Last Wed. saw weak ADP payroll data and Weak ISM data the bar highlighted showed a strong positive reaction in the Mar. 13 future. Prices have continued higher as Fridays payroll data did validate the previous weak data. As noted on June 1 we saw aggressive buying of Short Mar (those options are vs. the EDH13 future) 9900/9912 call spreads vs. selling EOH 9962 puts. The Mar futures were trading 9870/70.5 at the time so the call spread was bought for 6 ticks and the puts which were only 8 tics out of the money were sold @ .31. The trade was weighted roughly five to one in favor of the call spread making the premium about flat. Currently with the move up in prices – I have 9883.5 trading last the call spread is quoted 6.5/7.5 and the puts are quoted 24/25. The options expire in Mar of 2012 and have 288 days left before expiring. Today if you look at players sheet below you will see a similar trade put on vs. the Mar 14 future. Those contracts also expire in 288 days.
Elsewhere recent reports from Troika are saying the recession in Greece is worse than initially expected and another headline says the next disbursement cannot be made until “under financing" is resolved. I’m not sure what that means other than obvious risk concerns returning to the market and this is helping to push US treasuries higher even as we have a 10yr. note auction scheduled shortly. As noted earlier I am active at these levels and may have another trade coming – call in you are interested in details.
Larger flows from a.m.session listed below:
| 6/8/2011 | |||||
| Paper | B | 4,000 | EDU12 9925 strad | 60 | N/A |
| Paper | B | 25,000 | EDU13 9900c | 2 | ^9835 - 5% |
| 10K traded in bit after 15K traded on screen as a block | |||||
| Paper | B | 5,000 | EDZ13 9875c | 7.5 | ^9810 |
| Adv | S | 2,000 | EOH9875 strad | 66.5 | 9885/84.5 |
| Paper | B | 2,000 | EOM9925/9937 p spread | 0.5 | ^9943.5 16% |
| Adv | B | 2,000 | EOZ 9950c | 1.5 | 9905 area |
| Merril | B | 5,000 | EON 9912 strad | 22 | ^9926.5 |
| Paper | B | 500 | EDM12 9937 - EDH 9950 strad sprds | 17 EDM12 over | N/A |
| Local | S | 1,000 | EDH12 9950 strad | 28 | 9954.5 area |
| Probably largest floor locals sold the strad above now offered @ 28 | |||||
| Mann | B | 5,000 | EDM12 9850 p | 5.5 | 9942/42.5 |
| Paper | S | 2,000 | EOM 9937p (exp this fri) | 0.5 | 9943 area |
| Paper | S | 6,000 | EDH14 9800 puts | 48 | 9789 area |
| Paper | B | 48,000 | EDH14 9812/9825 c spreads | 6 | 9789 area |
| Above 2 executed as a risk reversal package for flat | |||||
| Paper | S | 500 | EDM12 93 strad EOH 88 strad | 104.5 sold both | ^9943 - ^9884 |
| Paper | B | 20,000 | EDZ13 9875/9900 cs vs 76/77 ps | 2 | ^9810 |
| Fed Fund opts | |||||
| Trade link | S | 250 | FFZ 9975/9987 p spread | 1.75 | 9984/84.5 |
| Paper | B | 250 | FFH 9968/9975 p spread | 1 | 9979/79.5 |
| 10yr. Opts | |||||
| RJO | S | 500 | TYN121.5p | 0.05 | ^12321.5 |
| Post data | |||||
| Bache | B | 1,000 | TYQ125.5/126.5 c spread | 0.11 | 12318.5/19 |
| TJM | B | 500 | TYU118p | 0.11 | 12322.5/23 |
| CCM | S | 1,000 | TYN121/125 combo | .06 call over | 12321.5/22.5 |
| CSFB | S | 2,000 | TYN122.5 p | 0.13 | ^12322 |
| Mann | B | 2,000 | TYN124c | 0.3 | 12321.5/22 |
| Paper | B | 500 | TYU118/120 p 1X2 | 0.07 | N/A |
| Paper | B | 2,000 | TYU117/118/120 p tree | 0.06 | 12317/18 |
| RJO | S | 1,750 | TYQ123.5 strad | 2.03 | ^12318 |
| Local | B/S | 1,000 | TYN122.5p | 0.15 | ^12317.5 |
| TJM | B | 1,000 | TYU119p | 0.11 | 12317/18 |
| Paper | S | 500 | TYQ123.5/124.5/125 c tree | .01 pieces over | 12322/22.5 |
| RJO | S | 1,000 | TYN120/121 p spread | 0.02 | 12020/20.5 |
| Paper | B | 1,000 | TYN124c | 0.29 | ^12322 |
| Paper | B | 1,000 | TYN124c | 0.29 | ^12321.5 |
| New Edge | S | 1,000 | TYU123.5 strad | 0.254 | 12322/22.5 |
| Mann | S | 1,000 | TYN122.5p | 0.13 | 12322/23 |
| Spreads | |||||
| Block | B/S | 20,000 | EDH13/EDZ13 futures apreads | 73.5 | |
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