Risk back in the market in the early going as some Irish banks were threatened with ratings downgrades. Also some Italian banks were cited as not doing well in recent stress tests – so US fixed income caught an early bid and has not let go. Short end as measured by Sep. Eurodollars have plunged dramatically signaling that some serious interbank lending risks are possible. The current Libor target is Just over 24 basis points which means if that target holds – and so far it has been trending towards lower and lower rates – the Sep. contract should expire around 9975.
Fed Fund options are seeing some trades reflecting odds that rates will stay below 10% going forward so there has been some buying of Nov. 9987 call for 1.25 – if the Nov contract – which currently quotes 9984.5/85 settles 9990 the 9887 (that’s short hand for 9887.5) call would be worth 2.5 tics so you could double your money. I was reminded that some of the extra borrowing in the short space that would effect rates in the overnight market could re-emerge once the government increases the debt ceiling so that would be a risk – to be aware of.
Lager flows from a.m. session listed below - have a good weekend.
| 6/24/2011 | |||||
| Paper | B | 1,000 | EDH12 9937/9950 c spread | 9 | N/A |
| Paper | B | 2,000 | EDU19950/9962/9975 c fly | 3 | N/A |
| Paper | B | 50,000 | EDH93/95 c spread | 9 | 9946.5/47 |
| Paper | S | 2,000 | EDU19950p | 7.5 | ^9959 50% |
| Paper | S | 2,000 | EDH9800/9850/9900 p fly | 2 | 9947.5/48 |
| Paper | B | 2,000 | EDZ95/96 p spread | 4.25 | N/A |
| Paper | B | 5,000 | EDU97/98c1X2 | 0.5 | N/A |
| Dealer | B | 5,000 | EON9887/9900 p spread | 1 | ^9926 10% |
| New Edge | B | 20,000 | EDU13 9862/9887 c spread vs | 9852/52.5 | |
| New Edge | S | 10,000 | EDQ13 9837/9862/9887 cfly | 2 - call spread | 9852/52.5 |
| Above 2 executed as a 1X2 package at least 10X20 may get revised up. | |||||
| Fed Fund opts | |||||
| Paper | B | 600 | FFZ9987/9993 c spred vs see below | 9983.5/84 | |
| Paper | S | 600 | FFZ9975/9981 p spread | .25 c spread over | 9983.5/84 |
| Above 2 executed as bullish risk reversal package. | |||||
| New Edge | S | 4,000 | FFM9987c | 2.75 | ^9990.25 54% |
| Tradelink | B | 250 | FFQ9981/9987p1X2 | 0.75 | 9987.5/88 |
| Fimat | B | 250 | FFX9987c | 1 | 9984/84.5 |
| Tradelink | B | 250 | FFX9981/9987c1x2 | 2.75 | 9984/84.5 |
| Paper | B | 500 | FFV9981c | 5 | 9985/85.5 |
| Paper | B | 750 | FFN9987/FFQ9981 p stupid | 0.5 | 9989.5 +99987.5 |
| New Edge | B | 3,000 | FFX9987c | 1.25 | 9984.5/85 |
| 10yr. Notes | |||||
| Morg. St | B | 1,000 | TYU1205/122/123.5 p fly | 0.12 | 12409/10 |
| RJO | B | 1,000 | TYN124p | 0.02 | 12409/10 |
| TJM | B | 1,000 | TYU126.5c | 0.34 | 12405/06 |
| Screen | S | 15,000 | TYQ126c | .22 and .23 | N/A |
| Likely liquidating large buys from 6/14 on a TYQ 126/127 c spread were paying .06 mostly. | |||||
| RJO | B | 1,000 | TYWk2/TYQ124.5 strad calendar | 0.3 | ^12409 |
| CCM | S | 500 | TYU124 strad | 2.56 | 12409.5/10 |
| Paper | B | 500 | TYU122.5p | 0.48 | ^12410 |
| Merril | S | 500 | TYU119.5/122ps vs U127c | 0.03 | 12409.5/10 |
| Merril | S | 500 | TYU119.5/122ps vs U127c | 0.06 | 12413/13.5 |
| Merril | S | 500 | TYU119.5/122ps vs U127c | 0.1 | 12418/18.5 |
| Paper | S | 1,000 | TYN123.5/124c1X2 | 0.05 | 12410.5/11 |
| JP Morg | B | 2,500 | TYQ123/123.5/124 p tree | even pieces over | 12414/14.5 |
| RJO | S | 500 | TYN124/125c spread | 0.32 | 12416.5/17 |
| Paper | B | 500 | TYQ123.5 p | 0.34 | 12416.5/17 |
| Screen | B | 8,980 | TYQ123p | 0.25 | 12419 area |
| Floor sources saw HSBC buy about 1K on floor feel it's them on screen buying as well | |||||
| Screen | B/S | 11,055 | TYN124p | .01 mostly | 12405 to 10 some |
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