One quick note – on yesterday’s update I incorrectly referred to dealers having large short call position on Dec. options back in Mid – Nov. Those were short puts (part of large short strangle position). I have since made the change – so those that read the report yesterday may have been confused, sorry about that.
Prices continue to move sideways to up and moving averages on the daily outlook have come close to crossing, however remain up and look to continue up for now. Best volume of the day occurred on a much stronger than expected consumer confidence release. Price were sliding down from 12022 area vs. the Mar. 10yr. future heading into the release. Volume picked up on the release and prices broke from 12012 to 12008. Since then prices have traded sideways between 12006 to 12010 and just now have made a new low at 12003.5. Volatility has picked up a bit on the price decline and the large strangle seller in 10’s sold some more 118/123 strangles @ .20 – (sold .23’s yesterday). This by the way is probably the same entity I was referring to yesterday ( short size in 125 – 124.5 and 124 puts vs. the Dec. expiry). Currently the open interest in the Mar. 123 calls is 65K and the 118 puts are 69K. They have been shorting this strangle for several weeks. For example:
12/9/10 They sold it @ .60 and .57 w/ futures 12018 to 24
12/14/10 They sold it @ .55 w/ futures 12001
12/1710 They sold it @ .60 and .59 with futures 11917 to20
1/12/11 They sold it @ .44 with futures 12002/03 area
1/20/11 They sold it @ .31 with futures 12008/09 area
Again today trades 20 on that strategy there have been other strangles sold in this vicinity which of course make good sense with a market moving side ways.
I still expect prices to move up and perhaps decently as this week unfolds. If I were to sell premium I would prefer to focus on puts as the oversold condition of the market could provide an upside surprise which could burn the call side of the trade just as the put side was likely trouble some on the Short Dec. trade noted yesterday. We shall see.
Larger Trades from a.m. session:
| 1/25/2011 | |||||
| Paper | S | 500 | EDH1 9962/9975 c 1X2 | 6 | N/A |
| Paper | S | 1,000 | EOM 9875 strads w/ EOM 9800 p stpd | .55 and .54 | 9878 area |
| Paper | B | 1,000 | EDH13 9762/9775/9787 pfly | 1 | 9798/98.5 |
| Paper | B | 5,000 | EOM 9825/9875 p spread | 11.5 | 9878 area |
| Paper | S | 2,500 | EDH13 9850/9862/9875 c ladder | flat 9850 over | 9798 area |
| Paper | B | 6,000 | EOG 87/88 p 1X2 | flat 88 over | 9905/05.5 |
| Paper | B | 500 | EOM 9862 strad | 0.52 | N/A |
| Paper | B | 2,000 | EDZ1 9950/9962 c spreads | 5.5 | N/A |
| Paper | B | 4,000 | EDJ13 9825c | 3.5 | 9765.5/66 |
| Paper | B | 10,000 | EOM 9862.5 strad | 0.52 | 9874.5/75 |
| Fed Fund opts | |||||
| Paper | B | 1,700 | FFQ 9968/9975/9981 p lfy | 0.5 | N/A |
| Paper | B | 500 | FFK 9962/9968/9975/9981 c fly | 2.25 | N/A |
| Paper | B | 2,500 | FFM 9981/9987.5 c spread | 4 | N/A |
| Paper | B | 2,000 | FFM 9987 c | 0.5 | N/A |
| 10yr. Opts | |||||
| CCM | B | 200 | (one week exp 2/4) 119/120 p1X2 | 0.05 | 12018 area |
| Paper | S | 500 | TYH118.5 p | 0.15 | 12020/21 |
| New Edge | S | 500 | TYH121c | 0.45 | 12020.5/21 |
| New Edge | S | 2,000 | TYH123 | 0.09 | 12019/19.5 |
| RJO | S | 1,000 | TYH120.5/121.5 strangle | 1.22 and 1.21 | 12017/19 |
| Smith B | S | 2,000 | TYH118/123 strangle | 0.2 | 12009/09.5 |
| Paper | S | 500 | TYH120.5/121.5 strangle | 1.25 | 12009/09.5 |
| Paper | B | 1,000 | TYM115.5 - 123.5 combo | .10 put over | ^11916 |
| Paper | S | 200 | TYH120 strad. | 1.51 | 12008/08.5 |
| 5yr. Opts | |||||
| Paper | S | 2,500 | FVH 117 puts | 0.15 | 11727.5 |
| Paper | S | 2,500 | FVH 117 puts | 0.15 | 11728.25 |
| Able to sell a .15's even with a slightly higher future….. | |||||
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