The pursuit of higher rates is underway – hearing large bets made on Euribor contracts this a.m. If anyone has any source material on those flows please let me know if you would be so kind. Here the interest continues with particular focus on the midcurve options vs. the June 12 futures. In the longer end exchange reports show the buying Friday in the May 117 puts was new positions. Recall JP Morgan was a buyer in that strike of over 50K. Exchange volume shows 81K traded and OI was up over 56K on the preliminary reports.
Price action has momentum on the daily charts to the down side, so currently looking for rallies to sell – although not too aggressively just yet. Obviously with prices trading down 7 sessions in a row I’m coming to the sell side a bit late, and I don’t want to sell in the hole as they say. May be an opportunity later today if interested you can reach me at 01 312 432 5083.
Larger flows from a.m. session listed below:
| 3/28/2011 | |||||
| Paper | B | 5,000 | EDU13 9600 puts | 7 | 9724 area |
| New Edge | S | 5,000 | EOK 9875/9862 p stupid | 26 | ^9877 |
| Paper | S | 1,500 | EOK9837/9850/9875 p fly | 5.5 | 9875.5 area |
| Paper | S | 5,000 | EOU9875/9900 c 1X2 | 3.5 | 9839/39.5 |
| New Edge | S | 10,000 | EOM9887c | 13 | 9875.5 area |
| Paper | S | 5,000 | EOM 9850/9900 p spread | 20.5 | 9875/75.5 |
| Paper | S | 2,000 | EOM9812p | 4.5 | ^9874.5 |
| Paper | B | 10,000 | EOM 83/86 ps vs. EOM 91/92 c sp | 5 psprd over | 9877/77.5 |
| Cube | B | 2,500 | EDU13 9575/9600/9650 p fly | 5.5 | 9723.5/24 |
| New Edge | S | 4,000 | EOM 9887c | 13 | 9876 area |
| Fed Fund opts | |||||
| Paper | S | 750 | FFG9950/9962 p spread | 4.5 and 4.25 | 9954.5/55 |
| Paper | B | 500 | EOM 9825/9850 p spread | 5 | 9877/77.5 |
| 10yr. Opts | |||||
| Screeen | |||||
| Paper | B | 7,000 | TYK 115/116/117/118 p condors | 0.13 | 11829 |
| Paper | B | 4,000 | TYK115/116/117 p fly | 0.05 | 11828/5 |
| Floor | |||||
| Paper | S | 500 | TYM119 strad | 2.39 | ^11830 |
| JP Morg | B | 1,000 | TY Wk1 (exp this fri) 118.5 p | 0.22 | ^11828.5 |
| JP Morg | S | 500 | TYK117.5/118.5 p spread | 0.21 | 11829/29.5 |
| Smith B | S | 1,000 | TYWk 1 119.5 strad vs. wk1 120c | .62 strad over | 11830 area |
| New Edge | S | 1,000 | TYK121/122/122.5/123.5 d condor | 0.06 | 11830/30.5 |
| Goldman | S | 2,000 | TYK119.5/120.5 c 1X2 | .01 120.5's over | 11931/31.5 |
| JP Morg | B | 4,000 | TYM116/117.5 p spread | 0.23 | 11900/00.5 |
| RJO | S | 500 | TYM 119 strad | 2.4 | 11829.5/30 |
| Smith B | B | 1,000 | TYK115/117 p spread | 0.13 | 11900/00.5 |
| New Edge | B | 1,000 | TYK117/118 p spread | 0.16 | 11901/01.5 |
| CCM | B | 1,200 | TYM117 / TYK117.5 p diagnol | .14 Junve over | 11830/30.5 |
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