Yesterday saw decent rally in the long end causing curve to flatten by several basis points. News was trades were put on that way. Did see some trades today, one executed in the pit was clearly looking for flattening. The other executed as a block seemed to be same type be, see players list below. Funny thing was shortly after these trades went down, approx. 8:05 a.m.c.s.t. market was breaking lower in the long end and has remained heavey over all.
Currently seeing prices sell off with renewed vigor – not hearing any news but equities are leading the charge. Did have floor commenters Urio and Santelli discussing move into equities and commodities as the current policy – dollar devaluation forces money into something with some value – not some fiat currency note which there is an abundance of these days.
Note strangle sellers continue to short the 125/129 vs. dec. 10's and add to a growing short position in the 125/128.
Larger flows listed below.
| 10/21/2010 | |||||
| CCM | S | 10,000 | EDM1 90/93 p spread | 4 | 9956 |
| Paper | B | 2,000 | EOH90/92/95 c fly | 5 | N/A |
| Paper | S | 1,000 | EDF95/96 strangle | 11.5 | N/A |
| Paper | B | 500 | EDM187/90/92 p tree | 2 | N/A |
| Paper | S | 250 | EDH1 96 strad | 19.5 | 9961 |
| Drax | B | 250 | EDH3 90/92/95 c fly | 6.5 | N/A |
| Drax | S | 250 | EDH3 87/90/92 c fly | 6 | N/A |
| Mann | B | 500 | EDZ0 96 strad vs. 88/95 p spred | 10 | 9965 |
| Paper | S | 500 | EDZ0 96 strad | 12.5 | 9965 |
| Drax | B | 10,000 | EDZ2 90/91/92/93 c condor | 4.5 | 9900 |
| Paper | B | 1,000 | EDU1 95c | 17.5 | ^9950.5 |
| Merril | B | 1,000 | EDH2 80/85/90 p fly | 3 | 9935 |
| Paper | B | 500 | EDH2 92 c | 3 | 9884 |
| Paper | B | 500 | EDX0/EDZ0 96/97 c spreads | 1.25 | 9965.5 |
| Drax | S | 10,000 | EDZ287/88 c spread | 9.5 | 9900 |
| Paper | B | 1,000 | EDZ0 96/97c 1X2 | 6 | 9966 |
| RBS | S | 2,500 | EDZ2 87/88/90/91 c condor | 3.5 | 9900 |
| Cube | B | 4,500 | EOH 90 p | 5.5 | ^9935 32% |
| Paper | B | 1,000 | EDZ291/92/93/95 c condor | 3.5 | N/A |
| CCM | B | 15,000 | EDZ2 91/93 c spread vs. - 9875p | even | 9899/99.5 |
| 10yr. | |||||
| Paper | S | 1,000 | TYZ0129/130 c spread | 8 | N/A |
| Paper | S | 2,500 | TYX/Z 126 c calendar | .40 to .42 | N/A |
| Paper | B | 1,000 | TYZ/TYF 128.5c | 0.05 | N/A |
| Advantage | S | 4,000 | TYZ125/129 strangles | 0.37 | 12626/26.5 |
| Paper | B | 1,000 | TYZ126.5 strads | 1.62 | ^ 12624 |
| Paper | B | 500 | TYX126.5/127 strangle | 0.1 | 12624/24.5 |
| TJM | B | 600 | TYX126.5p | 6 | 12622.5/23 |
| Merril | B | 2,000 | TYZ130c | 0.07 | 12628 |
| Paper | B | 1,000 | TYZ126.5 strads | 1.63 | 12625/26 |
| Paper | B | 1,500 | TYZ130c | 0.07 | 12625 |
| Smith B | S | 5,000 | TYZ129/130 c spread | 0.08 | 12626 area |
| CCM | B | 1,000 | TYM124/129 strangle | 0.26 | 12625/26 |
| Paper | S | 1,000 | TYZ125/128 strangle | 0.52 | 12620 area |
| 30yr. | |||||
| Paper | S | 1,000 | USF127p vs 134/138 c spread | .02 put over | 13221 area |
| Above trade was done near open otherwie pretty quiet w/ some nov trades - clearing up exp. Tomorrow | |||||
| Fed Fund | |||||
| Fortis | B | 500 | FFX87/93 c spred | 0.25 | N/A |
| Fortis | S | 1,000 | FFJ87/93 c 1X2 | 0.5 | N/A |
| Trade link | B | 500 | FFG87/93 c 1X2 | 0.5 | N/A |
| Trade link | B | 250 | FFH 9975/9987 combo's | .25 put over | N/A |
| Yld curve | |||||
| FOB | |||||
| Paper | B | 3,000 | USZ | 13218 | |
| Paper | S | 8,950 | FVZ | 12120.7 | |
| Althoug not pit traded feeling is instigator bought bonds and sold 5's | |||||
| FYT | |||||
| Paper | B | 1,000 | TYZ | 12626.5 | |
| Paper | S | 1,500 | FVZ | 12121.2 | |
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