Bernanke spoke today and seemed upbeat about the consumer being able to step up and start spending again. This notion mixed in with some talk of “end game” strategies seemed to pressure the long end a bit but after some questions and answers failed to bring much new to the table the market seemed to drift back up. The ISM figures just prior to the speech were a bit firmer than expected so no doubt those were a bit of a fact too.
Chart below shows the CRB index is rallying sharply.
In terms of flows seeing more short covering and buying of further out call structures and outrights vs. Sep. and Dec. ED as the futures continue to press higher. Session in the 10yr. options fairly muted as the large liquidations in the Sep. 123/125 call spread depressed vol. last week. That and the month end related bid has run it’s course and prices pulling back a bit.
| 8/2/2010 | |||||
| Screen this a.m.: | |||||
| edz0 9962 call trades 5, 1k | |||||
| edz0 9975 straddle vs. edv0 9900 put trades 18.5, 1k | |||||
| shrt eoz1 9825 put trades 4.5, 500 | |||||
| shrt eoq1 9925 call trades 5, 500 | |||||
| shrt eoq1 9975 call trades cab. 1k | |||||
| Open outcry | |||||
| RJO | S | 500 | EOU9925 strad | 19.5 | 9921.5 |
| Locals | B/S | 5,000 | EOQ90/91 p spread | 2 | 9922 |
| New Edge | B/S | 5,000 | EDZ09962.5 calls | 5.5 | 9956 |
| RJO | B | 500 | EDU096/97 cspreads | 3 | 9959.5 |
| New Edge | S | 2,000 | EDH2 92/95 c 1X2 | 6.5 | 9882 |
| New Edge | B | 2,000 | EDH293/96 c 1X2 | 6.5 | 9882 |
| Above trade was a position Roll according to floor sources | |||||
| New Edge | B | 5,000 | EOU88/91 c 1X2 vs. EOU90/92 c1X2 | 6 | N/A |
| Paper | S | 1,000 | EDZ)9962.5 strad vs 93/95 p sprea | 15 | 9956 |
| Paper | B | 500 | EDU0/EDZ096 strad. Spred | 7.5 | N/A |
| BCG | B | 10,000 | EDH195/96 c1X2 | 3 | 9948 |
| New Edge | B | 5,000 | EDU 9950 calls | 12 | 9959.5 |
| Note good buying in this strike Friday as well ond O.I. | ay and O.I. declined 30K | ||||
| Locals | B/S | 200 | EDV096 strad | 14.5 | 9956 |
| Locals | B/S | 2,000 | EDM186/88/91 p fly | 1 | 9937 |
| New Edge | B | 500 | EOZ93/95 cspread | 1.5 | 9900 |
| Paper | B | 1,000 | EDU09950 put | 2.5 | ^9960 26% |
| Paper | B | 500 | EDM9937 strad | 39.5 | 9938 |
| TJM | B | 2,500 | EOQ87/90 p1X2 | 1 | 9923 |
| straddles: | |||||
| edQ0 9962 6/6.5 f=9960 | |||||
| edU0 9962 9.5/10 | |||||
| edV0 9962 14/14.5 shorts | |||||
| edZ0 9962 17/18 f=9956.5 EOQ 9925 12.5/13.5 | |||||
| edH1 9950 27.5/28.5 f=9950 EOU 9925 19/20 | |||||
| edM1 9993 39/40 f=9939 EOV 9900 27/28 | |||||
| EOZ 9900 36.5/37.5 | |||||
| reds EOH 9887 53.5/54.5 | |||||
| edU1 9925 53.5/54.5 f 9923 EOM 9886 70.5/71.5 | |||||
| edZ1 9900 71.5/72.5 f=9902.5 | |||||
| edH2 9887 82.5/83.5 f=9882.5 | |||||
| edM2 9862 95.5/96.5 f=9862.5 | |||||
| TJM | B | 5,000 | EDZ91/92/95 p fly | 2.5 | 9957/57.5 |
| Paper | S | 500 | EDU095/96 c 1X2 | 5 | 9960 |
| New Edge | B | 10,000 | EDZ9962 c | 6.5 | 9957 |
| Paper | B | 5,000 | EOZ88/91 c 1X2 vs. EOU 88/91 c 1x2 | 10.5 | N/A |
| TY | |||||
| Merril | B | 1,000 | TYZ116/121 p 1X3 | 0.28 | ^12223 |
| Merril | S | 500 | TYZ122.5 strad | 3.28 | 123'19 |
| CCM | S | 500 | TYZ121.5 strad | 3.33 | 123'19 |
| Paper | B | 2,000 | TYU126/126.5 c spreads | 3 | 12319 area |
| Paper | S | 1,000 | TYU123.5/125 c spreads | 0.32 | 12318/18.5 |
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