Even if you normally get nauseated by looking at the cryptic list of player flows that I attach to this Blog (he wretches) do take note of the UBS trades. They could well be laying off part of some other product they are involved in so for those of you with knowledgeable contacts and suspicious natures, by all means do snoop around and feel free to report back to me any interesting findings.
Prices retreating a bit today in the long end – certainly somewhat data driven but again there has been a noticeable increase in put structures in ED options vs. calls. Call open interest has been declining last couple of session while put open interest rising, this occurring as spreads of sovereigns widening out this weak in Europe. In the immortal words of John Travolta “Ain’t it cool”.
| 9/24/2010 | |||||
| Screen this A.M.: | |||||
| edx0 93/96 put spread trades 3.75, 500 | |||||
| edv0 93/96 put spread trades 3, 2000 | |||||
| edz0 9950 put trades 4.5, 250 | |||||
| edh1 9950 put trades 10, 500 | |||||
| edv0 96 call covered 9962, 50 delta trades 2.5, 750 | |||||
| Green dec 85/87/90 call fly trades 7, 200 | |||||
| Paper | S | 250 | EDZ09962 strad | 13.5 | N/A |
| Paper | B | 500 | EDZ093/95/96 p fly | 1.25 | N/A |
| Paper | S | 2,000 | EDZ92/95c1X2 | 10 | 9927 |
| Paper | B | 1,000 | EOV88/90 p spread | 0.5 | N/A |
| Paper | B | 7,000 | EDU187/92 ps spread | 7.5 | ^9941 20% |
| Paper | B/S | 500 | EDZ29850 strad | 33.5 | N/A |
| Citi | B | 500 | EDZ92/95 p spread | 2.75 | 9961 |
| Paper | B | 1,000 | EDZ095 p | 4.5 | 9961.5 |
| New Edge | S | 15,000 | EDH3 9900c | 2 | ^9844 10% |
| New Edge | S | 15,000 | EOZ92/95 c 1X2 | 10 | ^9927.5 34% |
| Yld curve | |||||
| UBS | S | 10,000 | EDZ1/EDZ13 | 187 | |
| UBS | S | 10,000 | ED1/EDH14 | 160 | |
| UBS | S | 3,000 | EDZ1/EDU13 | 123 | |
| 10yr. Opts | |||||
| Mann | B | 2,000 | TYX126.5/127.5 c spreads | 0.16 | 12616/16.5 |
| Mann | S | 1,000 | TYV/X 125 c calendars | 0.41 | 12514/14.5 |
| Morg St | S | 2,000 | TYV 125c | 0.25 | 12511.5/12 |
| CCM | B | 1,000 | TYZ124o | ,51 | 12512/12.5 |
| SmithB | S | 2,000 | TYV125.5c | 0.06 | 12513.5/14.5 |
| CSFB | B | 5,000 | TYZ127/130c1X2 | 0.24 | ^12512 |
| Paper | B | 1,000 | TYV124/TYX125 c diagnol | .18 and .20 | 12509 to 11 |
| SmithB | B | 3,000 | TYX124/125.5 ps vs 126c | .03 ps over | 12508.5/09 |
| SmithB | B | 4,000 | TYX124/125.5 ps vs 126c | 0.08 | 12507.5/08 |
| 5yr. Options | |||||
| RJO | S | 2,000 | FVX121c | 0.13 | 12015 |
| Same player seller of of about 20K so far this week all new position. | |||||
| CSFB | B | 10,000 | FVZ121.5c | 0.17 | ^12012 |
| Fed Fund Opt | |||||
| Paper | B | 500 | FFJ9975/FFK9962 p diag K over | 0.25 | N/A |
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