Interestingly before the price spike volatility in 10yr. options as measured by the ATM straddle rose about 7 ticks. There was that large buyer of 121.5 puts that did seem to pay up quite a bit on the 5K that traded in the pit. Usually the screen see’s the higher premium trade. Anyway the vol. increase was justified given the sharp move in 10 and 30yr. futures.
Will hope for more rallies to sell moving forward – currently flat.
Larger players listed below from a.m. session:
| 7/25/2011 | |||||
| Paper | S | 15,000 | EDU139875/9887 c spred | 4 | N/A |
| Papr | B | 4,000 | EDQ93/96 p spread | 2.5 | 9964/64.5 |
| Paper | B | 5,000 | EDU 9925/9950 p sprd | 2 | 9964/64.5 |
| Fed Fund opts | |||||
| Mann | S | 300 | FFZ 9981/9987 p 1X2 | 0.25 | 9985 area |
| Paper | B | 500 | FFZ/FG 9987/9993 c spread strip | 6 | N/A |
| Paper | S | 2,000 | FFZ9981/9987 p 1X2 | even | 9985 area |
| Note dealers were selling this strategy at .5 on Friday - new postion | |||||
| Mann | B | 500 | FFQ/U 9981 p stupid | 0.75 | 9991.5/92 |
| 10yr. Opts | |||||
| Paper | S | 500 | TYU128c | 0.06 | 12400/00.5 |
| Smith B | S | 4,000 | TYU123p | 0.46 | 12402 |
| Paper | B | 2,000 | TYU121p | 0.21 | 12330.5/31 |
| Screen | B | 10,000 | TYU121.5p | 0.25 | 12400/00.5 |
| 323 | B | 5,000 | TYU121/5[ | 0.26 | 12401/01.5 |
| 30yr. Opts | |||||
| Advantage | S | 1,000 | USU122/128 strangle | 1.25 to 1.33 | 12430 to 12525 |
| Block trades | |||||
| 2yr. Note | B/S | 10,000 | TUU | 10927 | |
| 10yr. Note | B/S | 5,000 | TYU | 12408.5 | |
| 10yr. Note | B/S | 10,000 | TYU | 12331 | |
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