Treasury Trading Update

Volatility up in 10yr. options. Take a look at the large Nov. call fly trades for 6 ticks on Friday with Dec. futures about a point higher. Today trades for 6 ticks, and as noted futures much lower after the stronger than expected ISM data.

Earlier in the day some of the bid was coming out of treasuries as China announced plans to support and perhaps increase investments in Western Europe. The Euro currency was well bid on this rhetoric. However let’s keep in mind we are all in this together and China will continue to invest here with equal verve I assure you – after all they have been doing our laundry for years and what better way to truly get to know another culture.

Larger flows from this a.m. listed below:

9/1/2010
Screen this a.m.:
edv0 9962 call trades  3.75, 200
edz0 9950 call trades 16, 1000
edz0 9962/9975 call spread trades 5.5, 1500
edz0 96/97 call spd covered 9958, 28 delta, trades 5.5/8500
shrt sep 9925 put trades 2.5, 500
New Edge	S	5,000	EDV92/95 p stupids vs. see below		N/A
New Edge	B	5,000	EDX 96 call	even	N/A
New Edge	S	15,000	EOZ90/92 c1X2	2.5 vs. see below	N/A
New Edge	B	15,000	EDZ286/88 c1X2	see above	N/A
Paper	S	1,000	EDZ092 put	4.25	9958
Paper	S	500	EDH19950 strad	28.5	9952
Paper	B/S	2,000	EOZ93c	4	^9917.5
Paper	S	500	EOH87/88/90/91 c condor	1.5	N/A
Paper	S	1,000	EDM1 88/91/93 p fly	1.5	9944
Goldman	B	5,000	EDZ095 put	8	9958
JB Drax	S	1,500	EDU09962 c	6.75	9968.75
straddles:
edu0 9962 7.5/8     f=9968.5
edv0 9962 10.5/11.5 f=9958
edx0 9962 14/15                         shorts
edZ0 9962 17/18                        EOU 9937  9/10
edH1 9950 28/29      f=9952            EOV 9912  20/21
edM1 9937 39/40      f=9944            EOX 9912  25.5/26.5
EOZ 9912  29.5/30.5
reds                                      EOH 9900  44.5/45.5
edU1 9937  43.5/44.5  f 9932            EOM 9887  58/59
edz1 9912  58.5/59.5   f=9917
edH2 9900  69/70       f=9900.5
edM2 9887  79/80       f=9882.5
TY Options
Paper	B	2,500	TYV124.5 put	0.45	^12504.5
Paper	S	1,000	TYV125.5 call	0.56	^12510
Paper	B	500	TYV123.5/124.5 p spread	0.18	12509/09.5
Greemwich	B	3,000	TYV122/123/124 p tree	0.06	12505 area
Paper	B	500	TYV124 put	0.34	12504/04.5
ISM data released and stronger data forces long rates higher futures head lower
Paper	B	500	TYZ124.5 straddles	3.3	12419/19.5
XFA	B	20,000	TYX128/129/129.5 c flys	6	12420
They bought 20K on Friday the		day the 27th same price with futs		12519/21 area
JP Morg	S	2,000	TYV 124.5p	58	^12420.5
Smith B	B	3,000	TYZ131c	0.1	^12421.5
Paper	B	1,500	TYZ124.5 straddles	3.31	^12420
New Edge	S	1,000	TYV122.5/124 p1X2	0.08	12414/14.5
New Edge	B	2,000	TYV126.5 c	0.19	12416/16.5
BCG	B	1,000	TYZ127/128 c spreads	0.17	12418/18.5
30yr. Options
JP Morg	B	4,000	USV134/136/138 c fly	0.19	13330
Paper	B	300	USZ134 straddles	7.29	13400
5yr. Options
CSFB	S	6,000	FVZ119/121.5 strangles	0.55	11927 area

Comments

[Creative Recreation]

Just shows that writing by way of knowledge brings so a lot depth and relevance to types readers. Thank you for sharing.