Morning shipmates – seeing volatility in 10’s taking a big whack already. Aug. straddle settled 1.52 yesterday – currently it is 1.41/1.42. Looks to be strong selling of call spreads vs. August options – they expire July 22. specifically we are seeing good selling in the Aug. 124/125 call spread @ .14 with futures around 12230. Also with futures around 12229 good trading in Aug. 124/125.5 c spread. Also a Aug. 124.5/126 c spread for around .12 with futures around 12228.5. I am making the assumption that it is selling by the instigator mainly because of the sharp decline in vol. If I hear otherwise I will report. Also there has been good trading in the Aug 121/122 put spread – call for more if you like 01 312 432 5083.
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06/30/2011
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