There has been a bit of a pickup in ED option put buying today. We do have the UK meeting on rates tomorrow. They seem more inclined than their ECB counter parts to hold rates steady for some kind of period – either extended like the US or some other period. A journal article this morning does point out they have to be concerned with a possible rate hike from the ECB in terms of a weaker pound causing more imported inflation. But keep in mind the market seems to be pissing a bit on the notion of an imminent rate hike from the ECB next month and rightly so as far as I am concerned. The journal also mentioned that the spot light on the imminent rate increase has dimmed a bit as debt concerns in the Eurozone have moved to the forefront once again.
One more thing to note we are hearing a large west coast bond fund in selling the EDH12 9937 straddle. They recently did a large trade selling the Front Sep. 93 straddle they did pretty well on the trade and a number of local firms got burned. See 2/24 update for some color: http://financialfutures.typepad.com/kiss/2011/02/treasury-trading-update-17.html With futures currently trading 9914, the trade will do well if we slowly grind up towards the strike. Note EDZ11 contract is currently priced @ 9938 area, right at the strike they are selling vs. the Mar. 12 futures…..
Longer end of the market still muddling through the auctions not providing much impetus for trade.
. Trend looks to be crossing from up to down on the Daily bond chart. 10’s still up. Currently long some bonds – but will hope to be able to cover soon as noted preferred trade if signals arise would be to work from the short side.
Larger flows listed below.
| 3/9/2011 | |||||
| Paper | B | 2,000 | EDZ1 82/85/87/90 p condor | 2 | 9939/39.5 |
| Paper | B | 3,000 | EDM1 9937 put | 1.5 | 9963.5/64 |
| TJM | B | 1,500 | EDM 96 strad. vs. sell 92/95 pspred | 9 strad over | ^9964.5 - 25% |
| CCM | B | 4,000 | EDJ 9950 puts | 0.75 | ^9963 - 10% |
| Above order executed as an all or none…. | |||||
| Paper | B | 2,500 | EDU1 9925 puts | 5 | 9954.5/55 |
| Paper | B | 2,500 | EOM 86/88/92 c fly | 4.5 | 9879.5/80 |
| Advantage | S | 12,000 | EDH12 9937 strad | 52.5 and 52 | 9913 to 14 area |
| Advantage | S | 4,000 | EDH12 9912 strad | 57 to 56 | 9913 to 14 area |
| 10yr. Opts | |||||
| Icap | S | 1,000 | TYJ115 p | 0.02 | ^11815 |
| Icap | S | 1,000 | TYJ115.5p | 0.03 | 11819.5 |
| JP Morg | B | 1,500 | TYJ118/120 combo | .16 put over | ^11818.5 |
| New Edge | B | 500 | TYK120.5/121.5/122.5 cfly | 0.06 | 11818/18.5 |
| New Edge | B | 1,000 | TYK 116/120 combo | .18 call over | 11819.5 |
| New Edge | B | 500 | TYJ 119c | 0.33 | ^11817.5 |
| CCM | S | 500 | TYJ118/119 combo | 0.05 | ^11819.5 |
| Mann | B | 500 | TYM119/121 c spread | 0.46 | ^11816 |
| Merril | B | 1,000 | TYJ115.5 put | 0.03 | 11820.5/21 |
| JP Morg | B | 1,000 | TYJ120c | 0.14 | ^11818 |
| Paper | B | 500 | TYM113.5 p | 0.14 | 11818/18.5 |
| JP Morg | S | 1,000 | TYJ115.5 - TYK116 put diag | .17 (K over) | ^11819 |
| Paper | B | 1,000 | TYK/M 118 put calendar | .23 (K over) | 11818/18.5 |
| Merril | B | 1,000 | TYM121.5 c | 0.29 | 11816.5/17 |
| Mann | B | 1,000 | TYJ118/119 c 1X2 | 0.01 | 11817.5/18 |
| Mann | B | 500 | TY Wk 2 119c | 0.07 | 11814/14.5 |
| New Edge | S | 2,000 | TYM120c | 0.54 | 611815 |
| Paper | S | 300 | TYJ120c | 0.12 | ^11814 |
Comments