From the get go today, what was somewhat advertised as a potential party – mega refi wave triggered by some treasury/political confab turned out to be a bit mundane. Equity prices seemed to perform well and treasury prices which were lower in the Asian session have remained lower through out the day. Volatility at this writing has waned as is typical when you front load heading into a potential event. Did see some flatteners put on as you will see below. Just spoke with the bloke that filled them and he estimates the trades are not working. But he plans on keeping his commissions any way – do you believe that shit? You don’t ? Well you should.
| 8/17/2010 | |||||
| Screen this a.m.: | |||||
| edv0 90/92 p/s trades 1, 250 | |||||
| edu0 96 put trades 3.5/500, 3.75/1000, 4/500 | |||||
| edu0 95 put trades 1.5, 600 | |||||
| edz0 90/92 p/s trades 1.5, 2000 | |||||
| edu0 95/96 p/s trades 2, 1000 | |||||
| edu0 96 call trades 4.5/500, 5/500 | |||||
| edv0 95 put vs. 9954 trades 6/500 d=.42 | |||||
| edu0 96 put vs. 9962.25 trades 4/500 d=.48 | |||||
| Paper | S | 2,000 | EDU095/96 c 1X2 | 6 | 9962.75 |
| Locals | B/S | 1,500 | EDU095/96/97 c fly | 6 | 9963.75 |
| Mann | B | 2,000 | EDU0 96/97 c spreads | 4.75 | 9964 |
| Mann | B | 3,000 | EDU0 96/97 c spreads | 5 | 9964.25 |
| Merril | S | 2,500 | EDH1 90/95/97 c flys | 29.5 | 9950/50.5 |
| red straddles: | |||||
| edu1 9925 =49/50 f=9926 | |||||
| edz1 9912 =59.5/60.5 f=9907.5 | |||||
| edh2 9887 =75/76 f=9890.5 | |||||
| edm2 9875 =84.5/85.5 f=9872 | |||||
| Paper | B | 3,500 | EDV093 puts | 3.25 | 9958 |
| Paper | B | 500 | EDU0 96 strad | 8.5 | 9964.25 |
| Fortis | B | 1,000 | EDM1 96 call | 5 | 9941 |
| Locals | B/S | 250 | EDV0/EDZ0 96 strad spread | 4.25 | N/A |
| FF | |||||
| New Edge | B | 3,000 | FFU9981.25 call | 1.75 | 9982.5 |
| Paper | B | 900 | FFX/G 9987.5 c calendars | 0.5 | 82 and 80.5 |
| Yield Curve | |||||
| TOOL | |||||
| Goldman | S | 470 | TYU | 12529 | |
| Goldman | B | 160 | ULU | 14118 | |
| NOB | |||||
| Gelber | S | 401 | TYU | 12526.5 | |
| Gelber | B | 580 | USU | 13317 | |
| executing at a .69 ratio 100/145 | |||||
| Goldman | S | 1,500 | TYU | 12529 | |
| G | B | 1,000 | USU | 13316 | |
| Calendar | |||||
| 5yr. | |||||
| Barclays | S | 700 | FVU/Z | 25.2 | |
| Barclays | S | 500 | FVUZ | 25.2 | |
| FV | |||||
| Paper | S | 2,000 | FVZ117/118 p spread | 8.5 | 12019/19.2 |
| Paper | B | 800 | FVV 119/121.5 combo | .13 put over | ^11925 |
| TU | |||||
| Paper | B | 400 | TUZ 108.7/109 p spread | 10920.2/20.5 | |
| TY | |||||
| Paper | B | 1,000 | TYU124/125.5 c spread | 1.12 | 12524 |
| JP Morg | B | 1,000 | TYU125 p | 0.13 | 12524.5/25 |
| Morg. St | S | 500 | TYV127.5 c | 0.14 | N/A |
| Paper | B | 3,000 | TYV125.5/128 c 1X2 | 0.3 | ^125'28 |
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