Some interesting – and likely sober thoughts from a long time Fed watcher points out that the extreme read on the FOMC minutes – basically that the next qe round is imminent and will be “triggered” by some yet fully articulated inflation level, was an incorrect take away by the market. Basically he says the Nov 2 and 3 meeting will be much more enlightening after the Fed does it’s homework and revamps it’s economic forecasts.
I was a bit impressed by some of the Put spread buying in ED options see players below. It seemed as though funds out of Europe were looking at various put strategies.
On the other side of the pond dealers paid up for 9981/9987 call 1X2’s – the last few sessions they were bidding 1.5 and today as list below shows they paid 1.75 as futures have firmed a bit.
Longer end of the curve still excited about imminent Fed purchases coinciding with month end duration extensions so we are still seeing good interest in October OTM call structures again see players below.
| 9/23/2010 | |||||
| Screen this A.M.: | |||||
| edz0 95 put trades 4, 250 | |||||
| edzo 90/93 put spread trades 1.5, 350 | |||||
| edz0 92/95 put spread trades 2.25, 1k | |||||
| edh1 88/93 put spread trades 3.75, 4500 | |||||
| edz1 83/88 put spread trades 6.5, 200 | |||||
| short dec 88/90 put spread trades 1, 300 | |||||
| short oct 92c trades 7, 1000 | |||||
| short oct 93 call trades 1.5, 1k | |||||
| Paper | S | 2,000 | EDZ90/95p spread | 3 | 9962/62.5 |
| JB Drax | B | 2,500 | EDZ285/87/90 c tree | see below | |
| JB Drax | S | 2,500 | EDZ2 83/86/88 c traee | .5 - 85 over | N/A |
| Paper | B | 500 | tommi Oct. 9925p exp tomorrow | 0.5 | 29 |
| Paper | B | 1,000 | EDZ91/92 p spread | 0.5 | 9962/62.5 |
| Paper | S | 5,000 | EDU1 9950c | 14 vs see below | |
| Paper | B | 2,500 | EDH95/96 c sprea | 10 | N/A |
| ICAP | B | 1,500 | EDV0/EDZ0 92/95 p/s spread | 1.75 | N/A |
| New Edge | B | 5,000 | EDH1 95/96 c spread | 10 | |
| New Edge | S | 10,000 | EDU19950c | 0.14 | ^9941.5 39% |
| New Edge | B | 10,000 | EDH1 95/96 c spread | 10 | 9940 area |
| JP Morg | B | 2,500 | EDH187/92 p spreads | 3.25 | 9956 |
| Paper | B | 500 | EDM1/EDM2 97 c strip | 6 | N/A |
| New Edge | B | 1,000 | shrt pack 9937 c strip | 17 | N/A |
| Paper | B | 1,000 | EDZ190/91/93 p fly | 4.5 | 9929 |
| Paper | B | 5,000 | EDU88/91 p apread | 3.5 | ^9941.5 |
| Paper | B | 400 | EDU92/96 strangle | 21.5 | 9940.5/41 |
| Advantage | B | 30,000 | EDZ92/95 p spread | 2.5 | 9962/62.5 |
| Locals | B/S | 500 | EDU2 9875 strad | 90 | 9881 |
| Locals | S | 2,000 | EDH1 90/96 strangle | 9.5 | 9956/56.5 |
| Paper | B/S | 1,000 | EDV0 9962 strad | 6 | N/A |
| straddles: | |||||
| edv0 9962 5.5/6 f=9962 | |||||
| edx0 9962 9.5/10.5 | |||||
| edz0 9962 13/14 shorts | |||||
| edh1 9962 18/19 f=9956 | |||||
| edm1 9950 29.5/30.5 f=9949 EOV 9925 10/11 | |||||
| edu1 9937 41/42 f=9940.5 EOX 9925 16/17 | |||||
| EOZ 9925 19.5/20.5 | |||||
| reds EOH 9912 35/36 | |||||
| edz1 9925 51.5/52.5 f 9928 EOM 9900 49.5/50.5 | |||||
| edh2 9912 63.5/64.5 f=9913.5 EOU 9887 62.5/63.5 | |||||
| edm2 9900 74/75 f=9897.5 | |||||
| edu2 9887 85.5/86.5 f=9881.5 | |||||
| edm2 9900 74/75 f=9897.5 | |||||
| edu2 9887 85.5/86.5 f=9881.5 | |||||
| Fed Fund opts | |||||
| Mann | B | 1,000 | FFN9981/9987 c 1X2 | 1.75 | 9977/77.5 |
| Mann | B | 1,000 | FFQ81/87c1X2 | 1.75 | 9974.5/75 |
| Mann | B | 2,000 | FFU81/87c1X2 | 1.75 | 9972.5/73 |
| 30yr. Opts | |||||
| Greenwich | B | 4,000 | USV134/135 c sprea | 0.12 | 13309/10 |
| JP Morg | S | 1,000 | USV132c | 1.2 | 13308 |
| JP Morg | B | 4,000 | USX134/136/138 c fly | 0.18 | 13308 |
| 10yr. Opts | |||||
| New Edge | B | 1,000 | TYZ122/123 p spreads | 0.11 | 12528/29 |
| TJM | S | 1,119 | TYX127.5c | .20 vs. see below | 12526 to 30 |
| TJM | B | 625 | USX 137c | 0.38 | |
| Paper | B | 5,000 | TYZ127.5c | 0.01 | 12531.5 area |
| RJO | B | 5,000 | TYZ129/130 c spreads | 0.1 | 12529/30 |
| RJO | B | 2,000 | TYZ129/130 c spreads | 0.09 | 12523/23.5 |
| Some Bearish trades come in w/ prices ticking down see below | |||||
| Morg St | B | 1,000 | TYV125p | 0.01 | 12524/24.5 |
| Paper | B | 500 | TYV125.5p | 0.06 | 12523.5/24 |
| Mann | B | 1,000 | TYV127c | 0.01 | 12325.5/26 |
| Paper | B | 500 | TYV124.5/125.5/126.5 c fly | 0.38 | 12524.5/25 |
| CSFB | S | 1,000 | TYV126c | 0.13 | 12529.5/30 |
| Smith B | B | 500 | TYV125/125.5 s spread | 0.27 | 12529/29.5 |
| 5yr. Opts | |||||
| Paper | S | 1,000 | FVX121c | 0.19 | ^12021 |
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