Some decent put buying from UBS in 10yr. note option this a.m.. Again the manner in which they buy – they buy large amounts and do not seem all that concerned about price – tells me it is likely the same customer that is long quite a few call spreads vs. the Oct. and Dec. expiry. On the cash side analysts point out some flattening trades may have been stopped out and some “rate locks” – which is another way to say hedges were placed as we approach a 3yr. 10yr. 30yr. auction schedule this week Tomorrow afternoon also brings a statement from the FOMC with the potential for new ideas in the realm of quantitative easing to be expounded. However, and this is key – what if they do not – take any action, we may be pricing too much in. Call for more 01 312 432 5083.
Below are larger flows from this a.m.'s session.
| 8/9/2010 | |||||
| Open Outcry | |||||
| Paper | B | 750 | EDU2 85/86/87 c flys | 2.5 | 9851 |
| Paper | B | 2,000 | EDZ1 77/91 squash | 19.5 call over | 9907.5 |
| RJO | B | 7,500 | EOZ87/90/92 c fly | 4 | 9907 |
| New Edge | B | 5,000 | EDU0 95 calls | 12.5 | 9960.5/61 |
| Paper | B | 500 | EDM 2 85/90/95 c fly | 9 | 9869 |
| Paper | S | 7,000 | EOU 9925 Strad | 12.5 | N/A |
| Paper | B | 10,000 | EDU0 96 calls | 2.75 | 9960.5 |
| Paper | S | 1,000 | EDH1/EDZ1 96 c spread | 3 | N/A |
| JP Drax | B | 500 | EDZ2 85/87/90 c fly | 5 to 5.5 | 9830 |
| Paper | S | ||||
| straddles: | |||||
| edQ0 9962 3.5/4 f=9960.5 | |||||
| edU0 9962 7/7.5 | |||||
| edV0 9950 15/16 shorts | |||||
| edZ0 9950 20/21 f=9956 EOQ 9925 8/9 | |||||
| edH1 9950 26/27 f=9949 EOU 9925 17/18 | |||||
| edM1 9937 37/38 f=9939 EOV 9900 26.5/27.5 | |||||
| EOZ 9900 37.5/38.5 | |||||
| reds EOH 9887 52/53 | |||||
| edU1 9925 50.5/51.5 f 9925 EOM 9862 70/71 | |||||
| edZ1 9900 66.5/67.5 f=9906 | |||||
| edH2 9887 77/78 f=9888 | |||||
| edM2 9862 90/91 f=9869 | |||||
| Paper | B | 1,500 | EOZ 93/95/96 c fly | 1.5 | 9903.5/04 |
| TJM | S | 5,000 | EDU9950p | 1.75 | 9960.5/61 |
| Paper | B | 500 | EDM1 9937 strads | 38 | 9936.5/37 |
| US | |||||
| Bache | B | 3,000 | USU126 put | 17 | 129'10/11 |
| TY | |||||
| Paper | B | 2,000 | TYU121.5/122/123 brkn p fly | 0.05 | N/A |
| Paper | B | 1,000 | TYU124/124.5 c spread | 0.19 | ^12421.5 |
| Paper | B | 2,500 | TYU125 calls | 0.33 | 12421/21.5 |
| Paper | B | 1 X 4 X 2 | TYV120/121.5/123 p fly 1K on the l leg | 0.22 | 12416.5 area |
| UBS | B | 4,000 | TYU 123/124 p stupid | 0.38 | 12416.5 area |
| UBS | B | 4,000 | TYU 123/124 p stupid | .39 and .40 | 12416 to 17 |
| New Edge | B | 1,000 | TYV127.5/129.5 c spread | 0.07 | 12419/19.5 |
| Locals | B/S | 1,000 | TYU123/123.5/124c fly | 0.03 | 12418.5/19 |
| Smith B | B | 2,000 | TYU122 put | 0.04 | 12418.5/19 |
| FV | |||||
| Paper | S | 1,000 | FVV 120 c | 0.29 | 120'09.2 |
| Paper | B | 5,000 | FVX 121 c | 0.19 | 120'08.7/09 |
| 1.5 K bought on screen and 2.5K bought in pit. | |||||
| Paper | S | 1,500 | FVV 120 c | 28.5 | 120'08/08.2 |
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