We are being massaged today – with think tanks reporting Fed will move forward with a package of 500 to 550 bln over a 3-6 month period. We still probably have to wait to Nov. 2 and 3 to get details from the horses mouth. There also has been talk that the US and China have agreed to help each other by having the US try and keep QEII to a minimum in exchange for China continuing to let yuan rise.
As these details emerge markets have turned up again and we may see a floor put in that keeps the yield on the 10yr. note below 2.50% - for an extended period – my words – not the fed’s – yet that is….
A close and sustained move above 13218 on Dec. 30’s will cause me to seriously rethink being short. Yesterday prices took out 15 minute price level @ 13204. Hourly picture shows significant price level around 13218 – just now 10:30 a.m. dollar is getting hit and talk of QE has bonds trading well above 13218 hitting 13227 about a half hour ago. Daily trend does remain down but this price action is currently trying to rebound so tough to set shorts here.
Seeing a fair amount of call structures being rolled up in ED options. Also note early on 3 different firms buying very cheap put flys vs. the front Dec. futures. Likely a cheap hedge against a core long position.
Larger flows from a.m. session listed below:
| 10/20/2010 | |||||
| Screen this a.m.: | |||||
| grn dec 9925 call trades 2, 2000 | |||||
| red dec 9883/9937 sqaush put 1x2 trades 7 vs. 9941.5 d=.20 | |||||
| 650 times | |||||
| red dec 9800/9925/9937 p-tree trades 1.5, 2000 | |||||
| edz0 9950 put trades 3.5, 750 | |||||
| edz0 9962 trades 5.5, 250 | |||||
| Cube | B | 2,000 | EDZ093/95/96 p fly | 1 | 9964 |
| Icap | B | 5,000 | EDZ093/95/96 p fly | 1 | 9964 |
| New Edge | B | 2,000 | EDZ093/95/96 p fly | 1 | 9964 |
| Paper | S | 1,000 | EDH96 strad vs buy 90/95 ps | 14.5 | N/A |
| Paper | B | 1,500 | EOZ87/92 p spread | 3 | 9941.5 |
| Paper | B | 200 | red pack 9700 put strip | 17.5 | N/A |
| Citi | B | 3,000 | EDH3 92/93 c spread | 1.5 | N/A |
| Bought 1.5K of this spread yesterday | |||||
| Paper | B | 1,000 | EDX096/97 strangles | 4.5 | N/A |
| Paper | S | 200 | EDH96 strad vs. buy 95p | 11 | N/A |
| Drax | S | 15,000 | EDX092/95 p spread vs 96c | 4 call over | ^9964.5 70% |
| New Edge | B | 10,000 | EDZ2 92c | 2 | 9896 |
| Paper | B | 6,000 | EDZ92/95/96p tree | 0.25 | 9964/64.5 |
| Paper | B | 1,000 | EDX097c | 0.5 | ^9966 |
| Drax | B | 1,000 | EDZ093/96 p 1X2 | 1 | 9964.5 |
| RJO | B | 5,000 | EDZ2 92/93 c spread | 1.5 | N/A |
| straddles: (vol. softer) | |||||
| edx0 9962 9/9.5 f=9964.5 | |||||
| edz0 9962 12.5/13 | |||||
| edf0 9962 15/15.5 f=9958.5 shorts | |||||
| edh1 9962 19.5/20.5 | |||||
| edm1 9950 31/32 f=9954.5 EOx 9937 12/13 | |||||
| edu1 9950 34.5/35.5 f=9949 EOz 9937 16/16.5 | |||||
| EOf 9937 17.5/18.5 | |||||
| reds EOH 9937 24/25 | |||||
| edz1 9937 44.5/45.5 f 9942 EOM 9925 37/38 | |||||
| edh2 9937 48.5/49.5 f=9934 EOU 9912 49/50 | |||||
| edm2 9925 58.5/59.5 f=9923 | |||||
| edu2 9912 69/70 f=9912 | |||||
| Drax | B | 5,000 | EDH3 91c | 6 | 9883 |
| Locals | B/S | 500 | EDU0 9975c | 2.5 | 9949 |
| Cube | B | 1,000 | EDH3 92/95 c spread vs 77p | 1 cs over | 9983 |
| Paper | B | 10,000 | EOH93c | 11.5 | 35 |
| 1st they bought 90/92 c spread then rolled up to 91/93 now covering short let - buying 93 | |||||
| Paper | B | 10,000 | EOM 92/95 c 1x2 | 9.5 | 9925 |
| Looks to be same or similar entity noted just above | |||||
| 10yr. Opt | |||||
| Paper | B | 5,000 | TYZ130c | 0.07 | ^12628 |
| Paper | S | 1,000 | EDH96 strad vs buy 90/95 ps | 14.5 | N/A |
| RJO | S | 1,000 | TYH126 strad | 3.42 | ^12603 |
| Mann | B | 1,000 | TYZ129.5c | 0.1 | 12625/26 |
| CSFB | B | 2,000 | TYX127.5c | 0.04 | 12626/27 |
| Smith B | S | 1,000 | TYX/Z 126 c calendar spred | 0.4 | 12623.5/24 |
| RJO | B | 1,000 | TYZ125.5/129 strangle | 0.48 | ^12623 |
| New Edge | B | 1,500 | TYX128c | 0.01 | 12623.5/24 |
| Paper | S | 1,000 | TYH126 strad | 3.41 and 3.40 | N/A |
| Paper | S | 500 | TYZ125/129 strangles | 0.38 | N/A |
| OI shows over 120K open in 129c and over 80K open in 125 - reckon big short has 50K on strangle more/less | |||||
| 30yr. | |||||
| Paper | B | 2,000 | USZ134/136 c spread | 0.38 | 13207/08 |
| Fed Fund | |||||
| Dowd Wsct | B | 250 | FFZ9981c | 2.75 | N/A |
| Mann | B | 500 | FFF 9975p | 0.5 | N/A |
| Fortis | S | 500 | FFJ 9981 strad | 7 | N/A |
| Dowd Wsct | B | 1,000 | FFH81/87c 1X3 | 1.25 | 9983/83.5 |
| The dowd trade was aggressive and cheapened up the 87call triggering trades below | |||||
| Fortis | S | 250 | FFH9962/9975/9987 c fly | 3.25 | 9983/83.5 |
| TJM | B | 3,000 | FFH9993c | 0.25 | 9983/83.5 |
| Fortis | B | 1,000 | FFH87/93c 1X3 | 0.25 | 9983/83.5 |
| Fortis | B | 500 | FFH9987c | 1 | 9983/83.5 |
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