Brief comment from floor traders re Fed Fund options:
May and June futures currently trading at a slightly higher price than April and July. The feeling is that the Government may well find ways to provide extra liquidity out until May as the Treasury comes up against the debt ceiling. The methods they employ are again putting a bit downward pressure on Fed Fund rate for the month of May.
Debt ceiling currently stands @ $14.294 trln.
- As of 1/25 Amount of debts outstanding was $14.015 trln.
- Leaving $279 billion befor limit hit.
- Current estimates is limit will be reached as early as 3/31/11 and no later than 5/16/11.
Jan Fed Fund futures currently 9983 and should settle just above there. One trade being attempted is to buy the May 9887 call vs. selling the April 9887 call. Dealers will pay .5 (1/2 tick) but right now the offer is not there. On the flows below you will see some trades on 1X3 call ratios’ those plays looking for funds to target .15 in Sep. and August which would make the 9981.25 strike worth 3.75 – paying 2.25 for the 1X3 – which means you make a tic and a half – and are not worried about a move above 9987 strike. Apparently dealers already have these structures on in the more near by months.
Long end prices will have to close above 12115.5 which was the high made back on the 14th of Jan. That would constitute a break out from the current trading range and might allow prices to rally further. More later.
Larger flows from a.m. session listed below:
| 1/31/2011 | |||||
| JP Morg | B | 15,000 | EDU 92/95/96 c tree | 15.5 | 9949/49.5 |
| Paper | B | 4,000 | EOU 9775/9825 p spread | 9 | 9860.5/61 |
| TJM | B | 1,000 | EDH/M 9962 strad spread | 6.5 | N/A |
| Paper | B | 500 | EDM1 9900 p | 3 | 9957.5/58 |
| Paper | B | 500 | EDG12 9775/9825 combo | 1 call over | ^9805.5 |
| Paper | B | 5,000 | 1wk Feb. 9900/9912 p stupid | 5 | 9915/15.5 |
| New Edge | S | 2,000 | EDZ1 95/96 c sprd vs. 90/92 psprd | 2 csprd over | 9934.5/35 |
| Paper | B | 1,000 | EDJ/EDM 9962 c sprd | 2.75 | N/A |
| Paper | B | 5,000 | EDH12 9850/9875 c 1X2 | 1.5 | 9807/07.4 |
| Paper | B | 2,000 | EOH 9875/9900 p spread | 3.5 | 9914.5/15 |
| Goldman | S | 4,500 | EDM1 9950 p | 7.5 and 7 | 9957,5/58 |
| Paper | B | 3,000 | EOM 9887 strad | 0.44 | 9888/88.5 |
| Fed fund opts | |||||
| Fortis | S | 250 | FFH 9975/9981 psprd | 0.25 | N/A |
| Merril | B | 250 | FFZ 9975/9981 c1X2 | 1.75 | N/A |
| Tradelink | B | 500 | FFU9981/9987 c 1X3 | 2.25 | N/A |
| Tradelink | B | 250 | FFQ9981/9987 c 1X3 | 2.25 | N/A |
| Smith B | S | 300 | FFN 9971 c | 5 | N/A |
| 10yr. | |||||
| Screen | |||||
| Paper | B/S | 8,000 | TYH122 c | .31 to .33 | 12104 to 06 area |
| Paper | B/S | 4,700 | TYH121c | 0.59 | 12104 area |
| Paper | B/S | 3,300 | TYH122.5 | 0.22 | 12104.5 |
| Paper | B/S | 3,600 | TYH119p | .12 to .14 | 12110.5 to 06 area |
| Open Outcry | |||||
| Paper | B | 1,000 | TYH118.5/TYJ116 p diag | .09 Apr. over | 12102.5/03 |
| Paper | B | 600 | TYH120p | 0.31 | 12100/00.5 |
| Mann | S | 1,000 | TYH115/116/117 p fly | 0.01 | 12031/31.5 |
| Paper | B | 800 | TYH121/122 c spread | 0.29 | ^12106.5 |
Comments