Hmm, after looking at yesterdays renewed interest in buying call structures it seemed to me the bullish camp was attempting to build another leg up, on the market as measured by the 10yr. futures contract. However after a sort of stumbling speech by Bernanke, I say stumbling only because he did not deliver any details and he did devote some time to acknowledging his critics by noting that the costs of QE, via buying securities had to be looked at and this is difficult as this technique, if you can call it that is largely unknown.
10yr. prices broke from the 12625 area to 12610 area as the speech did not deliver the extra punch some were looking for.
Currently about 2 hours into the session with 10’s trading 12612 to 13 area – some large buys in 10yr. call spreads by TJM and another firm possibly Barclays buy Nov. and Dec. call spreads for good size – see players list below – futures pop up to 12616 area. Also around this time with 30’s trading 13115 to 20 area CCM selling put spreads and buying calls outright. So far 30’s not moving out of low range.
Larger flows listed below
| 10/15/2010 | |||||
| Screen this A.M. | |||||
| edu1 9875 put trades 6.5, 12k | |||||
| edz0 93/95/96 p fly trades 1, 400 | |||||
| edh1 96p trades 11.5, 500 | |||||
| shrt dec 88/90/91 put fly trades .5, 6k | |||||
| shrt dec 96c .5, 500 | |||||
| shrt jun 82p trades 5.5, 4000 | |||||
| shrt jun 81p trades 4.5 to 5, 4000 | |||||
| Paper | B | 500 | EDU1 87/96 combo | 3 call over | 9951.5/52 |
| Paper | B | 1,000 | EOM82 p | 5 | 9919.5 |
| New Edge | B | 10,000 | EDU1 9875p | 6.5 | 9952 |
| Paper | S | 2,000 | EDH1 9975c | 2.5 | 9963.5 |
| Advantage | B | 1,000 | EDZ2 88 strad | 24.5 to 25 | 9888 |
| Cube | B | 2,000 | EDM1 91/93/96 p fly | 2.5 | |
| Cube | S | 2,000 | EDH 90/92/95 p fly | 1.25 | |
| Above 2 trades executed as a package - paid 1.25 (traded 5K yesterday) | |||||
| Paper | B | 100 | EDU1 9925 stad | 50 | ^9952 20% |
| Paper | B | 5,000 | EOV93p | 0.5 | 9942.5 |
| Paper | B | 1,000 | EDZ0 96/97/98 c fly | 6 | 9966 |
| Paper | B | 20,000 | EDZ2 9925c | 1 | 9889 |
| Paper | B | 10,000 | EDM1 9912 p | 10 | ^9958 24% |
| 10yr. Opts | |||||
| XFA | B | 1,000 | TYZ122.5/123/124 brkn fly | 0.06 | 12615 |
| JP Morg | S | 2,000 | TYZ126/127 c spread | 0.32 | ^12610 |
| CCM | B/S | 2,000 | TYH 126 strad | 3.5 | N/A |
| Paper | B | 500 | TYZ124/125.5 p 1X2 | 0.02 | 12614/14.5 |
| Barclay | S | 1,500 | TYZ126.5/128/130 c tree | 0.32 | 12616/16.5 |
| Smith B | S | 1,000 | TYX/TYZ125 c calendar | 0.42 | 12612/12.5 |
| Smith B | also bought 1K of the calendars @ .38 after data w/ futs around 12623 | ||||
| Mann | S | 1,000 | TYX126.5p | 0.31 | 12612.5/13 |
| JP Morg | S | 2,000 | TYZ126/127 c spreads | 0.32 | ^12610 |
| Goldman | S | 2,000 | TYX126.5/127.5 p spread | 0.44 | ^12613 |
| RJO | B | 3,200 | TYZ125p | 0.38 | ^12612 |
| RJO | B | 2,500 | TYZ125p | 0.36 | ^12614 and 14.5 |
| RJO | B | 800 | TYZ125p | 0.2 | ^12620 |
| Smith B | S | 500 | TYZ125/129 strangle | 0.5 | 12612.5 |
| Mann | B | 1,000 | TYZ129.5c | 0.09 | 12612/12.5 |
| Smith B | B | 2,000 | TYX126p | 0.18 | 12613/13.5 |
| TJM | B | 3,200 | TYX127/127.5 c spread | 0.07 | 12612 to 13 |
| Paper | B | 7,500 | TYZ127.5/128 | 0.11 | 12612.5/13 |
| 30yr. | |||||
| Paper | S | 500 | USZ 125/140 strangles | 0.36 | 13206 |
| CCM | S | 2,000 | USX128/130 p 1X3 | 0.06 | 13115 to 20 |
| CCM | B | 2,500 | TYF133 call | .55 to .58 | 13115 to 20 |
| Fed Fund | |||||
| Paper | S | 1,000 | FFF 9987c | 1 | N/A |
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