Longs dodged a bullet on this a.m.’s NFP number. The move up was very knee jerk but gains are being sustained. Market on Mar. 10yr. note has yet to take out the 12022 high made on the 5th. Price movement has remained side ways over all with futures unable to retrace more than 23.6% (12024 area) of the move down from 12801 high made on Nov 4 to the low made Dec. 16 at 11817. We may have to slog through the auctions next week before further gains are made and sustained.
Concerns arose yesterday over the situation in Europe, proposals to get extra vigilante on bailouts, and how the pain of them would be shared. This is the right medicine but the markets have a hard time dealing with it. Dealing with it yesterday saw front month Mar. Eurodollar contract move from 9963.5 bid to 9959 – that one currently back at 9961.5. There has been pretty good erosion in the Red (2012) ED contracts and fairly aggressive put buying on options vs. those contracts. That activity picked up sharply yesterday when the news on Europe came out. Price have however rebounded off today’s weaker than expected NFP report so clearly the ADP figures were responsible for some of the move down prior to yesterdays news.
Given the long end continues to move mostly in a sideways manner we have seen some strangle sellers emerge today. Initially saw the Mar. 116 – 123 strangle was sold then later for a bit more size the Mar. 117 – 123 strangle was sold. See players list below.
Larger flows from this a.m. listed below:
| 1/7/2011 | |||||
| Screen trades | |||||
| Dealer | B | 15,000 | EDH1 9950/9937/9900 put ladder | .25 credit and flat | 9959.5/60 area |
| Dealer | B/S | 2,000 + | EOF 9887/9875/9862.5 p ladder | 2 | 9884/84.5 |
| Open Outcry | |||||
| Paper | S | 2,500 | EDU1 9937/9962 c 1X2 | 10.5 | 9931.5/32 |
| Paper | B | 3,000 | EOF 9912 c | 0.5 | 9827.5/28 |
| Paper | S | 1,000 | EOM 9862 strad | 61 | N/A |
| Paper | B | 1,000 | EDU9962c | 4 | N/A |
| Paper | B | 3,000 | EDM1 9925p | 7.5 | 9950.5/51 |
| Paper | B | 7,000 | EOM 9750/9800/9850 p fly | 5 | 9866.5/67 |
| Paper | S | 500 | EDU1 9937 strad | 39 | N/A |
| Fed Fund Opts | |||||
| Paper | S | 500 | FFQ 9975/9981 p spread | 2 | N/A |
| Paper | S | 500 | FFU 9981/9987 c 1X3 | 1 | N/A |
| Mann | B | 2,000 | FFG9975p | 0.25 | N/A |
| Paper | S | 1,500 | FFH 9981/9993 c 1X2 | 1.25 | N/A |
| Paper | S | 500 | FFN9975/9981/9987 c fly | 2.5 | N/A |
| Paper | B | 500 | FFF 9981c | 1.25 | N/A |
| 10yr. Opts | |||||
| Screen a.m. | |||||
| Paper | B/S | 4,000 | TYG121/122 c spred | 0.14 | 11924.5 area |
| Open Outcry | |||||
| Paper | S | 1,000 | TYH116/123 strangle | 0.38 | 11922-24 area |
| Paper | B/S | 1,000 | TYG 120c | 0.47 | 11922 |
| Paper | S | 2,000 | TYH121c | .59 and .56 | 12002 to 04 |
| Paper | S | 500 | TYG121/122 c spred | 0.14 | 12002/03 |
| Paper | S | 1,000 | TYG122/124 c 1X2 | 0.08 | 12004.5/05.5 |
| Paper | S | 1,000 | TYG116/118 p spread | 0.08 | 12006/06.5 |
| BCG | S | 2,000 | TYH 116/117.5 p 1X2 (116's over) | even | 12007/07.5 |
| RJO | B | 500 | TYG120 strad | 1.37 | ^12007 |
| Paper | B | 2,000 | TYH123c | .22 and .23 | 12005/07 |
| Advantage | B | 500 | TYG119p | 0.23 | 12005.5 |
| Merril | S | 2,500 | TYH122c | 0.38 | 12006/06.5 |
| Paper | B | 500 | TYH119p | 0.55 | 12002/03 |
| XFA | S | 2,000 | TYH 114.5/115/116 p fly | 0.03 | 12002/02.5 |
| CSFB | S | 2,000 | TYH117/123 strangle | 0.45 | 12003/04 |
| Paper | S | 1,000 | TYH122.5/124 c spread | 0.17 | 12008/08.5 |
| Paper | S | 500 | TYH123/125 c spread | 0.15 | 12005.5/06 |
| Yield Curve | |||||
| BOB | |||||
| JP Morg | B | 350 | ULH | 12313 | |
| JP Morg | S | 600 | USH | 12010 |
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