There are some deals being
done today ahead of potentially (but don’t count on it) market moving speech
from Bernanke tomorrow. In Fed Fund options dealers were buying Dec. 9987
strikes for 1 tick. Also dealers were paying .75 (3/4 tick) for the Nov. 9987
calls. Just now paper bought 500 Jan. 9987 calls @ 1.25 – Jan futures are
trading 9983 area, as are Nov. and Dec. Against the Jan purchase traders leg into a Jan
9981/9987 c 1X2 for 1.75.
I would also keep in mind there was another 30yr. auctioned this month and the duration index looks like it went out substantially – so would look for buying in the long end during tomorrows session. For more on that one give a call if you like 01 312 432 5083.
| 8/26/2010 | |||||
| Screen this a.m.: | |||||
| edv0 9950 put trades 5.5, 1250 | |||||
| edu0 9962 put trades 2.5, 500 | |||||
| edz0 9850/9912 p/s trades 2.5, 1700 | |||||
| edz0 9900/9950 p/s trades 5.5, 1000 | |||||
| edz0 9962 call trades 6.5, 500 | |||||
| edz0 9900/9950 put 1x3 trades 1.5, 800 | |||||
| Paper | B | 1,000 | EDZ096 call | 6.5 | 9957.5 |
| Paper | B | 1,500 | EDZ1 9962.5 c | 3 | 9913 |
| Paper | S | 1,000 | EDZ092/95 p spred | 3.25 | N/A |
| Paper | S | 2,000 | EDZ97c | 1.25 | N/A |
| Paper | S | 250 | EDU95 puts | 0.5 | 9968.2/68.5 |
| These traded on screen @ .75 prior to the open about 500 times | |||||
| Locals | B/S | 3,000 | EDU092/93/95 pfly | .25 (cab) | 9968.5 |
| Paper | S | 1,500 | EDZ0 96 call | 6 | 9956.5 |
| straddles: | |||||
| edu0 9962 8.5/9.25 f=9966 | |||||
| edv0 9950 16.5/17.5 | |||||
| edx0 9950 18/19 shorts | |||||
| edZ0 9950 23.5/24.5 f=9954 EOU 9937 12.5/13.5 | |||||
| edH1 9950 29.5/30.5 f=9949 EOV 9912 20.5/21.5 | |||||
| edM1 9937 39/40 f=9941.5 EOX 9912 25.5/26 | |||||
| EOZ 9912 29.5/30.5 | |||||
| reds EOH 9900 45/46 | |||||
| edU1 9937 44.5/45.5 f 9931 EOM 9887 58.5/59.5 | |||||
| edz1 9912 60/61 f=9917 | |||||
| edH2 9900 70/71 f=9902.5 | |||||
| edM2 9887 80/81 f=9887.5 | |||||
| Paper | B | 5,000 | EDV09975c | 0.5 | 9957 |
| Screen | B/S | 5,000 | EDH190/92/95 p fly | 2 | N/A |
| Mann | B | 1,000 | EDZ090/92/95 p fly | 2 | N/A |
| CCM | B | 2,000 | EDV096/97 c spreads | 3 | 9956 |
| Paper | B | 2,000 | EDU195/96/97 c strip vs. 9926 | 14 | ^9926 54% |
| ICAP | B | 3,000 | EDV092/95 p spread | 3.75 | 9955.5 |
| Paper | B | 500 | EDV093/95/96 p ladder | even | 9954.5 |
| TY option | |||||
| Paper | B | 2,000 | TYU126.5 calls | 0.15 | ^12606.5 |
| JP Morg | S | 1,000 | TYU 126 strad | 0.39 | N/A |
| Strad settled .47 was .45 bid at open - they expire tomorrow | |||||
| Paper | B | 2,000 | TYV122.5/124 p 1X2 | .03 and .04 | 12531 to 12600 |
| JP Morg | B | 10,000 | TYU124.5 c | 1.31 | ^12531 |
| Paper | B | 3,000 | TYU 125p | 2 | N/A |
| CSFB | B | 10,000 | TYV128c | 0.13 | ^12507.5 |
| 30yr. | |||||
| BCG | B | 2,500 | USU134p | .08 and .09 | ^13413 and 15 |
| FF option | |||||
| Mann | B | 1,000 | FFZ9987 call | 1 | N/A |
| New Edge | B | 5,000 | FFX87c | 0.75 | 9983 |
| Locals will sell these @ .7 and buy Mar. 87c for 1.5 expecting EZ money into next year of course | |||||
| Paper | B | 400 | FFX81/87c 1X2 | 1.5 | 9983 |
| Dowd Wescot | S | 350 | FFX81/87 c spreads | 2.25 | 9983 |
| Trade link | B | 2,000 | FFF9962p | 0.75 | N/A |
| Paper | B | 500 | FFZ9981/9987 c1X2 | 1.5 | 9983 |
| Fortis | B | 500 | FFF81/87 c spread | 3 | 9983 |
| Mann | B | 500 | FFF87c | 1.25 | 9983 |
| 5yr. Option | |||||
| BCG | B | 4,000 | FVZ120.5/122 c spreads | 0.31 | 12025.2/25.5 |
| Ultra option | |||||
| Goldman | B | 500 | ULZ151/159 c 1X2 | 0.32 | 14424 vs. Sep |
| Calendars | |||||
| 10yr. | |||||
| Goldman | S | 1,000 | TYU/Z | 25.7 | |
| Citi | S | 10,000 | TYUZ | 26 to 26.7 | |
| Note large bidders coming in on screen forcig spread wider | |||||
| Goldman | B | 3,000 | TYU/Z | 26.7 | |
| Gelber | B | 2,000 | TYU/Z | 26.5 | |
| 2yr. | |||||
| Paper | B | 2,500 | TUU/Z | 4.5 | |
| UBS | B | 3,000 | TUU/Z | 4.5 | |
| 5yr. | |||||
| Citi | B | 12,000 | FVU/Z | 0.24 | |
| Citi | S | 2,000 | FVU/Z | 0.24 | |
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