one above | |||||
| JB Drax | S | 10,000 | EDU0 9937p | 0.5 | 9965.75 |
| JB Drax | B | 6,000 | EDU286/87/88 c fly | 2.5 | 9861/61.5 |
| Re the roll up package above payin 3 now on 10K more. | |||||
| TY | |||||
| Paper | B | 5,000 | TYV122.5 p | .22 and .23 | 12511.5/12 |
| Smith | B | 1,000 | TYV122.5 p | ||
| New edge | S | 3,000 | TYV126.5 c | 0.21 | ^124'21 |
| Merril | S | 2,000 | TYU124.5 p | 0.05 | 125'26/27 |
| Paper | B | 3,000 | TYZ118/120 p 2X3 | 3 | 12600.5 |
| FF | |||||
| Mann | B | 1,000 | FFZ9975 put | 1 | N/A |
| New Edge | S | 2,000 | FFU81/87 c spreads | 1.5 | N/A |
| Paper | B | 1,000 | FFH/X 87 c calendar | 0.5 | N/A |
| Mann | B | 1,000 | FFZ9975p | 1 | ^9983 5% |
| New Edge | S | 2,000 | FFX81/87 c spred | 2.25 | N/A |
| Calendars | |||||
| TY | |||||
| Smith B | B | 1,000 | TYU/Z | 28.7 | |
you missed a big trade...buy of 9000 Z Ultra long futures as a block...that's what pushed the backend up
http://www.cmegroup.com/tools-information/blocktrades.html
Posted by: ED | 08/19/2010 at 01:22 PM
i think that the edh1 9962 calls were sold in large size as the close in that option yesterday ws 6.75 and futures were unchanged to slightly higher when the large seller drove price down to 6. we believe that player to be long 100k of those calls.
Posted by: Gcavaligos | 08/19/2010 at 01:44 PM
I will bet you are right thanks for your insights.
Posted by: Tom Pantelis | 08/19/2010 at 02:03 PM