Seeing decent call structure buying in Eurodollar options this a.m. Longer end getting hurt on stories about large sales of residential mortgage back securities and also large issuance of municipal bond debt. The latter is turning out to be quite a debacle as politicians are currently postured to kill the program. This will cost the states billions of dollars in additional interest costs and currently the amount of deals rushing to the market is exacerbating the down move. Currently the long end has rebounded a point from the overnight lows. Certainly there must be some focus on potential good news coming from the FOMC tomorrow. Good news in terms of continued QE with possible amplifications and continued aggressive vigilance on low rates being the target. Possible change to rate of interest paid on reserves.
There was an increase in bullish plays after the last unemployment report and today’s activity has focused mainly in Eurodollar OTM calls.
Larger trades from todays session listed below:
| 12/13/2010 | |||||
| Locals | B/S | 20,000 | EOM96.26/9675 p spread | 2 | 9866.5 area |
| New Edge | B | 10,000 | EDU97/98 c spread | 0.25 | 9926.26.5 |
| New Edge | B | 5,000 | EOM9750/9800/9850 p fly | 4.5 | 9866 area |
| New Edge | B | 20,000 | EDM1 9900p | 5 | ^9941 |
| TJM | B | 10,000 | EDU97/98 c spread | 0.25 | 9926.5/27 |
| Paper | B | 3,000 | EDZ95/96/97 c fly | 2.5 | 9910 area |
| TJM | B | 10,000 | EDM/U/Z 9962 c strip | 10.5 | N/A |
| New Edge | B | 5,000 | EOF9887/9900 combo | 5 | ^9889.5 86% |
| 10yr. | |||||
| Paper | B | 200 | TYF 120 strad | 1.36 | 11922 area |
| Swiss B | B | 3,000 | TYG122/124 c spread | 0.22 | 11925/26 |
| CCM | B | 500 | TYG127c | 0.02 | 11927.5/28 |
| Paper | B | 2,000 | TYF 120 p | 0.57 | ^ 11926 |
| Paper | B | 2,000 | TYF120.5/121.5 c 1X2 | 0.03 | 11925/25.5 |
| New Edge | S | 750 | TYF120 strad | 1.35 | ^11928 |
| New Edge | S | 2,000 | TYF122c | 0.34 | 11930.5/31 |
| CCM | S | 1,000 | TYF120.5c | 0.33 | ^11930 |
| New Edge | B | 1,000 | TYF122/124 c 1X2 | 0.07 | 11930.5/31 |
| Paper | B | 3,500 | TYH124c | .25 and .26 | ^11931 to 12000 |
| Paper | B | 1,000 | TYF120.5/122 c spread | 0.23 | 11927.5/28 |
| Fed Fund | |||||
| New Edge | S | 250 | FFQ/U 9975 p stupid | 19.5 | N/A |
| Paper | B | 500 | FFQ9981/9987 c 1X2 | 1.5 | N/A |
Hi,
I wanted to ask a question. u must be aware that in eurodollar futures on the last two fridays before expiry of a contract, huge sellers come in the 4th annd 5th 3 month calender spreads. Who are this sellers and what exactly they are doing. Please throw some light on this.
Regards
Posted by: KTT | 12/13/2010 at 11:53 AM
Last time we saw this it seemed to be related to hedges tied to large option positions.
I will try and get more color than that but from the previous cycle I remember checking
into who was doing the big rolls and floor traders felt that it was futures inventory tied to
large option positions.
Thanks for you questiion.
TomP
Posted by: Tom Pantelis | 12/13/2010 at 03:26 PM