One of the interesting things that skewed some of the data last week – jobless claims – and industrial production had to do with supply disruptions that are now being felt after the tragic earthquake tsunami that hit Japan. The auto sector apparently took a pretty good hit pulling down the indices – however other sectors of the economy were doing quite well especially mining, something to keep in mind as we continue to see record low interest rates.
Currently about 3 hours into the session market in US treasury futures is holding gains as concerns of stability in the euro zone periphery continue to pressure money to find the safest locations. The euro made fresh lows vs. the Swiss Franc which is one of the larger trades going on in these tough times (see chart to the right). These truly are extraordinary times and with the massive amounts of liquidity foisted upon the market via all these stimulus packages reality has been replaced by fantasy. And the new Walt Disney is an imaginative gnome named Bernanke.
Enough of that, what we have going on here seems to be fresh bets that back month Eurodollar contracts are currently under valued. Not so much in the longer end.
Larger flows from a.m. session listed below.
| 5/23/2011 | |||||
| Paper | S | 2,000 | EDZ12 92/93 c spread | 5.5 | 9976/76.5 |
| Icap | B | 2,000 | EOM 91/92 p 1x2 | 1 | 9928.5/29 area |
| Paper | B | 30,000 | EDN 93/96 p spread | 2.5 | 9965.5 area |
| 20K of the above were bought on screen prior to open futs may have been a tick higher | |||||
| New edge | B | 10,000 | EOM 9925 c | 8.5 | ^9929 60% |
| Paper | B | 15,000 | EDN13 9850 c | 3 | 9799.5/9800 |
| TJM | B | 3,000 | EDZ12 90/93 c spread | 0.18 | 9875.5/76 |
| Paper | S | 2,000 | EDH95 strad | 33.5 | 9947.5/48 |
| New edge | S | 10,000 | EON 91/92 c 1X2 | 2 | 9903/03.5 |
| Paper | B | 3,000 | EDH 9937 strad | 39.5 | 9947.5/48 |
| Paper | S | 2,000 | EOU 9800/9850/9900 p fly | 7.5 | 9903/03.5 |
| Paper | B | 30,000 | EDU13 9900 call | 1 | 9798.5/99.5 area |
| Some of the above bought covered futures | futures 9800.5 | ||||
| 10yr. Opts | |||||
| Smith | B | 5,000 | TYU117.5 p | 21 | 12027 |
| RJO | S | 500 | TYU122 strad | 3.06 | ^12129 |
| Local | S | 650 | TYN119/125 combo | 0.03 | 12128.5 |
| Paper | S | 100 | TYU122 strad | 3.05 | 12126 area |
| 30yr. Opts | |||||
| UBS | B | 1,000 | USQ 118/121 p spread | 0.34 | 12511/12 |
| Paper | B | 1,000 | USU 116/117/121 p tree | 0.3 | 12402 area |
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