Very interesting day – Dec. Eurodollar futures broke from 9968 area to 9959 area. Just see chart.. We have gained back half the ground – and no one has given a definitive story. Best I’ve heard is some sort of emergency ecb meeting was rumored.
Longer end under pressure as well.
With Dec. treasury options scheduled to expire this Friday there could well be some pressure on short positions in the 125 put strike helping to hold futures prices down. That and the general dismay that continues to be expressed over the current QEII program.
Coming into today’s session open interest shows there is still over 85K open in the Dec. 125 puts and the 124 puts have open positions of over 84K. Shorts have the option of buying them back or selling futures in anticipation of being dealt a long position at the strike price.
Also of note today the build America Bonds program may well get extended another year. According to a stroy on bloomberg today they sold around $169 bln. of these federally subsidized municipal bonds this year and if they not going to extend the program this would be quite bearish for municipal debt in general.
Larger players today include but not limited to the following:
| 11/24/2010 | |||||
| TJM | B | 5,000 | EOH91/92/93 vs. - EDH91/92/93 cfly | 1 | N/A |
| Paper | B | 5,000 | EDZ9950/9962.5 p spread | 2.75 | 9963.25 |
| 10yr. | |||||
| Paper | B | 500 | TYZ124p | 0.02 | N/A |
| Paper | B | 1,300 | TYZ126/127 c spread | 0.04 | 12424/26 |
| Paper | B | 3,500 | TYZ125 strad | .36 and .27 | N/A |
| Paper | S | 500 | TYZ125 strad | 0.35 | 12426/27 |
| Paper | B | 500 | TYZ125/125.5 c 1X2 | 0.02 | 12428/29 |
| Paper | B | 1,300 | TYF121/127 combo | .05 put over | ^12330 TYH |
| Smith B | S | 500 | TYF124.5/125.5 c spread | 0.23 | ^12329 TYH |
| New Edge | B | 900 | TYF119/120/122 p fly | 0.15 | 12427/28 |
| Paper | B | 1,800 | TYZ124.5p | 0.08 | 12427 |
| TJM | B | 3,000 | TYF126.5/127.5 c spread | 0.08 | 12422 |
| Fed Fund | |||||
| New Edge | B | 500 | FFH 9987.5 c | 0.75 | N/A |
| Paper | B/S | 500 | FFH9981/9987 c spread | 1.75 | N/A |
| Tradelink | S | 250 | FFZ9981 strad | 2 | N/A |
| TJM | B | 2,000 | FFZ9981/9987 c spread | 1 | N/A |
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