Well let’s brag a bit. Everybody loves to brag – listeners couldn’t be more bored with a bragger – so I will do it my own self effacing manner and expect retribution of a divine and punitive order immediately. First of all how about those Stanley Cup defending Hawks 7 – 2 victory of the Chinooks - pride was served if nothing else. At least I was able to get to bed and didn’t have to worry about nightmares – featuring Bobby Hull and John Ferguson shooting pucks at my fucking head. Elsewhere I did get scooped up by the 10yr. note and since I feel it is still fairly early in the current up move will take a bit of heat and look to hold a long and trail a stop – right now above water but nothing to exciting. As I have been hinting my strategy is working and those interested should call - cause I’m good. Ok that’s over and I have not been hit with anything yet – but I know it’s coming probably tonight if not sooner.
Seeing some decent trade in the EDU13 options this a.m. – and dig this ship mates that large 1X5 trade yesterday now looks to be a new position – so yesterdays theory about it being a role from 90’s to 88’s was cod swallop. That’s why there is a disclaimer attached to this blog – so make sure you read it and are aware. I do my best – but am the first to admit that fallibility like braggadocio is not only boring but f’n dangerous. But those of you that follow this know that more or less there is some value here and there. Getting back to the EDU 13 options looks to be call structures targeting a move in the underlying future above 9800. Currently the EDU13 futures are trading 9747, probably not a bad bet.
Good article in the FT this a.m. laying out some important propositions as the QEII effort by the Fed is scheduled to end in June. Once they stop buying – that is a tightening – they remind that every 200 bln in securities bought or unwound is approx. 25 basis points. Given that they hold 1.6 trln. in extra long term assets this would imply by the fed’s rule of thumb measure that the implied overnight rate is currently -2% (that's minus 2%). The rest of the article is a decent analysis of the many assumptions the fed has to make in regard to slack in the economy and the shape of the yield curve that has been a result of the Fed’s current largesse. There is going to be a ton of talking head opinions expressed – but the article did mention that one scenario that “officials discussed” in terms of exit strategy was: 1) End the ultra – low “extended period” language, 2) drain reserves out of the banking system, 3) raise short term rates 4) then and only then begin sales from asset portfolios.
Quick thought – if current implied o/n rate is -2% - probably could be making money with red and green month option plays, on the bullish side – discuss…
Larger flows listed below - sorry no pictures today - keep in mind May treasury options expire tomorrow.
| 4/20/2011 | |||||
| TJM | B | 5,000 | EOK 86/88 p 1x2 | 2.5 | 9902/02.5 |
| Paper | B | 2,500 | EDU13 80/82/83 c fly | 4 | 9747/47.5 |
| Paper | B | 2,000 | EDU13 81/86/91 c fly | 5.5 | 9747/47.5 area |
| Paper | S | 2,000 | EDH12 9925 strad | 50.5 | N/A |
| Paper | B | 1,000 | EOM 86/88 psprd vs see below | ||
| Paper | S | 1,000 | EOM 92/93 c spread | 2 psprd over | 9904/04.5 |
| Paper | B | 3,000 | EDU13 80/83/87 c fly | 5.5 | 9747/47.5 |
| Paper | S | 1,200 | EDZ90/97 c 1X2 (2 calls) | 6.5 | N/A |
| Paper | S | 500 | EOM 9900 strad | 28 | N/A |
| Paper | B | 5,000 | EDM2 87/90 p spread vs see below | ||
| Paper | S | 5,000 | EDM2 93/95 c spread | 2 psprd over | N/A |
| Paper | S | 5,000 | EDM 9975 c | 0.75 | N/A |
| Paper | S | 5,000 | EDM 96/97 strangles | 3 | 9969/69.5 |
| 1st opt | S | 3,000 | EDM2/EOM 90/91 stad. Sprd stupid | 85 | N/A |
| Above trade been going on for weeks from a 60 handle to now 85 selling the Red buying the midcurve | |||||
| Fed Fund opts | |||||
| Morg St | S | 2,500 | FFG 9987c | 0.25 | 9966.5/67 |
| RJO | S | 500 | FFV 9975p | 3 | 9981/82 |
| Paper | B | 200 | FFM12 9950 put | 31 | 9942 |
| 10yr. Opts | |||||
| Paper | B | 1,000 | TYM116/124 strangles | 0.05 | 11929/30 |
| Paper | S | 500 | TYM119.5/120.5 strangle | 1.12 | 11929.5/30 |
| New Edge | B | 2,000 | TYK119.5 p | 0.03 | 11931/31.5 |
| RJO | S | 500 | TYM120 strad | 1.4 | ^11929 |
| Paper | B | 1,000 | TYM122.5/123/123.5 c tree | even | 11930/30.5 |
| TJM | S | 750 | TYM121.5/122.5/123.5 c fly | 0.06 | 11930.5/31 |
| Merril | B | 1,500 | TYM117/118/119 p fly | 0.07 | 12001/02 |
| TJM | B | 1,000 | TYK120.5c | 0.03 | 12001/02 |
| Locals | B/S | 1,000 | TYK120/120.5/121 c fly | 0.09 | 12002/02.5 |
| Paper | S | 2,500 | TYM116.5p | 0.04 | ^12002.5,03,03.5 |
| CCM | B | 1,000 | TYM 122 calls | 0.11 | ^12000 |
| 5yr. | |||||
| Paper | B | 3,000 | FVM115/116 p 1X2 | 2.5 | 11719.5 area |
| Paper | B | 4,000 | FVM 115.5 p | 4.5 | 11719.7 area |
| Paper | B | 3,000 | FVK117.5 strad | .17 and .18 | 11719 area |
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