Large trading going on in Dec. mid-curve options this morning and yesterday. Open interest shows a decline in the 9900 call and increase in the 9887. The EOZ 9787 put is a new position. The funds have been very active in these strikes since February. If anyone has any insight on this trade would love to hear it. Target for the Red contracts still seems to be 9925 area potentially and therefore long call structures for less than 4 ticks still looks like good risk reward trades.
It sure feels like the Fed will remain supportive of the longer end of the Market and the Treasury secretary was commenting today that the US “Absolutely will keep AAA rating. So trends remain in tact and the game can continued to be played by current rules. It is getting dicier every day – but what can we do – put all our money in gold and silver?
Larger flows listed below.
| 4/19/2011 | |||||
| TJM | B | 1,000 | EOK 9862/9888 p 1X2 | 2.5 | 9902 |
| Paper | B | 3,000 | EDZ 90/92/95 p fly | 2 | 9950.5 |
| Paper | B | 1,750 | EOK 9862/9887 p spread vs | see below | |
| Paper | B | 1,750 | EOM 81/83/86 p fly | 3 psprd over | N/A |
| Paper | S | 10,000 | EDZ1 9975c | 1 | 9951 area |
| Paper | S | 8,000 | EOZ 9787 put vs. | see below | |
| Paper | B | 40,000 | EOZ 9887/9900 c spread | 1 put over | N/A |
| Did same trade yesterday at least 5K @ 25K | |||||
| TJM | B | 4,000 | EOK 9862/9888 p 1X2 | 2.5 | 9903.5/04 |
| Paper | B | 10,000 | EOK 9887p | 5 | 9902.5/03 |
| Paper | B | 7,000 | EOM 9912 c | 9 | 9903.5/04 |
| Paper | B | 5,000 | EOM 9875p | 6 | 9904/04.5 |
| Fed Fund opts | |||||
| Morg St | S | 1,500 | FFG9987c | 0.25 | 9966/66.5 |
| Mann | B | 1,500 | FFK/M 9975 p stupid | 0.5 | 9989.5/90 area |
| RJO | B | 500 | FFG 9875/9900/8825/9950 p condor | 2.5 | 9966/66.5 |
| Paper | B | 800 | FFG9937/9950/9962 p fly | 1.5 | 9966/66.5 |
| Mann | B | 800 | FFX 9987c | 0.5 | 9978/78.5 |
| Paper | B | 400 | FFZ 9962/9968/9975 p fly | 0.25 | 9975.5/76 |
| 10yr. Opts | |||||
| JP Morg | S | 500 | TYM123c | 0.05 | 11931/12000 |
| Paper | S | 500 | TYK120.5c | 0.07 | 12004/04.5 |
| Paper | S | 500 | TYK121/121.5/122 c fly | 0.01 | 12004/04.5 |
| 1st opt. | S | 500 | TYK 120c | 0.2 | 12004.5/05 |
| Paper | B | 1,000 | TYK121.5c | 0.01 | 12004/04.5 |
| Paper | B | 1,000 | TYM120.5 strad | 1.47 and .148 | ^12004 |
| Mann | B | 1,000 | TYK 119.5 p | 0.04 | 12004/04.5 |
| Merril | S | 1,000 | TYK120.5p | 0.29 | ^12005 |
| Paper | B | 1,500 | TYK120.5c | 0.07 | 12005.5/06 |
| Smith B | B | 500 | TYM118/120p 1X2 vs. 121.5c | even psprd over | 12006/06.5 |
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