Floor sources indicate that current buying of put fly’s in the Fed Fund options are a result of prices finally climbing to levels where these structures can be bought for cheap. Same sources recall many of these orders have been working in the pit since the 1st of April and some well prior to that. If you recall there were some significant events that occurred that caused short term rates to spike lower: http://financialfutures.typepad.com/kiss/2011/04/treasury-trading-update-3.html
The chart below is the December Fed Fund futures as you can see prices traded a broad range on the 1st of April and have trended higher since then. Dec. Eurodollars, which saw huge buying of Put structures yesterday exhibit identical price behavior. So I would not doubt that the put buying is a cheap means to lock in profits on bullish structures – since the trends are very much bullish and therefore longs are in charge.
Larger flows from a.m. session are listed below.
| 4/29/2011 | |||||
| Paper | S | 25,000 | EDH 93/95 c spread | 0.08 | 9939.5/40 |
| This one was sold 100K yesterday open interest report shows was a new position | |||||
| Paper | B | 10,000 | EDZ90/92/93/95 p condor | 0.5 | 9955.5/56 |
| Paper | B | 3,000 | EDH12 90/92/95 p fly | 2.5 | 9939.5/40 |
| TJM | B | 5,000 | EDZ95p vs EDU 96p | 4.5 dec over | U/Z sprd 9/10 |
| Reference shows differential price betwwen 2 contracts - trade works if spread widens…. | |||||
| Paper | S | 1,000 | EOZ 87/88 c spred vs. EOZ73p | 2 put over | N/A |
| New Edge | B | 5,000 | EOM 9875/9900 p 1X2 | 2 legs over | 9912.5/13 |
| Paper | B | 1,000 | EDU12 9812 strad | 81 | 9880/80.5 |
| Fed fund opt | |||||
| Paper | B | 500 | FFG9937/9950/9962 p fly | 1.5 | 9969/69.5 |
| Paper | B | 500 | FFF 9925/9950/9975 p fly | 2.25 | 9974.5/75 |
| Mann | S | 500 | FFZ9968/9987 p 1X3 | 5 legs over | 9977/77.5 |
| Paper | S | 500 | FFM 9987c | 2 | 9988.5/89 |
| Paper | B | 1,500 | FFH 9956/9968/9981 p fly | 1.5 | N/A |
| Paper | B | 2,500 | FFZ 9943/9950/9956 p fly | 0.25 | 9977/78 |
| 10yr. Opts | |||||
| Locals | B/S | 1,500 | TYM119.5/122 combo | .03 call over | ^12030 |
| Merril | B | 1,500 | TYU 124c - TYM 122.5 c 1X2 | .02 Sep over | N/A |
| TJM | B | 1,000 | TYM123c | 0.05 | 12027.5 area |
| Paper | B | 1,500 | TYM121.5/122 c spread | 0.1 | 12028/28.5 |
| Paper | B | 1,000 | TYU 107.5 put | 0.02 | 12031/31.5 |
| Paper | B | 1,000 | TYWk 5 (exp today) 121c | 0.07 | 12102/02.5 |
| Smith B | S | 1,000 | TYM121c | 0.3 | 12103/03.5 |
| RJO | S | 1,000 | TYU 119.5 strad | 3.29 and 3.28 | ^11920 |
| Paper | B | 2,000 | TYM116p | cab 11 | 12102/03 |
| CCM | B | 1,250 | TYM119/119.5/120/120.5 p condor | 0.05 | 12102/03 |
| FV optitons | |||||
| Citi | B | 4,000 | FVM115.5 puts | 0.01 | |
| 30yr. | |||||
| Paper | S | 500 | USN 120 strad | 3.46 | 12026 area |
| Paper | B | 650 | USN117/124 strangle | 1.16 | 12026 area |
| Above 2 executed as a weighted Iron fly | |||||
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