Just recently Fitch affirmed that US treasuries to remain global benchmark. Well that reminds me of whip cream on shit and tits on a boar. But thanks anyway Fitch. We do see some decent call buying in back month euro’s – if we can survive the current – potential crisis and continue operating under a fiat system etc – etc then heck I’m in. But after looking at some of the simple solutions (see yesterday’s must read) that need to occur and the fact that they are not occurring or even being discussed in the mainstream continues to make me quite doubtful.
Market currently is in downtrend but moves continue to be quite whippy so try and be agile and cash conservative conscious – or something like that. Stocks quite over sold on hourly view and if they can stage a rebound from current 1313 area 10’s and bonds will likely test session lows.
Over in Fed Fund land current Fed effective has been coming in as low as 6 basis points front July is currently trading 9993. Larger flows today seem to be targeting funds rate around 13 basis points for Dec. Jan and Feb. see players list below.
10:26 a.m.c.s.t. talk of an agreement on budget ceiling being reached – unconfirmed S&P up 1 tick 10’s and 30’s down a couple of ticks – if we get something look for those moves to continue.
| 7/27/2011 | |||||
| Paper | B | 1,000 | EDZ13 87/90/92 1X3X2 c fly | 1 | 9839/39.5 |
| Yesterday looks like 35K taken in this strategy - all new stuff | |||||
| Paper | B | 2,000 | EDQ 93/95/96 p fly | 1 | N/A |
| New Edge | B | 4,000 | EDZ13 85/87/90 c fly | 4 | 9839/39.5 |
| Locals | B/S | 4,000 | EDQ13 83/85 p 1X2 | flat 85 over | 9863/63.5 |
| Paper | B | 10,000 | EDU 9925/9937 p spread | 0.75 | 9963.5 area |
| Mann | B | 5,000 | EDQ9962/9950 p spread | 1.75 | 9963.5/64 |
| Mann | B | 2,000 | EOU 9900 p | 2.5 | |
| Paper | B | 25,000 | EDZ13 9862c | 17 to 18.5 | 9841 area |
| Mann | B | 3,000 | EDQ9950/9962 p spred | 2 | 9963/63.5 |
| Paper | B | 5,000 | EDZ9962c | 6 | ^9952 |
| TJM | B | 4,000 | EDZ/H 9950 strad sprd | 4.5 | N/A |
| Paper | B | 15,000 | EDZ14 9762c | 21 | 9737 area |
| Fed Fund opts | |||||
| Paper | B | 500 | FFU 9937c | 0.25 | 9988/88.5 |
| Paper | B | 500 | FFZ 9937c | 0.25 | 9984/84.5 |
| Paper | B/S | 500 | FFQ9975/9981/9987 p fly | 0.25 | 9990.5 area |
| Paper | B | 500 | FFG9968/9975 p spread | 1 | 9981/81.5 |
| Paper | B | 2,500 | FFZ/F/G 9987/9993 c sprd strip | 6 | N/A |
| Mann | B | 2,500 | EDZ9981/9987 p 1X2 | 0.5 | 9984/84.5 |
| 10yr. Opts | |||||
| New Edge | B | 1,500 | TYU126.5/128 c spread | 0.14 | 12424/24.5 |
| New Edge | B | 1,000 | TYU126.5/128 c spread | 0.13 | 12408/08.5 |
| Swiss B | S | 1,000 | TYV121p | .52 and .51 | ^12302 |
| BCG | B | 1,000 | TYU118.5/119.5 p spread | 0.03 | 12413/13.5 |
| BCG | S | 500 | TYU121/122 p spread | 0.09 | 12410.5/11 |
| Paper | B | 500 | TYU120p | 0.12 | 12410.5/11 |
| Paper | B | 1,000 | TYU119.5/121.5 p spread | 0.05 | ^12407.5 |
| Merril | B | 3,000 | TYU120/122 pspread vs. 127c | .03 p spread over | ^12408 |
| Paper | S | 500 | TYZ118/128 strangle | 1.12 | 12410/10.5 |
| Paper | S | 1,000 | TYU120/121/122 p ladder | .03 pieces over | 12411/11.5 |
| JP Morg | B | 500 | TYU118p | 0.06 | 12415.5/16 |
| Paper | S | 500 | TYU123.5 strad | 2.29 | ^12414.5 |
| Paper | S | 1,000 | TYU123.5 strad | 2.29 | ^12415.5 |
| 2yr. Opts | |||||
| Paper | B | 5,000 | TUU109.25 put | 0.03 | 10926.25/26.5 |
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