Volatility was pushed lower in 30yr. options this a.m. Players list below shows CCM rather large seller of puts and call spreads delta neutral. In 10’s vol. held steady to ticking up a bit in the first 40 minutes of today’s trade.
It’s a rather action packed week with elections expected to transfer out the democratic majority and replace it with a republican one. Also Wednesday we get the much anticipated FOMC pronouncements. As noted above seems there has been some liquidation in 30yr. options, and over all a very light amount of trade in the usually more active 10yr. options. I would say that most relevant bets for the current scenario’s have been placed. So there may not be much more action today or tomorrow.
Currently prices are very much rejecting recent consolidation area defined by 13204 area in 30’s, 10’s are also trading session lows. Without manipulation this market is a bit of a dog. Read some intelligence over the weekend that despite QE efforts money will find better returns in good quality corporate debt as those spreads have widened recently. That plus the fact that current policies will eventually create some inflation seems to be taking some of the bid out of the long end.
Larger flows from a.m. session include but no limited to the followin:
| 11/1/2010 | |||||
| Paper | S | 2,000 | EDZ096 strad | 10.5 | N/A |
| Paper | B | 5,000 | EOH92/95 c 1X2 | 11 | N/A |
| New Edge | B | 20,000 | EOH/EOM 92/95 c 1X2 stupid | 20 | N/A |
| Paper | B | 5,000 | EOH91/93/96 c fly | 7.5 | N/A |
| Paper | S | 1,000 | EDZ81/86/91 p ladders | .5 - 91 over | N/A |
| Paper | B | 20,000 | EOZ93/95c1X2 | 3.5 | N/A |
| Paper | B | 10,000 | EDZ12 93/95 c 1X2 | 0.5 | N/A |
| TJM | B | 5,000 | EDZ12 96c | 0.25 | N/A |
| Paper | B | 250 | EOZ95 strad | 14 | ^9946 |
| Paper | B | 5,000 | EDH1/EDM1 9987 c stupid | 0.5 | N/A |
| Paper | B | 4,000 | EOX92/93 p spread | 1.5 | N/A |
| 10yr. | |||||
| Paper | B | 500 | TYZ129.5c | 7 | N/A |
| Paper | B | 500 | TYZ125.5/130 c spread | 0.03 | N/A |
| RJO | S | 1,000 | TYZ121p | 0.02 | 1261515/5 |
| Crossland | B | 1,000 | TYZ125.5p | 0.38 | ^12614 |
| Paper | S | 500 | TYZ128c | 0.24 | 12615/15.5 |
| Paper | S | 500 | TYG127.5/128.5 c spread | 0.18 | 12609 |
| Paper | B | 6,000 | TYF128/129/129.5/130.5 c condor | 0.07 | 12609 |
| 30yr. | |||||
| CCM | S | 4,000 | USZ 132/136 c spreads | 1.12 | ^13116 |
| CCM | S | 2,000 | USZ130p | 0.18 | ^13116 |
| CCM | S | 1,500 | USZ130p | 0.17 | ^13115 |
| Had to do the 1.5K worse after they sold the call spreads covered pushing vol down. | |||||
| Paper | B | 1,000 | USZ127/130 psprd vs 140c | .52 - psprd | 13102 area |
| Fed Fund | |||||
| Mann | B | 900 | FFH93c | 0.25 | N/A |
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