Seeing continued profit taking on Short positions that were put on back in Mar. on the EDH 9937 straddle. Back in early and late march with the futures trading around 9910 to 14 area dealers were selling that straddle for 53 and 52.
Elsewhere long end clearly has changed direction – rally in 10’s and 30’s since Apr. 11th has stalled and now starting what looks to be sustained down move. Was able to sell some Sep bonds yesterday early – will add to position as signals arise. May look at some risk reversals in options as well – call if interested.
There was something out today apparently that put some downward pressure on Fed Fund options and floor sources indicate that dealers were looking to buy puts. Here is a link to the story: http://www.reuters.com/article/2011/05/24/usa-fed-gse-idUSN2425423320110524?type=bondsNews . I will have to do some home work on this but the reaction was most the contracts fell 1 tic and there was some fresh put buying. My initial understanding is that the GSE’s could wind up having to absorb a lot of securities from the Fed’s portfolio and this would lessen the amount of cash that currently is available in the Fed Fund and other lending markets' so an increase in rates could be the result. Will try and get more later on this one.
Larger flows from a.m. session listed below:
| 5/24/2011 | |||||
| Paper | B | 1,000 | EDU95/96 | 1.5 | 9965.5/66 |
| Paper | B | 3,000 | EDU 9875p | 1 | 9965.5/66 |
| Paper | B | 1,000 | EDU 9975c | 1.25 | 9965.5/66 |
| New Edge | S | 20,000 | EOM 9900/9912 c spread | 11 | ^ 9926.5 |
| Paper | S | 3,000 | EOU 9900 strad | 38 | ^9898 |
| Paper | B | 10,000 | EOZ 9950 c | 0.5 | 9870.5/71 |
| Paper | B | 2,500 | EOU 9775/9825 p 1X2 | 1.5 | 9899/99.5 |
| Merril | S | 10,000 | EDZ13 9700p vs EOZ 9825p | .5 and even 13 over | |
| Paper | S | 5,000 | EDU 9937p | 3 | ^9965.5 |
| Paper | B | 2,000 | EDH 9937 strad | 0.39 | 9946.5/47 |
| Paper | S | 3,000 | EOM 9925 p | 0.05 | 9926.5/27 |
| Paper | B | 5,000 | EOM 9900 p | 1 | 9926 |
| Paper | S | 3,000 | EOM 9925 p | 5 | 9926.5/27 |
| Locals | B/S | 5,000 | EOZ 9925/9950 c 1x2 | 3.5 | 9870.5/71 |
| Paper | B | 3,000 | EDM9975c | 0.5 | 9972.7/73 |
| Fed Fund opts | |||||
| Trade Link | B | 300 | FFV 9987c | 1.25 | 9985.5/86 |
| Paper | B/S | 500 | FFV 9981 c | 5.75 | 9985.5/86 |
| Paper | S | 750 | FFZ 9987 c | 1 | 9981/81.5 |
| Mann | S | 500 | FFX 9981 strad | 7 | 9982.5/83 |
| JP Morg | B | 500 | FFZ9975/9981 p spread | 1.25 | 9981.5/82 |
| Paper | B | 2,000 | FFZ9962/9975/9981 p fly | 0.25 | 9981.5/82 |
| Paper | B | 1,000 | FFQ9987 puts | 1.5 | 9987.5 area |
| 10yr. Opts | |||||
| Merril | B | 500 | TYU 115/129 strangle | 0.11 | 12114/14.5 |
| Paper | S | 1,000 | TYU118p | 0.27 | 12113/13.5 |
| Paper | B | 500 | TYU121p | 0.09 | 12113/14 |
| Barclay | B | 1,000 | TYU 121.5c | 1.01 | ^12114 |
| JP Morg | B | 750 | TYN122.5/123.5/124.5 c fly | 0.08 | 12116/16.5 |
| Paper | B | 500 | TYU 118 p | 0.27 | 12118/18.5 |
| RJO | S | 500 | TYU121.5 strad | 2.63 | 12118/18.5 |
| Locals | B/S | 1,000 | TYN116/118 p spread | 0.03 | 12117/17.5 |
| Paper | B | 1,000 | TYN120.5/121.5 p spread | 0.25 | 12227/27.5 M |
| Merril | B | 1,500 | TYQ 123.5c | 0.26 | 12117/17.5 |
| TJM | S | 1,000 | TYU121.5 strad | 2.62 | ^12117 |
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