Please scroll down - I sent a quick update prior to this one.
This morning things were quiet until after the data and then there were some bullish trades put on . Volume was not all that strong but again if you keep an eye on the head lines and the flows some guide lines other than trend analysis emerge. Unless your inside however the timing is tough. Even if you are inside the vagaries of the market will cause slippage.
The conventional wisdom on the floor is that PIMCO is the firm behind the strangle selling – particularly the 125/129 with well over 50K short position. Today floor traders felt the same entity was selling the Dec. 124/127 strangle. Whether PIMCO is the entity or not – it seems reasonable the market will find support and grind higher. The lowering of the structure not withstanding a move back up above 12600 vs the Dec. 10yr. futures will reward shorts on these structures. If you were Bill or some one of that Ilk would you not have a good enough handle on what the yield target at the fed is for the 10yr. note and construct trades to profit from that. A quick and dirty analysis equates the yield for the on the run 10yr. at 2.50% (currently 2.67% with TYZ 12521) at around 12700 area for the Dec. 10yr. future.
Note: short end – Dec. 12 ED options (which expire Dec. 10 of this year) traded over 200K yesterday. Most active strike was the 9925 call futures were around 9884 yesterday currently they are 9890/91.
Larger flows from this a.m. lnclude but not limeted to the following:
| 10/28/2010 | |||||
| Screen this A.M.: | |||||
| edz0 9962 straddle trades 11, 350 | |||||
| grn dec 90/91 c/s vs. 85p trades .5, paper -2000 (- puts) | |||||
| grn dec 85p trades 5, 500 | |||||
| grn dec 82/86/88 brke put fly trades 3, 1000 | |||||
| shrt sep 9900 straddle trades 56.5, 250 | |||||
| edz0 96/97/98 c-fly trades 6, 500 | |||||
| Locals | S | 1,500 | EOM83/95 strangle | 10 | 9917.5 area |
| Paper | S | 1,000 | EDZ095/97 strangle | 2.75 | N/A |
| Paper | B | 1,000 | EDZ12 90/92 c1X2 | 4 | 9888 |
| New Edge | B | 4,000 | E2H 91c | 5 | N/A |
| Paper | S | 500 | EDZ12 9887 strad | 31 | 9888.5 area |
| Paper | S | 200 | EDZ12 9887 strad | 30.5 | 9888.5 area |
| TJM | B | 2,000 | EOX 95c vs. sell 4K EOZ96c | even and .5 | 9939 |
| JP Morg | S | 5,000 | EDZ12 76/83 ps vs buy 5K EOZ 83/91 ps | ps 2.5 | |
| Paper | B | 1,000 | EOZ 95c | 2.5 | ^ 9938.5 24% |
| New Edge | B | 2,000 | EDZ12 9900c | 9.5 | 9888 |
| Paper | B | 2,000 | EDF/EDH97c spread | 1.25 | 9962 |
| Drax | B | 5,000 | EDZ12 90/91 c 1X2 | .5 credit legs over | 9889 |
| Drax | B | 5,000 | EDH 88/90/91 c tree | .5 credit legs over | 9870 |
| Paper | B | 500 | EOF 9950 c | 2 | 9933 |
| 10yr. | |||||
| CSFB | B | 2,000 | TYZ127/128.5 c spread | 0.17 | 12510/10.5 |
| Smith B | B | 1,000 | TYZ129c | 0.05 | 12511/11.5 |
| Smith B | S | 4,000 | TYZ124/127 strangle | 0.56 | 12512 area |
| Icap | S | 5,000 | TYZ126.5/127 c spred | 0.1 | ^12516 8% |
| RJO | S | 1,500 | TYZ125.5 strad | 2 | ^12519 |
| New Edge | S | 500 | TYZ125.5/126 p spread | 0.16 | ^12521 |
| Paper | S | 600 | TYH 124.5 strad | 3.39 to 3.38 | ^12424 |
| Block trade | |||||
| 10yr. | |||||
| Block trade | B/S | 2,500 | TYZ posted 6:45 a.m.c.s.t | 12515 | |
| 30yr | |||||
| Merril | B | 3,000 | USH138c vs. -3K USZ125p | .18 and .19 | ^ 13000 |
| Fed Fund | |||||
| Mann | B | 2,000 | FFM9993c | 0.25 | 9981.5/82 |
| Mann | B | 500 | FFM 9981/9987 c 1X3 | 1.25 | 9981.5/82 |
| Mann | B | 5,000 | FFX9987c | 0.25 | 9981.81.5 |
| Floor sources feel they are buying in short leg from 9981/9987 c 1X2 | n short leg from 9981/9987 c 1X2's bought earlier | ||||
| Fortis | B | 1,000 | FFM 9981c | 4.5 | 9981.5/82 |
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