Re the flows from this a.m. floor sources feel dealers were selling the call spreads and buying the put spreads – this makes sense to me. See players list for review.
Just now a well leaked Chicago PMI came out 7 points higher than expected – 61 handle vs. a call for 54 area. Bonds and 10’s seek new lows – unbelievable – makes me think call sellers and put buyers had a leg up on this one.
Now around 9:15 a.m.c.s.t. word is Greek vote has passed – on implementation – some passionate speeches – but the yea’s carried. So now what – focus on US debt might be the music to stir up the KCF’s – if so should be interesting.
Now around 9:52 – race to the bottom continues as some politician on CNBC is touting poker machines for “everybody” or some such thing – pathetic – pathetic – pathetic.
Good action in 10’s really rewarding overnight shorts and shorts in general – grain reports way way off the mark in corn current synthetic price via options indicate prices could be 3 point limit down again tomorrow – who needs poker machines.
The month of July will probably move from Greek tennis to US debt ceiling Tennis – could get rough so be ready and tune in and send those checks in now.
Larger flows listed below - 5yr. option pit fairly active - but no real trend emerging in terms of directional flow - so I took a pass on posting anything - call if you need anything.
| 6/30/2011 | |||||
| Paper | S | 5,000 | EDQ13 9775/9825 p spread | 13.5 | N/A |
| Paper | S | 5,000 | EOZ91/95c 1X3 | 10.5 | 9896.5/97 |
| New Edge | B | 10,000 | EOH9925/9950c1X2 | 5 | 9876/76.5 |
| Paper | B | 10,000 | EDZ90/93 ps spread see below | vs | |
| Paper | S | 5,000 | EDZ9962c | .5 put over | 9956 area |
| Paper | B | 14,000 | EDZ90/93 ps spread see below | vs | |
| Paper | S | 7,000 | EDZ9962c | .75 put over | 9956 area |
| Above 4 - same trade executed as packages | |||||
| CCM | S | 2,000 | EOZ9900 strad | 0.45 | N/A |
| Paper | S | 50,000 | EDZ139787/9800 p spread | 6 | 9783/83.5 |
| Open interest only 17K in the 9787 strike and 32K in the 9800 - new position probably fading down move | |||||
| Fed Fund opts | |||||
| JP Morg | S | 500 | FFU9987c | 1 | 9986/86.5 |
| 10yr. Opts | |||||
| Screen | |||||
| Paper | S | 15K | TYQ124.5/126 c spread | .12 area | 12228.5 area |
| Paper | B | 12K | TYQ121.5/123.5 p spread | 0.52 | 12227.5 area |
| Note above 2 are estimates have been trading all session at various levels so don't hold prices shown | |||||
| here exactly. There are other large call and put spreads trading on screen as well - call for details. | |||||
| Open Outcry | |||||
| TJM | B | 1,000 | TYQ121/122.5 p 1X2 | 0.11 | N/A |
| Paper | B | 500 | TYQ123 strad | 1.42 | 12231/00 |
| Merril | B | 500 | TYQ124 strad | 1.53 | ^12300 |
| JP Morg | B | 500 | TYU118/120 p spread | 0.16 | 12230/30.5 |
| CCM | B | 1,000 | TYQ123 strad | 1.42 | 12229.5/30 |
| Adv. | S | 500 | TYU123 strad | 2.47 | 12230/30.5 |
| BCG | B | 750 | TYQ119/120/121 p tree | 0.04 | N/A |
| RJO | B | 1,000 | TYQ125/126/127/128 c condor | 0.06 | 12300/00.5 |
| Paper | B | 500 | TYQ123.5c | 0.39 | 12301 |
| Local | B | 2,500 | TYU115.5/120 p spread | 0.36 | ^12301 |
| RJO | B | 1,000 | TYQ121p | 0.15 | 12231/31.5 |
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