Things are turning around this week in a number of markets. Take a look at the intraday picture on the CRB index.
If commodity prices which have captured global attention lately, can sustain a decent correction, and a number of them are doing just that, it will take pressure of central banks need to take any action. The long end of the market has recently been trending lower and those trends are changing as we speak. The 30yr and Ultra MACD on the daily picture has crossed up and the 10yr. looks poised to follow suit, this will put the bias to the upside. Looking for places to buy dips with stop protection will be the preferred strategy in terms of risk.
Short end currently marked by sharp declines in volatility last 2 sessions. Short Dec 9775 straddle traded from 101 yesterday to below 96 today. The Dec. 12 straddle (Red Dec.) traded from 133 to 127. Both options are vs. the EDZ 12 futures currently trading 9778 area after hitting a low of 9768 just prior to the opening.
Larger flows from a.m. session listed below:
| 2/15/2011 | |||||
| TJM | B | 2,500 | EDZ1 9825/9900 p 1X2 | 5.5 | 9913.5/14 |
| Paper | B | 2,000 | EDM1 9950/EDU1 9937 p diag | 9 | N/A |
| Drax | B | 4,000 | EOH 9912c | 0.5 | 9882.5/83 |
| New Edge | S | 10,000 | EDU1 9937/9950c sprd | 8 | ^9939.5 and 40 |
| Paper | B | 10,000 | EOU 9675/9775 p 1X2 | 10.5 and 11 | 9806.5 to 07.5 |
| Paper | B | 4,000 | EOM 9750/9800/9850 p fly | 9.5 | 9844/44.5 |
| Paper | S | 500 | EDU12 9812 - EDZ12 9775 strad stpd | 2.36 and 2.35 | N/A |
| TJM | B | 1,000 | EOM9700/9800 p spread | 9.5 | 9843.5/44 |
| Paper | B | 10,000 | EOH 9900/9912 c spread | 2 | ^9883 |
| Paper | S | 500 | EDZ12 9775 strad | 127 | 9774.5/75 |
| Fed Fund Opts | |||||
| Mann | B | 300 | FFX9975/9981/9987 p fly | 1.5 | 9963/63.5 |
| BCG | B | 5,000 | FFM 9987c | 1 | 9984.5/85 |
| Paper | S | 1,000 | FFK 9987c | 1 | 9985/85.5 |
| New Edge | B | 750 | FFX75/81 c spread | 3.25 | 9963.5/64 |
| Paper | B | 2,000 | FFJ 9987 c | 0.75 | 9985/85.5 |
| Paper | S | 500 | FFM 9981/9987 p 1X2 | 0.5 | 9984.5/85 |
| Smith B | B | 2,000 | FFN 9975 p | 2.75 | 9981.5/82 |
| 10yr. Opts | |||||
| Before data | |||||
| Paper | S | 1,000 | TYH118/119 p spread | .39 and .38 | 11808/08.5 |
| TJM | B | 2,000 | TYH117.5/118 p spread | 0.09 | 11808/08.5 |
| Before data and just after | |||||
| TJM | B | 4,000 | TYH117p | 0.03 | 11809/11 on most |
| After data | |||||
| BCG | B | 750 | TYH117.5/118.5 p 1X2 | 0.02 | 10811/12 |
| Paper | B | 2,000 | TYJ115.5/118.5 combo | .06 put over | 11813.5/14 |
| CSFB | S | 1,500 | TYJ117/118.5 c 1X2 vs. see below | see below | 11821 area |
| CSFB | B | 1,500 | TYJ 115.5/116/117 p tree pieces over | even | 11821 area |
| On above trade they essentially sell the 117 straddle and buy all the other parts | |||||
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