Vote passed as expected and early birds were hitting volatility in the short end as noted previously. Now we have long end looking very vulnerable – yesterday after a disappointing 5yr. auction fixed income was slammed lower. Most the session we have been trading at the lower levels – (please rally so I can jump in with my shorts on). Saw a dealer buy 5yr. notes and sell bonds – looks like we will be seeing more of this today will keep you posted. Back to vol. selling the big premium sucking succubus – came in and sold 1,000 TYU 121 – 126 strangles @ 1.07 – all locals – in unison basically marked the straddle down to around 2.56 just because of who it may be and strong feeling many more will be coming – valuable info?? you tell me.
| 6/29/2011 | |||||
| Paper | S | 2,500 | EDH12 9950 strad | 31.5/31 | 9945 area |
| Paper | S | 1,000 | EOM 9850 strad | 82 | 9933 area |
| Paper | S | 5,000 | EDZ 9950 strad | 27 | 9952 area |
| Paper | B | 10,000 | EDZ9962c | 7 | 9954 area |
| Paper | B | 5,000 | EOU87/90 p spread | 4.5 | 9917 area |
| Paper | B | 1,000 | EDU93/96 p spread | 3.5 | 9963.5 area |
| Fed Fund opts | |||||
| New Edge | B | 1,000 | FFH 9987 c | 0.75 | 9976/77 |
| Paper | B | 300 | FFZ 9981 strad | 7 | 9982.5 |
| Paper | B | 500 | FFZ 9981 strad | 7.25 | 9982.5/83 |
| 10yr. Opts | |||||
| Paper | B | 500 | TYQ121/122.5 p spread | 0.09 | 12301.5/02 |
| Paper | B | 500 | TYU123 strad | 3.02 | 12303/04 |
| Smith B | B | 3,400 | TYU124/125.5 c spread | 0.24 | 12304/04.5 |
| Paper | B | 1,000 | TYU119.5/121.5 ps vs see below | 12304/05 | |
| Paper | S | 2,000 | TYU118p | 0.05 | 12304/05 |
| Above 2 executed as 1X2 package 118 puts over on the trade | |||||
| Smith B | B | 10,000 | TYQ122p | .31 and .32 | 12304 to 07 |
| RJO | B | 1,500 | TYQ125/126/127/128 c condor | 0.08 | ^12306 |
| RJO | B | 1,500 | TYQ125/126/127/128 c condor | 0.08 | 12305/05.5 |
| RJO | S | 1,000 | TYQ125/126/127/128 c condor | 0.08 | 12305/05.5 |
| JP Morg | S | 1,000 | TYU123 strad | 3.01 | ^12305 |
| JP Morg | S | 500 | TYU123 strad | 3 | ^12305 |
| JP Morg | S | 1,000 | TYU123 strad | 2.63 | ^12305 |
| Paper | B | 500 | TYQ 123/124 c spread | 0.29 | 12304/05 |
| Paper | S | 2,000 | TYQ116.5/118 p 1X2 | flat | N/A |
| Paper | B | 1,000 | TYU119.5/121.5 ps vs see below | N/A | |
| Paper | S | 2,000 | TYU118p | 0.03 | N/A |
| Above 2 executed as 1X2 package 118 puts over on the trade | |||||
| Paper | B | 2,000 | TYU120.5/121.5/122.5 p tree | 0.15 | 12304/04.5 |
| Yld. Curve | |||||
| Goldman | B | 1,250 | FVU | 11921.25 | |
| Goldman | S | 500 | USU | 12406 | |
| Above 2 executed in pit as a FOB spread. | |||||
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