Long end of the yield curve looking heavy. Traders here squawking about the Ultra bond contract – which tracks cash instruments with at least 25 years duration. Depending on how things play out in Greece this week a sustained move in long rates could develop, especially with QE11 ending this Thursday. Also there are concerns once the debt ceiling is increased there may be “extra” borrowing in the pipeline that has been suspended temporarily. Lastly the Bank for International Settlements warned that if advanced economies do not start reversing the easy money policies that have been in place for years now – inflation could fire up very rapidly – if economic growth starts to occur. I did get stopped out on some shorts vs. Sep. bonds Friday – but will be looking to reset on a decent bounce – please call if interested in details.
Player that was long (around 60K) TYQ 126/127 call spreads is liquidating – for a nice profit – paid mostly .06 back on the 14th of this month. Seeing good size trading in both strikes today on screen and looked to be New Edge selling 10K on the floor mostly around 13 ticks.
Larger flows from a.m. session listed below.
| 6/27/2011 | |||||
| Paper | B | 6,000 | EDU9962c | 7 | 9956.5/57 |
| Paper | B | 1,000 | EDU 96/97 c 1X2 | 6 | 9956.5/57 |
| Paper | S | 500 | EDU9962 strad | 20 | 9956.5/57 |
| Paper | B | 20,000 | EDN92/95 ps vs 9962c | 0.5 | 9956/56.5 |
| Paper | S | 1,000 | EDQ93/95 ps | 2.25 | 9956/56.5 |
| Paper | S | 5,000 | EDH92/95 ps | 6.5 | 9943.5/44 |
| Paper | S | 10,000 | EDU92/95 ps | 6.5 | 9956/56.5 |
| Paper | S | 5,000 | EDZ1 9962c | 6 | 9948.5 |
| Fed Fund opts | |||||
| New Edge | B | 500 | FFZ9987c | 1.25 | 9983.5/84 |
| Paper | B | 250 | FFM129975p | 8.5 | 9979.5/76 |
| 10yr. Opts | |||||
| Paper | S | 1,000 | TYQ125/127 c spread | 0.39 | 12426.5/27 |
| Paper | B | 1,000 | TYQ122/123 p spread | 0.1 | 12427/27.5 |
| Paper | S | 500 | TYQ123/124 ps vs. 126c | .13 call over | 12427/27.5 |
| New Edge | S | 2,500 | TYU121/123 p spread | 0.26 | 12426/26.5 |
| Paper | B | 200 | TYQ124/126 combo | 0.08 | ^12426 |
| Paper | B | 1,800 | TYQ124/126 combo | 0.09 | ^12426 |
| Goldman | S | 4,000 | TYQ125/126.5 cs vs. 124p | 0.02 | ^12428 |
| Paper | B | 1,000 | TYQ125/126/127 c fly | 0.1 | 12428/28.5 |
| Paper | S | 500 | TYU126.5 c | 0.49 | 12428.5/29 |
| Paper | B | 1,000 | TYQ125 strad | 1.56 | ^12427 |
| Paper | B | 2,000 | TYU128c | 0.24 | ^12428 |
| Paper | B | 1,000 | TYU122.5/127.5 stranlge | 1.06 | N/A |
| Paper | S | 800 | TYU125 strad | 2.56 | N/A |
| Paper | B | 1,000 | TYQ125 strad | 1.56 | ^12429 |
| Paper | B | 500 | TYWk1 124p | 0.1 | 12429.5/30 |
| Paper | B | 500 | TYU120.5/122/123.5 p fly | 0.11 | N/A |
| CSFB | S | 1,500 | TYQ123p | 0.2 | 12427/28 |
| CSFB | B | 2,700 | TYU119p | 0.12 | 12424/24.5 |
| Paper | B | 10,000 | TYQ123.5p | .26 to .32 | 12428 to 32 |
| New Edge | S | 10,000 | TYQ126/127 c spreads | 0.13 | 12421 area |
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