.
Fairly impressive rally off the unemployment report came in weaker than expected. Combine the July figures with downward revisions to the prior months and these levels almost seem justified. It was not until after the data that the option pits started to see some flow.
Currently 10:14 a.m.c.s.t. 10’s are pressing session high’s with some straddle buying coming in vs. the Sep. options. Gold currently up and Equities on their lows. Looks to be a grab for some quality as expectations of some kind of further q.e . looking necessary. Employment figures were weaker than expected and with large amounts of people dropping out of the work force the decline in the rate to 9.5 is very misleading.
Scanning the charts shows the dollar off sharply against all major currencies. Grain charts are showing large swings with potential for key reversals taking shape depending how the rest of the day plays out.
So for the moment the equity market’s look weak and the administration will be expected to take action. Bill Gross postured rates will remain low for 2-3 more years.
Larger flows from the a.m. session posted below.
| 8/6/2010 | |||||
| Screen This a.m.: | |||||
| shrt sep 87/90 p/s tardes 2.5, 1000 | |||||
| shrt aug 88/90/91 p-tree trades 1.5, 2500 | |||||
| shrt sep 90p trades 4.5, 1000 | |||||
| edu0 96c trades 2.75, 250 | |||||
| shrt aug 91p trades 3, 2500 | |||||
| Open outcry | |||||
| New Edge | S | 1,500 | EDU09962.5 Strads | 8.5 | 9959 |
| Paper | B | 10,000 | EDU285/86/87 c flys | 2.5 | 9854 |
| Paper | B | 2,500 | EOU87/88/90 p flys | 0.5 | 2,500 |
| Paper | S | 3,000 | EDU9962 strads | 7.5 | N/A |
| New Edge | S | 500 | EOU 9925 Strad | 19 | 9929 |
| Paper | B | 1,000 | EDU2 86/87 c spreads | 5 | 9854 |
| Paper | B | 1,000 | EDU9937 put | 1 | 9960.5 |
| New Edge | B | 10,000 | EDU9950 calls | 12.5 | 9960.5 |
| Fuji | B | 500 | EDU2 85/87 c 2X3 | 19 | N/A |
| Paper | S | 500 | EDM1 90/96 strangle | 15 | 9941 |
| Paper | S | 1,000 | EDH190/96 strangle | 0.12 | 9950/50.5 |
| Paper | S | 1,000 | EDH1 9950 strad | 27 | 9950/50.5 |
| straddles: | |||||
| edQ0 9962 4/5 f=9960.5 | |||||
| edU0 9962 7/7.5 | |||||
| edV0 9962 11.5/12.5 shorts | |||||
| edZ0 9962 16/17 f=9956 EOQ 9925 9/10 | |||||
| edH1 9950 26.5/27.5 f=9950 EOU 9925 17.5/18.5 | |||||
| edM1 9937 37.5/38.5 f=9941 EOV 9912 24/25 | |||||
| EOZ 9912 33.5/34.5 | |||||
| reds EOH 9887 53/54 5 | |||||
| edU1 9925 51/51.5 f 9927 EOM 9875 66.5/67.5 | |||||
| edZ1 9912 62.5/63.5 f=9908 | |||||
| edH2 9887 78/79 f=9890 | |||||
| edM2 9875 87.5/88.5 f=9871 | |||||
| RJO | S | 2,000 | EOQ9925p | 3.5 | 9926 |
| Paper | B | 1,000 | EDZ090/93 p 1X2 | .5 (90's over) | 9956 |
| Paper | S | 2,000 | EDU09962.5 Strads | 7.5 | N/A |
| Paper | B | 1,000 | EDV095/96/97 c fy | 5.5 | 9955.5 |
| TY | |||||
| Paper | B | 500 | TYU123/125 combo's | 0.06 | 12326/27 |
| This was before the data of course | |||||
| Paper | S | 2,000 | TYU 124 calls | .55 to .58 | 12408 - 13 |
| Merril | B | 5,000 | TYZ117/126 combos 2 puts | 0.15 | ^12318 |
| Merril | S | 2,500 | TYZ117/126 combos 2 puts | 0.15 | ^12318 |
| Mann | S | 1,000 | TYU124/125 c spread | 0.3 | 12412.5/13 |
| CSFB | B | 1,000 | TYU112.5 puts | 0.07 | 12414/14.5 |
| New Edge | B | 500 | TYZ 123.5 c | 1.47 | 12414/15 |
| Smith B | S | 500 | TYU122 p | 0.04 | 12413/13.5 |
| Smith B | S | 1,000 | TYV123.5 strad | 2.16 to 2.14 | 12412.5/13 |
| Paper | S | 3,000 | TYU122.5/123.5 c spreads | 0.51 | 12410.5/11 |
| Paper | B | 5,000 | TYU123.5/124 cs v.s TYU122.5p | .14 c sprd over | ^12422. |
| New Edge | B | 1,500 | TYU119.5/121/122.5 1X4X1 pfly | 19 | 12414/15 |
| Foris | B | 1,000 | TYV120.5/122 p spread | 19 | 12414.5/15 |
| Paper | B | 1,000 | TYV125/125.5 c spread | 0.09 | 12413/13.5 |
| Merril | B | 1,000 | TYU124/124.5 strangles | 1.08 | 12413/13.5 |
| Paper | B | 4,000 | TYU122.5/124 c spread | 1.08 | 12410.5/11 |
| Paper | B | 1,000 | TYY120/TYU122 p diag | 0.06 | 124'17 |
| CSFB | B | 2,000 | TYU125c | 0.32 | ^12319 |
| Paper | B | 1,000 | TYU124.5 strads | 1.20 and 1.21 | 12418/19 |
| Paper | B | 500 | TYZ123.5 calls | 1.51 | 12419/19.5 |
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