Long end has confirmed up trend underway on daily outlook – I missed a signal (sort of ) yesterday so now have to wait for the train to slow down so I can jump on – not going to rush in. Sorry to be evasive with the lingo – but only paying clientele get the facts. I assume most of you are here for the free shit – just remember you get what you pay for.
Moving on numbers this morning on inflation were better than expected so prices firmed a bit further on that one. Some large block trades (that floor sources indicate were sales) on the Red June futures have been well absorbed by the price action. Also of note the large strangle seller lowered the call strike to 121 and shorted 2K more. From here prices should firm – chart below shows the broad strokes in terms of yield. How you play it and manage your risk – is what I can help with – been in this racket a long time and have my nose in it every day – tools I’m using do work, If I can’t hook you no sweat off my sack – just remember you can do it but without a good plan and above all else “discipline” best throw in the towel and seek the expertise you need.
In terms of the strangle seller in 10's the 121 strike corresponds with a cash yiled of approx 3.27%. The 122 strike would be approx. a 3.15% yield. They have taken a lot of premium out of the 117/122 strangle but the 1117/121 @ .36 probably will not be traded too heavily.
Larger flows from a.m. session listed below.
| 4/15/2011 | |||||
| Paper | B | 2,000 | EOK 9912 calls | 2 | N/A |
| New Edge | B/S | 3,000 | EDM12 9937/9962 c 1X2 | 4.5 | N/A |
| Paper | B | 1,500 | EDH83/87/88/92 p condor | 5.5 | 9824.5/25 |
| Paper | B | 4,000 | EOK 86/87 p stupid | 8.5 | 9891.5/92 |
| New Edge | B | 2,000 | EDU/Z 9950/9962 p sprd - spread | 1.5 to 1.7 U over | N/A |
| New Edge | B | 20,000 | EOU 87/90/93 c fly | 4.5 | 9854.5/55 |
| New Edge | S | 10,000 | EOU 9900/9925 c1X2 | 4 | 9857/57.5 |
| Locals | B/S | 2,500 | EOM 85/87/90 p fly | 4 | 9894.5/95 |
| Paper | B | 3,000 | EOM 9700/9750 p spread | 3.5 | 9893/93.5 |
| Fed fund opts | |||||
| Mann | B | 1,000 | FFM 9987c | 2 | 9988/88.5 |
| Paper | B | 1,000 | FFV/X/Z 9981/9987/9993 c fly strip | 8.5 | N/A |
| 10yr. Opts | |||||
| Before data | |||||
| Paper | S | 500 | TYK119.5/120.5 c spread | 0.12 | 11914/14.5 |
| Paper | S | 2,000 | TYK120c | 0.1 | 11914/14.5 |
| Paper | B | 500 | TYK117.5/118/118.5 p fly | 0.02 | 11914/14.5 |
| Post Data - CPI et al | |||||
| New Edge | S | 2,000 | TYK120.5c | 0.08 | 11921/21.5 |
| Local | B/S | 2,000 | TYK117.5 p | 0.01 | 11919/20 |
| Swiss | S | 1,000 | TYK118 p | 0.02 | 11919/20 |
| New Edge | S | 4,000 | TYK120p | 0.38 | ^11919.5 |
| Paper | S | 1,000 | TYK121/122/122.5/123.5 c condor | 0.02 | 11922/22.5 |
| JP Morg | B | 500 | TYK119/120 pspread | 0.27 | 11921/21.5 |
| Goldman | B | 2,000 | TYK119/119.5 c 1X2 | 0.07 | 11920/20.5 |
| Local | B/S | 2,500 | TYK117.5 p | 0.01 | 11920/20.5 |
| Paper | S | 1,500 | TYM117/121 strangle | 0.36 | 11924 area |
| Fairly aggressive - probably the same player short size on the TYM 117/122 strangle….. | |||||
| Paper | S | 1,500 | TYK120/120.5c1X2 | 0.6 | 11923 |
| CCM | S | 1,500 | TYK119 strad | 0.6 | 11923 |
| JP Morg | B | 1,000 | TYM117.5 p | 0.14 | 11924.5/25.5 |
| CSFB | S | 5,000 | TYK120.5/121 c spread | 0.04 | 11925.5/26 |
| CSFB | S | 4,500 | TYK119/119.5 p spread | 0.08 | 11925.5/26 |
| Paper | B | 700 | TYM121c | 0.27 | ^11926 |
| RJO | B | 1,500 | TYM118/119.5 p spread | 0.3 | N/A |
| 5yr. Opts | |||||
| Paper | B | 5,000 | FVK117p | 0.08 | N/A |
| Paper | B | 1,000 | FVN110.5/112/113.5 p fly | 5.5 | 11709.5 vs M |
| Block trades | |||||
| Paper | B | 5,000 | EDM2 thru EDH3 (red pack | up 7.75 | done 8:56 a.m. |
| Paper | S | 14,000 | EDM2 | 9888.5 | done pre - open |
| Paper | S | 14,000 | EDM2 | 9892.5 | done 7:33 a.m. |
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