Mega trading in 2yr. options this a.m. largest flows there in over a year. Also very good 2 way flows in Eurodollar futures. Heading into a long holiday weekend with some tough talk eminating from ECB official Bini Smaghi, saying the ECB may have to raise rates is having some effect on trade no doubt. The smart trade so far has been to assume this is jawboning and they do not really intend to raise rates. Zero hedge has an interesting take on what has been visible on the currency price charts for more on this go to: http://www.zerohedge.com/article/euro-surges-expectations-ecb-rate-hike
The option trades in 2yr.s (see players below) today are targeting the 10816 level vs. the June future. A 1% yield on cash 2’s would put the June futures around 10812 area. Chart below shows we have not been at those levels since April .
Note: there is a typo in the comment below re where 2yr. yields were trading at the time the puts were purchased. The yield should be 80% not 89%...
I am long 10's and 30's (buying on dips below 30 on hourly RSI not an easy trade with Oil getting bid.
Larger flows from a.m. session listed below:
| 2/18/2011 | |||||
| ED Opts | |||||
| New Edge | B | 10,000 | EOM 9887/9912 c1X2 | 4 | 9855 area |
| 1st Op/Drax | B | 20,000 | EOZ 9887/9912 c spread | 3.5 | 9784.5/85 |
| New Edge | B | 10,000 | EOM 9887/9912 c1X2 | 4.5 | 9855 area |
| Cube | B | 5,000 | EOM 86/88/91 cfly | 5 | 9855/55.5 |
| Cube | B | 5,000 | EDM13 9650/9675/9700 p fly | 2.5 | ^9726 10% |
| 10yr. Opts | |||||
| New Edge | B | 1,000 | TYH118p | 0.01 | 11824/24.5 |
| Locals | B/S | 500 | TYM117.5 strad | 3.25 | 11825/25.5 |
| New Edge | B | 1,000 | TYH118.5p | 0.02 | 11826.5/27 |
| Morg. St | S | 1,000 | TYJ 115/120 strangle | 0.32 | 11825.5/26 |
| TJM | B | 1,000 | TYK116p | 0.55 | 11825/25.5 |
| RJO | S | 3,200 | TYJ119c | .27 and .26 | ^11712 and 11 |
| RJO | S | 3,400 | TYJ118.5 c | 0.36 | ^11712.5 |
| JP Morg | S | 700 | TYH119 - TYJ115.5 p diagnol | 0.08 | ^11826 |
| 5yr. Opts. | |||||
| Paper | B | 7,000 | FVM118c | .17 and .17.5 | FVM 11525 area |
| 2yr. Options | |||||
| Morg St | B | 20,000 | TUJ 108.25/108.5 p spread | .03.5 | TUM 10825 area |
| New Edge | B | 13,600 | TUJ 108.2/108.5/108.7 p fly | 0.02 | TUM 10825 area |
| working 1,400 more | |||||
| Trades | |||||
| TP | B | 5 | TYH | 11824.5 | |
| TP | B | 5 | USH | 11826 | |
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