Treasury yields have been under pressure and as I speculated earlier this week Corp. supply was likely part of the reason for the move up in yields. Action economics which keeps a pretty tight eye on supply, noted that this was the 3rd straight week that issuance has been running above last years totals.
Interestingly the long end of the market is currently quite oversold with RSI currently @ 23.64 and has been as low as 17 back in December. I believe next week could provide the impetus for prices to move higher as we have numerous buy backs scheduled along with month end pressures likely to cause some index related buying – even thought the end of the month will come on Monday. So looking at cheap option plays – if interested give a call 312 432 5083.
Larger options trades from a.m. session listed below.
| 1/21/2011 | |||||
| Screen | |||||
| Paper | B | 15,000 | EDG13 9775/9750 p spread | 5 | 9792.5/93 |
| Paper | B | 5,000 | EOM 9800/9750 ps | 4.5 | 9873.5/74 |
| Open outcry | |||||
| Paper | B | 5,000 | EOM 9800/9750 ps | 4 | 9875/75.5 |
| Merril | B | 2,000 | EDH9850/9975 strangle | 0.5 | 9965 area |
| Paper | B | 1,000 | EDM13 calls | 4.5 | 9763.5 area |
| Paper | B | 2,000 | EOU 9850 strad | 69 | ^9844 |
| Paper | B | 1,000 | EDZ9925 strad | 47 | 9924.5/25 |
| Fed Fund Opts | |||||
| Paper | B | 500 | FFU 9943/9981 combo | 1 call over | N/A |
| 10yr. Opts | |||||
| Smith B | B | 4,000 | TYH118/121.5 combo | 1 put over | 11928 area |
| Smith B | B | 2,000 | TYH118/121.5 combo | even put over | 11929 area |
| New Edge | S | 500 | TYG 120p | 0.06 | ^12003/02.5 |
| Paper | B | 1,000 | TYH 123/124/125 c fly | 0.03 | 12003/03.5 |
| Local | B/S | 500 | TYH118/119.5 p 1X2 | 0.06 | 12002/03 |
| Paper | B | 1,000 | TYG120.5 strad | 0.29 | ^12003 |
| Paper | B | 1,000 | TYJ116.5/118.5 p 1X2 | even | 11929/29.5 |
| Paper | B | 1,000 | TYJ119c - TYH120 c diagnol | .26 (J over) | 11927.5/28 |
| Paper | B | 500 | TYM116/117.5 p spread | 0.32 | 11928.5/29 |
| Paper | B | 500 | TYH118.5 p | 0.35 | 11924/24.5 |
| Paper | B | 1,000 | TYH118.5 p | 0.33 | 11927.5/28 |
| Paper | B | 700 | TYG119/119.5 p spread | 0.02 | 11928.5/29 |
| Paper | S | 2,000 | TYH119/121 strangle | 1.02 and 1.01 | 11931/12001 |
| Paper | B | 1,000 | TYH116/117.5/119 p fly | 0.12 | 12003/03.5 |
| Mann | B | 7,000 | TYH117.5/120 p 1X2 | 0.31 | 12002 |
| Advantage | S | 500 | TYH119/121 combo | .01 call over | 12003/03.5 |
| Paper | B | 2,500 | TYH118.5/121.5 strangle | see below | N/A |
| Paper | B | 2,500 | TYH119/121 strangle | see below | N/A |
| Paper | S | 2,500 | TYH120 straddle | .03 and .04 | N/A |
| Above trades executed as a package paying .03 and .04 over for the strangles… | |||||
| 30yr. | |||||
| Paper | B | 1,000 | TYH123/124/125 c fly | 0.04 | 11929 |
| 5yr. Opts | |||||
| CSFB | B | 10,000 | FVH 121 calls | 1 | 11722 |
| Paper | S | 3,600 | FVM 121 calls | 4 | 11720 area |
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