This day you better have been well mounted and in the shoot from the get go. Volatility here explodes on the open as straddles bid up a couple of ticks in the early going. Fundamentals include – tweets – between parliamentary officials in Greece – warning of serious short falls in proposed austerity budgets and conversations between Papandreou and his Slovak counterpart that finding support for the reforms – cannot be done. Where is Kojack you ask – he’d be with the people baby. There was also talk of major asset re-allocation out of equities into 10yr. – maybe will report if I get more on that.
A look at the player’s sheet below shows some of the large trades in the 1st ½ hour of today’s session. At this moment 8:37 things cooling down a bit – and straddles have ticked down. Just now dealer sells 10K EDH 9900/9925/9950 put fly @ 2 ticks futures 9949.5/50 – indicative of the buying subsiding a bit.
Will try to send more later – just wanted to get some quick coverage as this day fast paced so far….
Larger flows listed below:
| 6/23/2011 | |||||
| Paper | S | 10,000 | EDZ91/EOZ9675 ps | 5 | N/A |
| Paper | B | 10,000 | EDU/Z 9975 c stupid | 1.5 | N/A |
| Paper | B | 5,000 | EDN9962c | 3.5 | ^9959 |
| Paper | B | 5,000 | EDN9962c | 3.75 | ^9959 |
| Above 2 highlight big uptick in volatility - seeing it in all pits. | |||||
| New Edge | B | 10,000 | EOZ91/93 c 1X2 | see below | N/A |
| New Edge | S | 10,000 | EDZ13 87/90 c spread | 3 EOZ over | N/A |
| Paper | S | 15,000 | EDU13 82/85 cs | 15 | N/A |
| Paper | B | 30,000 | EDU13 86/87 c spread | 5 | N/A |
| Above 2 executed as a 1X2 package - nets they pay 5 for it. | |||||
| Paper | B | 8,000 | EOH92/95c1x2 | 6.5 | 9888.5/89 |
| Paper | S | 2,000 | EDZ9925/9950 pspread | 4.75 | ^9953 20% |
| 10yr. Opts | |||||
| Paper | B | 500 | TYU124 strad | 2.57 | 12404/04.5 |
| Paper | B | 2,500 | TYN124p | 0.08 | 12409.5/10 |
| Paper | S | 1,000 | TYN123.5/124 c spread | 0.27 | 12411/11.5 |
| Paper | S | 1,000 | TYN123.5/124 c spread | 0.28 | 12412/12.5 |
| Paper | B | 1,000 | TYN123.5p | 0.03 | 12410/10.5 |
| CCM | B | 1,000 | TYU128/130/132 c fly | 0.08 | N/A |
| Paper | B | 1,500 | TYN124.5 c | 0.1 | ^12409 |
| Merril | B | 1,000 | TYQ122.5 p | 0.25 | 12408.5/09 |
| Merril | B | 1,000 | TYQ124c | 0.29 | ^12411 |
| New Edge | S | 1,000 | TYU124c | 1.37 | 12407.5/08 |
| New Edge | S | 1,000 | TYU124c | 1.4 | 12410/10.5 |
| CCM | S | 500 | TYQ124.5/126 c spread | 0.33 | ^12408.5 |
| Locals | B/S | 1,000 | TYN125c | 0.04 | 12409/09.5 |
| 5yr. Opts | |||||
| Smith B | B | 5,000 | FVQ120p | 29.5 | 12010 area |
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