Ok now I’m convinced were on to something with these exotic Dual option notes. See chart below – back in 08 the swap curve went negative and the reason was special hedging needs of the exotic desks drove what are essentially slightly riskier bank lending rates below the “risk free” treasury rates. This looks to be triggered initially in the currency markets and seems to coincide with very strong rallies in fixed income futures. Of course there are other things driving markets but when you stop to think that the notional value of the swap contracts probably out number the actual amount of underlying securities - well once again you’ve got these swap jocks running rough shod all over perdition.
Take a look.
Below is a quick peak at recent activity in Oct. 10yr. options: Note activity is 30yr. sector has been quite brisk but for brevity’s sake just showing the Oct. portion of the report. Dec. and Nov options are quite active as well.
Larger flows from this a.m.'s session include but not limited to the following:
| 9/17/2019 | |||||
| Screen this A.m.: | |||||
| edz0 96 call trades 5.5, 1000 | |||||
| shrt nov 92c trades 6.5, 250 | |||||
| shrt oct 91c trades 9.5, 2k | |||||
| shrt oct 92c trades 3.5, 250 | |||||
| Paper | B | 2,000 | EDH197/98 c 1X2 | 0.5 | 9951.5/52 area |
| JP Morg | B | 500 | EDZ96/97c1X2 | 3.75 | N/A |
| Locals | B/S | 5,000 | EDZ093/95 p spread | 2 | 9958 |
| New Edge | B | 5,000 | EOZ88/90 p spread | 2.5 | 9919 |
| Fortis | S | 2,000 | EDM9900 p | 10 | 9944.5 |
| Merril | B | 2,000 | EDV93/95 p spread | 1.25 | N/A |
| Paper | S | 1,000 | EOZ92/93 c stupid | 0.13 | 9919 |
| Paper | B | 1,000 | EDV9950 p | 2 and 2.25 | 9957.5 to 58.5 |
| FFOptions | |||||
| RJO | B | 500 | FFH9993c | 0.25 | 9980.5 |
| 10yr. Opts | |||||
| Paper | B | 1,000 | TYZ125.5/127 c spread | 0.29 | 12410/10.5 |
| Mann | S | 500 | TYX124.5 strad | 2.13 | 12410.5/11 |
| JP Morg | S | 500 | TYX122p | 0.22 | ^12405 |
| RJO | S | 1,000 | TYX124 strad | 2.11 | ^12404 |
| Paper | B | 1,000 | TYZ125.5 c spreads | 0.27 | 12404/04.5 |
| Paper | B | 700 | TYV126.5/127.5 s spreads | 0.02 | 12401.5/02 |
| Screen | S | 13,000 | TYX126.5 calls | .05 and .04 | N/A |
| Continued liquidation of 200K position in 126.5/127.5 c spread | |||||
| Mann | S | 500 | TYV125c | 0.15 | 12402.5/03 |
| Paper | S | 1,000 | TYV123.5p | 0.2 | ^12402 |
| 5yr. Opts | |||||
| Paper | B | 1,000 | FVV119/119.5 p spread | 0.07 | 11929.7 area |
| CSFB | B | 10,000 | FVV121 c | .03 and .04 | up to 11931.5 |
| 30yr. Opts | |||||
| JP Morg | B | 3,000 | USX 136/139 c spreads | 0.25 | 13024/26 |
| BCG | B | 10,000 | USV134c | 0.15 | 13014 to 12 |
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